Search found 12 matches

by corvus
Sat Dec 05, 2009 8:56 am
Forum: Testing and Simulation
Topic: Laying the groundwork
Replies: 0
Views: 1866

Laying the groundwork

I’d like to reexamine my methodology in evaluating systems, starting with what comes standard in TBP. In the past I’ve noticed that across multiple parameters there are islands of goodness and there are sandbars. I don’t think I have a problem in this area (stay away from the sandbars and the ...
by corvus
Mon Nov 30, 2009 9:15 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5226

Thanks, Sluggo. I really appreciate it.
by corvus
Mon Nov 30, 2009 6:58 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5226

Stitching data together manually

My sense is from reading STIRS Roll in CSI is that I may be biting off more than I can chew but I also think what I’ll learn will be worth the work. That said: I’ve downloaded a large set of historical data so I run a few simple tests such as correlation, R-square and the like in Excel. My ratio...
by corvus
Fri Oct 23, 2009 2:20 pm
Forum: Testing and Simulation
Topic: R-Cubed
Replies: 4
Views: 2808

As alway, Sluggo, you have a point. Still, I agree with levijean. R-cubed sometimes changes rather a lot, just because the length component changed a lot, while all other characteristic numbers are very similar. Therefore I now use both numbers, but I rely more on the ratio levijean mentioned. I ca...
by corvus
Sat Sep 13, 2008 6:29 am
Forum: Money Management
Topic: Maximum MAR; optimal betsize
Replies: 7
Views: 12162

Sluggo, I don’t own TradingBlox, mostly because I don't want to go through the rigmarole of installing Windows on my Mac. Yet, I also appreciate your advice. Even more so because you make the reader work through the problem rather than drag them through it. So I think the course is fairly clear. T...
by corvus
Tue Sep 09, 2008 4:07 am
Forum: Money Management
Topic: Maximum MAR; optimal betsize
Replies: 7
Views: 12162

Maximum MAR; optimal betsize

I've been reading through some past threads and I came across http://www.tradingblox.com/forum/viewtopic.php?p=17701&highlight=curvature#17701 which I found really interesting and clearly explained. Here is the part I am having trouble with: It's also fun to note that the maximum MAR ratio occurs at...
by corvus
Sun Feb 10, 2008 7:35 am
Forum: Money Management
Topic: Just thought I would show my face again...
Replies: 4
Views: 4527

Re: Just thought I would show my face again...

In the beginning of 2007 I lost a hundred and fifty grand in three days of hell and torture in the european S+P/MIB.. I watched every trade go wrong and bled from my eyes watching every stop get demolished and when the smoke cleared HALF of my account was AWOL!!! I took a two month break and then s...
by corvus
Tue Nov 20, 2007 10:35 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 22218

Any chance of recompiling TB for Mac OS? I know it's a fair amount of work but how many other trading/analysis programs are out there for the mac platform? I really wanted to buy a Mac laptop but ended up getting an IBM T60p instead. The ONLY reason I didn't buy a Mac is the screen size. They just d...
by corvus
Tue Nov 20, 2007 10:15 am
Forum: Testing and Simulation
Topic: After you started trading
Replies: 0
Views: 2569

After you started trading

A question or two for those who have developed a system and are currently trading it: How much time do you now spend developing new systems (if any) and do you do so to see if there is something "better" out there, you like the challenge, or ... why? My reason for asking this is based off reading Co...
by corvus
Tue Nov 13, 2007 10:37 am
Forum: Testing and Simulation
Topic: Benchmarking
Replies: 9
Views: 6623

I'm fairly certain I understand what you are saying: it's smart to keep the results of your research so that you can use it as either all or part of your overall trading system in the event it fits with the plan. But you probably would not field one the poor instantiations of a system unless you had...
by corvus
Fri Nov 09, 2007 11:21 am
Forum: Testing and Simulation
Topic: Benchmarking
Replies: 9
Views: 6623

Sluggo: I really appreciate the considered and detailed response. It wasn't exactly what I was thinking an answer would look like but in several ways it's more beneficial and thought provoking. One question immediately comes to mind though. You said that you keep a mental database of systems. Do you...
by corvus
Tue Nov 06, 2007 11:45 am
Forum: Testing and Simulation
Topic: Benchmarking
Replies: 9
Views: 6623

Benchmarking

This is the first topic I have started and I am hoping it's strong enough to generate lots of results... Before I start, let me state that while I don't think there is any such thing as a perfect system, I do think it quite useful to look at the performance of other systems as benchmarks. If you can...