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I think Ryan Jones book... http://www.amazon.com/exec/obidos/tg/detail/-/0471316989/qid=1085428595/sr=1-1/ref=sr_1_1/002-0198214-3025665?v=glance&s=books ...and Van Tharps book, above, are all you need to get a very good understanding of money management. They give you they theory...

You might want to look at this post... http://www.elitetrader.com/vb/showthread.php?s=&threadid=26623 Of course it's up to you to backtest whatever method you use for following a trend. The most important thing (!) about trend following is that you must have reentry rules if you get...

If you only follow one market you will get stuffed. But if you diversify then trend following can be extremely profitable.

Some discussion here as well... http://www.elitetrader.com/vb/showthread.php?s=&threadid=2126

I'd love to bait Jack but he would then bamboozle, confabulate and generally confuse the shit out of me. :p If you're my better AND white trash what does that make me :confused: :( :eek: TradeStation 8 for me. I've tried both eSignal and TS and - trust me here - TS is MUCH better.

lol. I assume you're one of those fundamentalist christians who believe Noah's flood happened last Thursday week. http://www.esignalcentral.com/support/faq/esignal/quotesdata/quotesdata_kind_histdata.asp eSignal is a great real-time charting package but you can't use it for serious...

...but there is virtually no data so eSignal is hopeless for backtesting. Mike - You can get free copies of TradeStation 2000i off the Internet. Find some data and you're off.

You're trading the same system with double the contracts. What's the difference between trading... 1 contract of S(3,5) AND 1 contract of S(5,3) 2 contracts of S(3,5) OR 2 contracts of S(5,3) ? Just looks like twice the risk, twice the reward to me.

FWIW I did find that Adaptive MA's generate about 20% fewer trades than a Simple MA and about 10% less than Exponential and Weighted MAs. But that may be just my system.

Hi, I find that KAMA is so reactive that there are virtually no periods where it is flat. I thought about what you said to see if I could improve my system entries and exits but when I look through a chart I can't see any major periods where it is trading in flat markets. This is just a...

Sorry :eek: As I see it... Simple MA's enter too late and exit too late. Adaptive MA's enter too early (before a trend change is confirmed) and exit too early (on a retrace, whilst the trend is still in place). You need to find something in between. I found the Exponential meets...

I have been looking at using Adaptive MA's in trend following strategies. I've looked at Kaufman's KAMA, Chande's VIDYA and Ehlers' MAMA and compared them against Simple, Exponential and Weighted MAs. There wasn't much in it but if I had to choose the 'best' it would be an Exponential MA...

I have Kaufman's KAMA and Chande's VIDYA adaptive MAs in Excel. There is also Ehler's MAMA but it is a bit difficult to translate to Excel.

Aafwintb, Ryan Jones' book 'The Trading Game' has a couple of very good chapters on Optimization and Robust Statistics. The book is actually about money management so you probably wouldn't want to buy it just for those chapters. Cheers

I'm not saying RSI should make money. Aafwintb asked a question about the 'robustness' of systems and, as an example, said should he use an RSI of 6 with x statistics or an RSI of 12 with y statistics. My comment was that choosing between 6 or 12 is not the most important thing. When looking...

Sorry. A bit to esoteric for me. What does that question mean?

ditto what Yannis says :) plus... What you have described is one method of MM. There are several others each with its own advantages and disadvantages. Surely the best option is to test them all and see what works for you?

IMHO The important thing is that any value you choose for your RSI period makes money. Not just 6 and 12, but 1 though 30. It's kind of irrelevant which value you actually choose because it is based on the past and the future will be different.

Can you tell me which books you think are more advanced on the subject of MM. Thanks

I put together a spreadsheet comparing Fixed Ratio and Fixed Fractional using Monte Carlo simulations. I found that FR was better. Ryan Jones does say that FR is only for starters and then when you have plenty of money you should switch to FF. I haven't compared this to Van Tharps MM methods...