Comments on: “prudent and… disastrous” http://www.puppetmastertrading.com/blog/2008/02/04/prudent-and-disastrous/ algorithmic trading experiences Fri, 20 Jan 2012 02:03:24 -0800 hourly 1 http://wordpress.org/?v=3.1.3 By: Corporate Serf http://www.puppetmastertrading.com/blog/2008/02/04/prudent-and-disastrous/comment-page-1/#comment-23355 Corporate Serf Tue, 18 Oct 2011 17:35:56 +0000 http://www.puppetmastertrading.com/blog-test/?p=40#comment-23355 This should tie in with your "trading strategy = exotic option" discussion when you use portfolio optimization. Strategies are non-linear things. This should tie in with your “trading strategy = exotic option” discussion when you use portfolio optimization. Strategies are non-linear things.

]]> By: volatile smile http://www.puppetmastertrading.com/blog/2008/02/04/prudent-and-disastrous/comment-page-1/#comment-12645 volatile smile Thu, 28 Oct 2010 16:26:47 +0000 http://www.puppetmastertrading.com/blog-test/?p=40#comment-12645 PDF link is broken. PDF link is broken.

]]> By: volatile smile http://www.puppetmastertrading.com/blog/2008/02/04/prudent-and-disastrous/comment-page-1/#comment-12644 volatile smile Thu, 28 Oct 2010 16:23:14 +0000 http://www.puppetmastertrading.com/blog-test/?p=40#comment-12644 Jesse Livermore said something to this effect and so did another trader I read a few months ago (forget who). "Don't get into the market unless you want to be there." In other words, testing your strategy on the real market and it works, is not robust. Default is out. Get in when you want the action. A better way to say it would be that purely quantitative reasoning gives you more precision, but can miss out on some big-picture issues that "soft" reasoning picks up on. Jesse Livermore said something to this effect and so did another trader I read a few months ago (forget who).

“Don’t get into the market unless you want to be there.”

In other words, testing your strategy on the real market and it works, is not robust. Default is out. Get in when you want the action.

A better way to say it would be that purely quantitative reasoning gives you more precision, but can miss out on some big-picture issues that “soft” reasoning picks up on.

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