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If you do a search, there would be at least 60 posts that I've made on the subject.
Sure, no worry. I'll be out of the office for about an hour & will post them on my return
Skate.
The metrics you indicate are important to you also make sense to me, except the 'Stale Stop', could you elaborate?
Is it possible to re-run you code and report the backtest results for say the approx five years only 2018 to 2022?
I am interested to see how the more recent data pans out.
Is it possible to re-run you code and report the backtest results for say the approx five years only 2018 to 2022?
I am interested to see how the more recent data pans out.
The metrics you indicate are important to you also make sense to me, except the 'Stale Stop', could you elaborate?
The new stock market indicators that may surprise you
JB HiFi led the way in showing that many Australian companies adapted brilliantly to the conditions in the half year to June 30. And the US is reporting similar corporate achievements because American companies also adapted well.
This week these good results inspired a new wave of confidence in stock markets. But whether it be Australia, the US or Europe the challenges in the current half year are going to be very different. And China is dangerously close to another Covid-19 disaster.
As global share investors take in this emerging environment many will reassess strategies.
In Australia, the CBA bank warns that backward looking indicators like low unemployment and past inflation rates conceal what is now really starting to happen. A reliable indicator a future trends is CBA’s internal credit and debit spending which shows that consumers are reacting to higher interest rates and cost of living pressures by moderating discretionary spending. The peak in spending occurred in mid‑May, just as the RBA started to lift the cash rate.
Since then there has been a 2 per cent point fall in card spending – largely concentrated in discretionary spending categories. Spending has continued to lift in transport fuel and power. My conclusion is that in the coming interim reports investors should watch for directors comments on current trading.
In the US demand for new mortgages has slumped in the wake of higher interest rates. Gasoline inventories rose 3.5 million barrels last week, far exceeding analysts’ forecasts.
Product supplied --- a proxy for demand --- was about 8.5 million barrels per day, or 7.6 per cent lower than the same time a year ago. High gasoline prices and interest rates have clearly undermined US consumer confidence.
In the wake of the shortages of Russian gas, the European Commission says European countries should immediately start rationing use of the fuel and cut their use by 15 per cent until next spring. Proposed legislation would grant the Commission powers to force member nations to follow a strict plan of energy consumption cuts. If legislated, the plan would put Europe’s economy on war footing because of Russia’s invasion of Ukraine.
The IMF said this week there was a high risk that Russian gas supplies to Germany might suddenly stop forcing Germany to ration supplies to heavy industrial users. The IMF estimated this disruption would wipe out as much as 3 per cent of German gross domestic product and drag the economy into recession.
Germany would face calls for “further relief measures” to support companies and households, such as maintaining the expanded Kurzarbeit furlough scheme and providing more grants to the hardest hit companies.
China benefits from European misery by buying cheap gas and oil from Russia. But it faces a resurgence of coronavirus outbreaks, with cities across the country reimposing restrictions as authorities rush to stamp out cases of the more infectious Omicron variant that has become dominant in the west.
The FT reports that Macau, which is undergoing its worst Covid-19 outbreak yet, has closed of all non-essential businesses, including casinos.
According to Japanese investment bank Nomura, eleven Chinese cities are now under full or partial lockdowns, affecting 115 million people, or 8.1 per cent of the population. The cycle of outbreaks, mass testing, lockdowns and easing will continue under President Xi Jinping’s stringent zero-Covid-19 policy, although authorities were trying to implement more targeted measures such as shorter quarantines and limited lockdowns.
The combination of inflation, higher interest rates and oil prices, the Ukraine war and Covid-19 are creating unprecedented challenges that will impact markets for months to come.
ROBERT GOTTLIEBSEN
BUSINESS COLUMNIST
unprecedented challenges
Thanks Skate!If you do a search, there would be at least 60 posts that I've made on the subject.
Sure, no worry. I'll be out of the office for about an hour & will post them on my return
Skate.
What is position sizing?
For those who don't understand, I should have explained what "position sizing" is In its most basic form. There are those who have trouble with some of the technical terms & this follow-up post will clear this one up.
How much do we bet?
Well, that's a greaty question. The "Position Size" you use decides what your next bet will be in relation to your trading account balance. Position sizing can truly be a powerful tool used correctly. Ultimately, I forgot to say previously that it is up to you to decide what you want to accomplish & how much “portfolio heat” you want to incur as @peter2 would say.
Trading is all about "trying to secure your financial future"
Remember you can’t make money without losing money. As with all trading tools they only work if you consistently use them. Confidence & consistency is the name of this game, as well as money management techniques of course.
Skate.
Position sizing has been discussed a lot by Bill Ziemba
His position sizing is the Kelly criterion.## Update ##
I went off half-cocked believing the pdf uploaded related to position sizing, thus the instigation of my posts. Bill Ziemba doesn't touch on the subject of "Position Sizing" in the article but maybe he has in a previous publication.
His position sizing is the Kelly criterion.
As it was for Edward Thorp of blackjack fame.
Like Ziemba was, Thorp is a very successful stock trader with outstanding academic credentials.
Ziemba was also a prolific writer on many things financial, he said writing helped to clarify his thoughts and actions.
Kelly sizing is simply investing a proportion of your bank in line with your edge.
It is designed to maximize the long term log(wealth).
It requires an accurate assessment of one's edge but has some features that are contentious.
Skate, Absolutely!I should also say
No matter what the Kelly criterion position sizing is, to be effective your trading strategy needs to have an edge. You cannot take a losing system & change it into a winning one through "Position Sizing". The system must be profitable to start with.
How to estimate your edge
Pleased to see you start with a market "sentiment" indicator.
Your version 2 looks a bit spotty, too intermittent and it's more off than on even when the index is rising.
A mkt filter based on your Ducati blue bars indicator on the XAO would look better.
Is it possible to re-run you code and report the backtest results for say the approx five years only 2018 to 2022?
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