Search found 56 matches

by Ted Annemann
Mon Oct 17, 2011 9:57 am
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 7894

Another useful post is HERE . It ran the exact backtesting software program written by an Original Turtle, to test the Turtle System One over a long period of time, including the "historical data" used by Dennis and Eckhardt to develop the Turtle System, and also the actual Turtle trading years (198...
by Ted Annemann
Tue Jul 17, 2007 8:58 am
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29517

Roscoe wrote:Haud Sanctus Carnero Somes Non Verto
Exactly so: cow corpse not become.

:?: :shock:
by Ted Annemann
Thu Jul 12, 2007 3:56 pm
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6245

1. What is the advantage of setting commissions and slippage to zero? It doesn't make the simulations run any faster. But it does distort the results. 2. Maybe you could optimize the portfolio over a subset of the historical data, like for example 1990 thru 2002. Then you could take the resulting "o...
by Ted Annemann
Wed Apr 04, 2007 1:46 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30750

I like to see a system work over a long period of time and a large number of trades. I like to generate equity curves that last for decades of trading and look for periods of unpleasantness, misbehavior, failed edge, etc. (Cheerfully I admit this is not "real world", e.g., no taxes or living expense...
by Ted Annemann
Wed Apr 04, 2007 9:43 am
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30750

It ain't what people don't know that hurts them; it's what they know that ain't so (Will Rogers, Josh Billings, Mark Twain) First let's admit the obvious: it is possible that Ed Seykota could be wrong. All successful daytraders would say he's wrong. Brett Steenbarger would say he's wrong. Toby Crab...
by Ted Annemann
Fri Dec 17, 2004 12:05 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75245

And who knows, maybe there is a certain level of optimization that is good. I'm just tempermentally suspicious of any optimization. Any time you make any choice based on past performance, you are performing an optimization. So for example when you choose mutual funds based on their 5-year and 10-ye...
by Ted Annemann
Fri Oct 15, 2004 10:04 am
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 10264

An example of a bad premise is the system that Murray Ruggerio sold in 1997, called "Taylor Bonds Pro". It included some universal market truths such as the following snippets, taken directly from the Taylor Bonds Pro code: If value1<.40 and Seq[1]=0 and Month(Date)<>9 and Month(Date)<>10 and Month(...
by Ted Annemann
Thu Oct 14, 2004 11:47 am
Forum: Testing and Simulation
Topic: Another Look at portfolio construction
Replies: 2
Views: 3159

Nobody can tell you whether your idea is good or bad, for that would amount to predicting the future. "Eurodollars will not trend enough to make money" is a prediction of the future. The best you can possibly hope to do, is decide whether your idea is a good fit to your individual and unique pesonal...
by Ted Annemann
Thu Sep 23, 2004 8:18 am
Forum: Testing and Simulation
Topic: System performance
Replies: 9
Views: 6776

Reggie, the way a Wealth-Lab user specifies money management parameters is to click and pull-down various buttons and menus and dialogue boxes within the WL graphical user interface. You don't specify MM by writing source code in the WL script. note: Veritrader seems to work the same way: you enter ...
by Ted Annemann
Thu Aug 05, 2004 6:57 pm
Forum: Testing and Simulation
Topic: How to backtest?
Replies: 2
Views: 3060

There's quite a busy industry devoted to supplying software that performs backtests. A good way to find out about some of the vendors and their products is to purchase the magazine "Technical Analysis of Stocks and Commodities" and read the adverts. They sell this magazine at larger newsstands, and/...
by Ted Annemann
Wed Jul 07, 2004 2:36 pm
Forum: Testing and Simulation
Topic: Journey to turn the worst system into the best one!
Replies: 12
Views: 8883

There's absolutely nothing wrong with trading that way. And there's absolutely nothing wrong with getting your trading signals from a Coke bottle that allows you to communicate with super-intelligent beings on Mars. If you haven't heard the (true) story, check it out: http://www.traderclub.com/discu...
by Ted Annemann
Wed Jun 30, 2004 11:36 am
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 11783

One thing you can do is ask others for their opinion about your opinion. Another thing you can do is formulate a hypothesis, design an experiment to test your hypothesis, perform the experiment, analyse the resulting experimental data, and draw a conclusion. For example, you can hypothesize that a t...
by Ted Annemann
Sat Jun 19, 2004 8:15 am
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18562

If you read the writings of the titans of fundamental investing, Benjamin Graham and Peter Lynch and Warren Buffet and John Templeton, you'll discover that they don't backtest their strategies at all.
by Ted Annemann
Sat Jun 19, 2004 8:11 am
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7749

You can perform experiments yourself using, for example, Microsoft Excel. Set up sequences of coin-flips (or dice-rolls, or stock trades, or ...) and then apply Martingale betting to them. Then apply anti-Martingale betting to the same sequences. What do you see? How do the results change, and how d...
by Ted Annemann
Fri Jun 18, 2004 2:25 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36133

Shoot, there's a lot more than two ways to do it! Imagine that all the different entries and exits (of fractional portions of your Overall Position) each represent their own little self contained "sub-system". The final macroscopic Trading System is nothing more than the linear superposition of all ...
by Ted Annemann
Fri Jun 04, 2004 1:08 pm
Forum: Testing and Simulation
Topic: Parameter Search Algorithms
Replies: 3
Views: 2852

I use plain ordinary SA. The problem with ASA is, nobody can get it to work except Lester Ingber :!: http://portal.acm.org/citation.cfm?id=29864&dl=GUIDE&coll=GUIDE It's worth reading the Corana et al article, just to have a look at their multimodal test function. Specially designed to give determin...
by Ted Annemann
Wed Jun 02, 2004 9:35 pm
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 10023

If a trade contains just two instruments (like a long/short pairs trade), you go long S1 shares of instrument 1 at price P1, and you go short S2 shares of instrument 2 at price P2. Presumably you have got some kind of math formula that tells you how many shares to trade on a new entry signal, per mi...
by Ted Annemann
Fri May 21, 2004 9:04 pm
Forum: Money Management
Topic: hedging risk with net credit spreads
Replies: 2
Views: 3485

I've studied and rejected the idea. I trade "thin" futures markets like Muni Bond and the FINEX cross-rate futures and Lumber and the Russell. (So I'm not competing against the John Henrys and the Bill Dunns of the multi billion dollar CTA world.) Options are either nonexistant or the bid-ask spread...
by Ted Annemann
Tue Mar 30, 2004 12:27 pm
Forum: Money Management
Topic: Thoughts on entry price, and open vs closed equity
Replies: 9
Views: 7890

Similar reasoning is in this thread http://www.tradingblox.com/forum/viewtopic.php?p=5423&highlight=investor%2A#5423 If a new customer opens a new account with X dollars, why not immediately put her into the same positions that all the other <customers'> accounts are in? Your choices are (don't be i...
by Ted Annemann
Tue Mar 30, 2004 12:13 pm
Forum: Money Management
Topic: What % equity to risk on high expectation trades?
Replies: 7
Views: 5948

I would risk 70.00 percent of my net worth on each play of this game. I expect this would result in 50% probability of a drawdown of 98.91% or worse 25% probability of a drawdown of 99.19% or worse 10% probability of a drawdown of 99.76% or worse 5 % probability of a drawdown of 99.90% or worse 1 % ...