Keep on trying stupot, you wil figure it out. It takes a while for most people to see that the way to get ahead is to get the best deals.

Russian hedge fund shutting down, too much new regulation. Selling all our software

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All information we will send private secure on you e-mail.

Contacts:

E-mail: trader@infonet.nnov.ru
ICQ: 178735487 or 70966433

There was almost always shooting somewhere in the world.

Be warned you will get nothing from this guy. He runs identical cons under different names – watch out for the nnov.ru address that’s the give away.

He does not deliver but you will only find this out by sending the money because he is very convincing.

There are good honest pirates out there but this guy is not one of them – that is why he has to spam every thread – to cover up the complaints..

Awesome alllovem!, I can't believe you did all that work. the prices and quality of Russian software is much better.

Russian hedge fund shutting down, too much new regulation. Selling all our software

All this software we sell for only for ONLY USD 1450

All information we will send private secure on you e-mail.

Contacts:

E-mail: trader@infonet.nnov.ru
ICQ: 178735487 or 70966433

I've done the simulation. If you are planning to trade anything with a win loss ratio under 50% its probably a good way of getting a feel for how the real markets can hurt you if you're too agressive.

Give it a serious go. Do your best and then find out how good you really are :-)

I haven't tried tharps simulation product, anyone?

Any thoughts on Van Tharps free download simulation game at www.iitm.com?

CW

CHUCK,

How about the update to your systems for yr 2000 PLEASE

Chuck, yes the volatility is a crucial missing point!

I tried to get around this by thinking one could judge the return/relative strength of the stock ONLY since the SP500 trough (~Dec. 20). The stock with the quickest bounce from the trough, finding "its legs" the fastest, is the strongest (not how much it fell during the recent market declines).

And the difficulty with a tech stock, for example, could be that this recovery is short covering, or normal volatility, not relative strength. So as per your suggestion, I guess I will need to look at:

1) past recovery behaviour of these stocks, esp. for any high volatility stocks in the portfolio

2) and perhaps normalize each stock for it's beta (correct the percentage return of each from the SPX trough by the beta) or 20 day ATR etc.

So if:

- a stock is substantially "underperforming" its "normal" beta since the SPX trough (or having a smaller recovery in terms of cumulative ATR's than other stocks; ie. stock A recovers by 5 ATRs versus stock B by 10 ATRs)*

- and underperforming its past recoveries (perhaps combined with changed company fundamentals)

...one could consider culling it? And adding the funds to the opposite performing stock.

(*Then again, as per your point on volatility, if stock A has an ATR three times the size of the ATR of stock B, stock A is still the better bet! Gee, what a game....)

Dirk,

The problem I see with what you propose is that it would be very easy to confuse volatility with relative strength or weakness.

For example, stock A may have gone down much more than stock B simply because it has more volatility. This means that stock A might also recover considerably faster than stock B. If that were the case it would be a big mistake to sell stock A because of its "weakness" and buy more of stock B because it appears to be stronger but, in fact, it is simply less volatile.

I would want to own the stock with the most volatility during a recovery. This means that you will have to figure out how to evaluate the recovery potential of the various stocks based on how they performed in market recovery situations.

Simply looking at which stocks showed the highest relative strength during the recent decline could be very misleading and may not produce the results you desire.

If one has an investment portfolio of 10 stocks in which some fell substantially in the last 6 months, what is the best re-weighting strategy?

I am advising a friend on his options, but want to confirm that the Anti-Martingale approach (a la Van Tharp, Kelly etc.) to re-weighting the portfolio is valid in a portfolio as opposed to a trading system. The idea is simple: cull the weakest 1-2 losers and reallocate their residual capital to the strongest 1-2 winners.

The date for judging the losers and winners is NOT the buy date of the stocks, but the proximate TROUGH date of the SP500 SO FAR. I propose culling the weakest 1-2 since the putative trough, and adding their residual capital to the strongest 1-2.

The stocks with stronger relative strength from the pre-end of year trough should have better prospects (re investor and institutional demand after the year-end tax selling dust has cleared, ie. who really wants these stocks).

Note this is an Anti-Martingale approach versus the typical investor regression-to-mean approach (that favorite stocks will recover or revert to their mean).

Any comments on the validity of such re-weighting, and whether it makes sense periodically in a portfolio not actively managed or traded?

Thanks!

Thank you, Chuck, for the notion of "Portfolio Heat." I knew that probably held a lot of importance, but I couldn't quite put my finger on it. I just added it to my management spreadsheet; now I have a clearer picture.

The answer to the question of how much $ to place on each traded system is Ensembles.

I have finally got around to updating the Ensemble EXCEL Macro so that is calculates Exactly the correct number of contracts to trade of each trading system/ security whose equity curve is in the EXCEL data sheet.

Formerly the program did a Monte Carlo appprox to the exact Ensemble assignment. Now the assignment is guaranteed to be the global optimum.

If anyone wants a copy of the Ensemble EXCEL with the Macro please E-Mail me.

Paul H. Lasky

"Starting from scratch, though, how do I figure out how many contracts to take on each signal so that I optimize my capital? "

Well, the first place to start is with some clearly stated goals with the list of goals prioritized. Something like this:

1. Maximum total loss on the portfolio that I would be willing to accept. (Example = 50% of starting capital)
2. Realistic desired return. (Example = 30% annual return on average)
3. Maximum peak to valley drawdown that I would accept. (Example = 40%)

For most traders the risk control goals will have a higher priority than the return goals. This means that the position sizing formula that produces the highest returns may not be acceptable because the risk would be too great. However with a clearly stated goal in mind you should be able to come up with a variation that produces the desired returns with the acceptable amount of risk. This will be your personal "optimum" formula that may not be optimum for most other traders. That's OK.

It's hard to see how you can trade 30 different futures markets with $30,000 of starting capital. I assume that there are not too many active signals at any one time. One concept to keep in mind is what Dr. Tharp calls "portfolio heat". How much would you have at risk if every open position went down to its stop point. Prudent traders would limit this to the 20% to 25% of current equity level. This may limit both the size and number of positions you can take. If you have to prioritize trading signals to skip some and take others, how would you do this?

It is hard to give specific advice without knowing the characteristics of your system. I hope this helps get you started.

I'm having trouble deciding how many contracts to put on in an undefined portfolio.

I have $30,000 in a trading account. My system is giving signals within a population of about 30 markets. I want to take every signal, because I know there is no serial correlation or Z-score that makes it advantageous to pick and choose.

I am using a fixed fractional approach for money management, and I would know exactly what to do if I were trading only one market. Starting from scratch, though, how do I figure out how many contracts to take on each signal so that I optimize my capital?