TRADINGSYSTEMS AND THEORY
You may have wondered why I didnot update my blog regularly this summer. The resaon is quite boring: I went back to my study to work on several aspects on my tradingsystem.
I have to admit I worked at this for quite a long time before but the last months I focussed on some of them. Trading is a live time endeavour and by no means you will get all the answers but trying to see where u can go is a challenge by itself.
The things of my interest are:
1. Can something be said about drawdowns and losses for a given tradingsystem?
2. Can you expect bigger losses than your backtesting and actual trading results shows?
3. What is the nature of my return distribution?
4. How do you know if a tradingsystem gives better results than random?
5. Is there a better measure for trading performance than the Sharpe Ratio?
6. What effect does stops and targets have on my tradingsystems?
7. What effect does autocorrelation and trade dependancies have on my tradingsystem?
8. Is it possible and if so ,how, to maximise my trading in terms of risk and return by combining different tradingsystems?
As you can see, quite a lot of questions to be answered and a lot of theoretical work so it is not surprising that I was surprised pleasantly by an article in Traders of september about a traders tournement which is held every year in Europe and organised by Emilio Tomasini (www.toptradercup.com).
Asking myself if I would try to. But how are the rules of the game, eg, how do they measure somones performances?
I have to admit I worked at this for quite a long time before but the last months I focussed on some of them. Trading is a live time endeavour and by no means you will get all the answers but trying to see where u can go is a challenge by itself.
The things of my interest are:
As you can see, quite a lot of questions to be answered and a lot of theoretical work so it is not surprising that I was surprised pleasantly by an article in Traders of september about a traders tournement which is held every year in Europe and organised by Emilio Tomasini (www.toptradercup.com).
Asking myself if I would try to. But how are the rules of the game, eg, how do they measure somones performances?