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-----Original Message-----
From: Edmond Sorel [mailto:annats@xxxxxxxxxxxxx]
Sent: Saturday, March 20, 1999 11:17 PM
To: Omega List
Subject:
This is my rough sketch - if you have experience with running optimal f in
real time please share with me some of your insight...
2) set up spread sheet to calculate actual optmal f in excel
3) set up spreadsheet to calculate actual maximum adverse excursion in excel
4) model then insert real returns for the period detrmined by model:
MODEL
- truncate the data to the most recent 5 - 15 trades (to be determined for
statistical significance)
- calculate benchmark f (using secure f protocol) in moneymanager 1.5 to
test model effectivenes
INSERT REAL RETURNS
- then insert actual fills to calculate true f w/ maiximum adverse
excursion rules in excel
- trade forward from that point with a reality f value using secure f
protocol and maximum adverse excursion values generated in excel updated
from actual fills
4) Import modified equity streams to portana for portfolio diversification
model in ascii format
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