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Some algorithms may auto-determine
size modulation for you. The algorithm
determines the optimum location to adjust
sizing to target a single market or portfolio
utility or fitness function, like
Sharpe, and then autodesigns scaling
and entry tactics together, essentially "reversing" the problem
converging to a stochastic solution and writing the code.
Scaling may be curve fit as easily as entry location,
choice of markets in portfolio, stops, etc.,
so take proper steps to avoid over fit in your models.
Some basic autodesigned scaling model demos at:
http://www.tradingsystemlab.com/flashdemo.aspx
#15 and #11
Sincerely,
Mike Barna
President,
Trading System Lab
"Your struggle to manually write Trading Models is coming to an end."
"TSL is an Algorithm that writes Algorithms."
www.TradingSystemLab.com
----- Original Message -----
From: "Adrian Pitt" <apitt@xxxxxxxxxxxxx>
To: "'Alex Matulich'" <alex@xxxxxxxxxxxxxx>; "'jim f.'"
<bigbubber@xxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Saturday, December 08, 2007 9:13 PM
Subject: RE: Scaling out
There is nothing wrong at all with scaling out of or into positions. But if
you do such a thing they should be looked at and analysed as separate
systems, and then run in conjunction as part of a portfolio with appropriate
position sizing. The question then becomes which portfolio offers the best
return/risk :
Portfolio A, B, C, AB, AC, BC or ABC?
Adrian
-----Original Message-----
From: unicorn@xxxxxxxxxxxxxxx [mailto:unicorn@xxxxxxxxxxxxxxx] On Behalf Of
Alex Matulich
Sent: Sunday, 9 December 2007 4:00 PM
To: jim f.
Cc: omega-list@xxxxxxxxxx
Subject: Scaling out
with all that said, i would ask if anyone has a simple example of an exit
for scaling out.
You probably can't find it because it generally isn't a good thing to
do. This was discussed on this list this past July under the heading
"Bet sizing question: Scaling". My answer is here:
http://www.purebytes.com/archives/omega/2007/msg00451.html
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \ Unicorn Research Corporation -- http://unicorn.us.com
// __) HTML FORMATTED MAIL SENT HERE WILL BE REJECTED AS SPAM.
8/12/2007 11:59 AM
8/12/2007 11:59 AM
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