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fair enough -
although he did argue with me once for about half an hour about why the
points I make below weren't important - on the other hand that was when he
was trying to keep me as a Rina customer - and of course the call was on my
dime -
fwiw, phil
----- Original Message -----
From: Ian Copsey <icopsey@xxxxxxxxxxxxxxxxxxxx>
To: Phil Lane <patterntrader@xxxxxxx>; Chase Hardy <chardy@xxxxxxxxxxxx>;
<omega-list@xxxxxxxxxx>
Sent: Sunday, September 17, 2000 4:30 PM
Subject: RE: Trading System Evaluation
> To be fair on Dave Stendhal, he has never been in charge at RINA and my
> guess is that he didn't have the call on what is included in PE.
> In any case, he recently left the company.
> rgds
> Ian
>
>
> -----Original Message-----
> From: Phil Lane [mailto:patterntrader@xxxxxxx]
> Sent: Monday, September 18, 2000 2:00 AM
> To: Chase Hardy; omega-list@xxxxxxxxxx
> Subject: Re: Trading System Evaluation
>
>
> One of the most key aspects of professional money management is position
> sizing. It must be calculated according to the market volatility to get
> controlled runups and drawdowns relative to a given account size.
>
> A trading system simulation must also do this if it's going to come
anywhere
> close to approximating reality, especially in the case of the SP where the
> volatility now is about 20 times what it was in the 80's (so obviously
you'd
> trade 1/20 the size now as you would back then for a given account size).
>
> Try something in your system like "num_cont=
> (factor*acct_size)/(xaverage(truerange,50)*BigPointValue);"
>
> Note that Rina does not allow you to do such a basic and important thing,
> and therefore any results it gives you are highly suspect. Strange, since
> Stendall makes such a point of convincing you he's a "professional".
>
> Best rgds
> Phil
> ----- Original Message -----
> From: Chase Hardy <chardy@xxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Sunday, September 17, 2000 10:39 AM
> Subject: Trading System Evaluation
>
>
> > I'm looking into the possibility of acquiring an intermediate-term
> position
> > trading system. Two I'm looking at are Trend Reflection at
> > www.trendreflection.com and T3 and www.art-t3.com
> >
> > Trend Reflection has been around a few years and I have spoken with a
> number
> > of customers and brokers who are using it with good results. T3 is
> > relatively new and just starting to build a customer base. T3 sounds
very
> > good but doesn't yet have a real track record.
> >
> > The T3 folks provide reports from Rina Systems' Portfolio Evaluator as
> > evidence of the profitability and smoothness of the equity curve of T3.
I
> > have requested the Trend Reflection folks to do the same with their
> product
> > using the same markets and inputs as T3.
> >
> > I was not previously familiar with Portfolio Evaluator (or the same
> product
> > marketed by Omega Research as Portfolio Maximizer) and am curious if
this
> > program will give you enough information to effectively determine the
> better
> > of two trading systems, all things being equal.
> >
> > I would appreciate any help anyone can give who has any knowledge of
> either
> > of these systems (or other potentially good systems) and using Portfolio
> > Evaluator to evaluate trading systems.
> >
> > Thanks,
> >
> > Chase
> >
> >
> >
>
>
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