Recent content by c0in

It's a brazilian hedge fund called Atico

Yes, i get what you say by the drawdown... i'll try to get some montecarlo simulation to check the risk of ruin, however this is not so important as this strategy would use only a percentage of equity from the hedge fund.

I don't know how to backtest a portfolio in tradestation, however using this strategy last month gave me aprox. 1% for the month (using some discretion to position sizing). The spreads are between stocks in the same industry however from most spreads are from different industries and they all...

It is a mean reversion type of strategy using stop loss and a volatily based objective. Even though most trades turn out to be daytrades some last more time... Now that i am trading the strategy for real i can say that what differs most from the results is the time in trade, while in...

Actually this is a pairs trading strategy, and these 9 stocks are the ones that i usually trade, however i didn't trade them mechanically, i had my system but i also used discretion while trading... These stocks were hand picked based on cointegration tests and my trading portfolio wouldn't...

I did test it with 2008 data from 1/1/08 to 5/30/08 and it got about the same results. The one thing i'm worried about and trying to improve is the avg win to avg loss ratio... however i think that the % of profitable trades is offsetting it...

Hi i just developed my first mechanical strategy... after lots of testing i'm thinking about starting to trade it with a small number of contracts to see how it performs in real time I've attached a spreadsheet with the backtested results (using 60 min data from 1/1/07 to 12/30/07) I've also...

High probability trading by marcel link is a great book. you should also try Mechanical Trading Systems by Richard Weissman ( http://www.amazon.com/Mechanical-Trading-Systems-Psychology-Technical/dp/B000U8UPPC/ref=sr_1_16?ie=UTF8&s=books&qid=1212075008&sr=8-16 ), it's also a great simple book...

Hi, I've got a doubt regarding the slowK and slowD formulas in tradestation. In one of my strategies i'm using the function slowK and slowD (native from tradestation 8.3). Are the mathematical formula for these functions (using a 14 day stochastic length and 3 day smoothing): calling...

The thing is that cointegration is a way to define a longer term relationship between stocks. In THEORY selecting a cointegrated pair of stocks is the right way to do it, because as someone posted early on this topic a stock is an integrated time series... therefore non-stationary, and a...