重回正轨 [QB临]

评论

1. 安德鲁 · 说

   七月 2, 2015 在 19:05

   有趣的. On what basis do you judge that every currency pair encountered a major shift. Shift in what? And what would be the causes?
   I ask because I am running 11 strategies that have 40 months solid back test records, each with max DD of around 20%, but during May and June this year they almost all tanked in unison (之间 10 和 15% DD each), unlike their previous years back test performance.
   I too am hoping for a more productive July.

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   • 肖恩·奥弗顿 说

     七月 3, 2015 在 07:59

     嘿，安德鲁 ·,

     I use a long term trend filter. You’ll notice for the most part that my trades on a given currency are either all long or all short. Like any filter, it’s prone to oscillation when the trend is near the 0 值. It just so happened that almost every currency pair was near the filter’s 0 value in April-May, causing me to get whipsawed repeatedly. The April pain started when the trends reversed strongly near the 0 值. I was zigging when the market was zagging.

     It’s a problem to think about. I could use multiple filters. 最终, if the market was going up and then decides to plumment, no amount of trend filters will avoid that scenario. The best realistic solution is to minimize the damage.

     Nassim Taleb would characterize that as a robust strategy rather than anti-fragile. That’s a big reason why I’m excited to add QB Yen as a substrategy to the portfolio.

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     • 安德鲁 · 说

       七月 6, 2015 在 21:44

       感谢肖恩. Would you share those long term settings? Is it something like the 50 and 200SMAs?
       In my EAs I sometimes use a filter on the MACD (long period settings) so that the histogram has to be at least x units above or below zero line before triggering. That deals with some of the whipsawing. But if x is too large you of course get into a trend rather late when the trend does develop.

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       • 肖恩·奥弗顿 说

         七月 7, 2015 在 08:22

         嘿，安德鲁 ·,

         The MACD is a solid way of minimizing whip saws. It’s best used as a filter rather than a trigger, 就像你在做.

         As for the long term filters, I do have to keep some things proprietary 😉

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2. William 说

   七月 3, 2015 在 06:34

   If your located in Dallas TX why does it say QB pro is not ope for US residents ?

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   • 肖恩·奥弗顿 说

     七月 3, 2015 在 07:34

     Hi William,

     Very good point. QB Pro is owned by my Irish company Dominari Online Courses Ltd. I am the trader, but I pay myself as a contractor. I admit it sounds a little convoluted.

     I cannot accept US traders because neither myself nor my companies are NFA/CFTC registered.

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