I didn't say it's not important, I said it's obvious (= fractional risk). I do use some variations myself and have tested many variations and sizing method. There simply isn't anything better.

Forex Mentors - The Best Investment You Can Make?

Here is a good source for euro data (if someone is interested) url The thinng is that I'm spoiled and trying to find data similar to ff front page, csv or xml. Does anyone know where ff gets the data?

Systematic trading

Well I would forgot positions sizing (aka "money management"), fixed risk is very good if not the best way so everything that is left is entry and exit. So I would say that those entries and exits that give you best CAGR and MAR and possible sortino ...

Forex Mentors - The Best Investment You Can Make?

10 years of minute data (2,8 million candles), simple donchian 4/1 week system with fractional position sizing = ~1.1 seconds runtime. After all the optimization looks like this is best I can do. Quite an improvement to Metatraders horrible testing ...

Systematic trading

I'm pondering on using amount/significance/numbers on news releases as predictor of volatility. There are some obvious pre-volatility effects like usually week before NFP the volatility is lower, on NFP day, volatility is higher and so on. I would ...

Systematic trading

Depends on your definition. Some measurements might be CAGR, MAR or even sharpe.

Forex Mentors - The Best Investment You Can Make?

Of course because trading random markets would be futile. Markets are not random. Simple example: News on the front page of this site will move price [NFP, FOMC for example]. If market would be random, that wouldn't happen. End of discussion

Forex Mentors - The Best Investment You Can Make?

Links, links, links — I'm looking for more sites to read - I'm mostly looking for sites about systematic/quant aspect of trading so please dump your favourite sites. Here are some sites that I read, some frequently, some [very] infrequently - ...

Systematic trading

ETFs perhaps? Here is some random link from google: url

Systematic trading

By the way has anyone read this book? I'm thinking of ordering it, especially the parts about market microstructure sound very interesting. url edit: uh apaprently no because it's not released yet

Systematic trading

By the way, here is a site that seems to contain some trading systems with quite good results [not metatrader, seem to be c# or something], I have had going through the systems on the site for months but I just haven't had time so here is a link if ...

Systematic trading

Just a small note if you decide to test this, the initial stop should be a variation of atr (i have used different periods) - in fact this is the other one of the really old, at the time extremely secret turtle systems. If someone reads the ...

Systematic trading

Just one point here: I don't want to say that simple equals profitable. However when you find simple system (with rules as easy as 4/1 week or spekkies) - then it's much smaller posibility that the rule is curvefitted than le't say "ema 125 crosses ...

Systematic trading

I really have no idea, I have been wondering this myself too - it might be because the lower frame you have, the more higher timeframe events will affect your trading and d1 is probably the highest timeframe that large masses trade so the lower ...

Systematic trading

I was reading this thread and suddenly my name pops out from nowhere.. Uh strange feeling. "quantifiable" [as I use it] means just that I want to quantify, ie. test my ideas on long term data before using them. (I have spent my tens of k's ...

Fractal Geometry....Trading?

This wasn't directed to you, it was more of an overall comment.. Some people tend to think that the algo with highest profit factor, highest profit or win percentage is the best even though usually it's the overfitted one and a bit worse is actually ...

Systematic trading

My comment was more about what the book contains, it's not just about the systems - it's quite an opposite of the book craig mentioned - he tests lots of patterns with computer although it's pre 1990 data and there are few patterns that he thinks ...

Systematic trading

Yup, I have it on my shelf and I don't think the conclusions are entirely correct - they state themselves that their strategies are simple and that there are combinations of strategies that have been proven to work (p. 392). I also think the ...

Systematic trading

That's simple: those that are making profit (with nice curve) on multiple markets. I'm thinking of using a combination of MAR and sortino as a fitness algorithm but this is still in thinking phase..

Systematic trading

Testing framework is finally starting to get in shape. Simple donchian channel (4/1 week strategy, 1% risk per trade), ~10 years of minute data for EURUSD (~3 million candles) runtime ~1.5 seconds (no caching at all). This is still a bit too slow ...

Systematic trading