Long time no see ! Hope you are doing well.
I was googling something and came across your Donchian page
I am looking at equity curve and the tradelogs. What really disturbs me is that
one single trade (Copper) resulted in almost all of the entire 16 year system
profit. It made 7.25M$. Seems like the entire result of the system from 1990 to
2006 is mostly on one single trade (along with few Euro$). I am not sure that in
a real portfolio chances of that happening in the next 16 years is possible.
I am interested to know what you think about systems which have single huge
winners in backtesting performing in real markets.
Thank you for raising the issue of degree of diversification.
The Donchian system at that link aims to exemplify the principles of system trading.
You might consider taking your feelings about <making it all on one trade> and <the right amount of diversification for you> to Tribe.
You might also consider researching Bill Gates, Steve Jobs, the Google boys, etc. about all this "bet it all on one idea" idea.
Saw on your website on your world tour - notice Singapore on the agenda but
still blank - any chance of Malaysia - Kuala Lumpur? No dates?
|I have the World Tour on hold for now.
Hope all is well with you. Sending you a link I feel you might find useful.
Sincerely, your humble student.
|Thank you for the link.
Hope all is well with you and the family.
I want to tell you I'm always here, doing my best as husband and father,
studying markets, supporting you and TT FAQs...
Thank you for all the gifts your generosity gives me.
I am currently fulfilling a life goal of mine in
learning all I can about Trend Following-—something I was very interested in
back in college twenty years ago and promised myself I would pursue upon my 40th
birthday this year.
I am again reading Michael Covel’s Trend Following
and have really been struck by your story and insightful commentary—you are
obviously a very wise man. I wanted to order your
Trading Tribe book but wanted to know if you had any revisions of the book since
2008 and the ugliness that followed? Or did 2008 reiterate your belief in
the Trend Following process you follow?
Same 'ol same 'ol.
I hope you're doing well. I'm very concerned about Ed's well being ... does
anyone know why Ed is not updating his website any more?
How Algorithms Shape Our World
Thank you for the link.
Physics and Trading
As an old commodity trader, I was wondering the other day whatever happened to
Commodity Corp. The Wikipedia entry listed some illustrious alumni, including
you, so I followed the link to your entry, where I noticed the section on
“Controversial claims concerning physics”.
This piqued my interest since I too
have developed a late interest in physics. I followed the link to your web site
and found that we had gone through similar processes of questioning textbook
physics (in my case, the second law of thermodynamics). I was amused by your
dialog with Andrew, which is reminiscent of the encounters I’ve had with various
physicists. I envy the length of your dialog, as mine have generally been
However, I found the patronizing tone and defensiveness of Andrew’s responses
quite familiar, as well as his unwillingness or inability to directly address
what appears to be a straightforward argument. Of course, these guys don’t get
ahead by bucking the system, so the original thinkers tend to get weeded out.
I probably first heard about you from Market Wizards and felt a bit of kinship
since I also have a BSEE from MIT and was inspired by Donchian to explore
systems trading back in the late 60’s. I’ve
almost crossed paths with you a couple of times. I lived in the San Diego area
in 1983-4 just after you left and knew some of the same people. I also had a
brief acquaintance with [Name 1] in the late 90’s. Of more immediate interest,
just as I was about to sit down yesterday to write you a letter, I got a call
from [Name 2] inquiring about my trading program. By an intriguing
coincidence, he mentioned your name and the fact that he had recently been
studying with you. I was rewarded with an interesting exchange of ideas on
trading and the vagaries of dealing with the scientific establishment.
However, to my mind the most striking coincidence is that the solution to your
problem (the physical basis of lift) is similar, if not identical, to the
solution to mine (the physical basis of the second law). Both rely on radial
momentum. This can easily be seen in the case of expansion of an ideal gas into
a vacuum. As the density decreases, the entropy increases.
I gather that you may have lost interest in physics, since the last update of
your web site was 2006. If this is not the case, it might be fun to get together
sometime and share ideas.
After having completed the MA crossover project, I´m now taking on the S&R
You state that you set a protective (sell) stop at the END of the day you
initiated position. Does that mean the new position is WITHOUT a sell stop the
whole first day (before the close)? What if you initiated a long and the
market falls like a stone on the very same day? Am I missing here something?
You can enter the protective sell stop when you enter the original buy stop.