Search found 15 matches

by Asterix
Mon Oct 18, 2004 6:33 pm
Forum: Testing and Simulation
Topic: Some puzzle about Walk Forward Optimization
Replies: 6
Views: 4747

Shakymuni wrote: Of course, this raises a paradox, because you are unlikely to know that you don’t know what you’re doing unless you know what you’re doing. There is far more truth to what you say than what you said! :wink: Maybe another way of stating this is: Ignorance is bliss, until you st...
by Asterix
Thu Oct 14, 2004 5:09 pm
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 12079

choppystride wrote: I thought one of the goals of a system is to exhibit performance consistency regardless of its test period (provided it's long enough and has covered various types of markets). This implies that its validity should be insensitive to its initial conditions (i.e. start date). It de...
by Asterix
Thu Oct 14, 2004 3:13 pm
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 12079

TC has a point. At the start, each market will be added incrementally as the entry points are triggered so you won't have a fully optimal portfolio until some time in the future. Forum Mgmnt, since Veritrader has this constraint built in, I would assume that it builds the portfolio incrementally. Is...
by Asterix
Thu Oct 14, 2004 12:59 pm
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 12079

Forum Mgmnt, If I understand you right, you are saying that you should only paper trade thru an already open position until it is closed out, and you should only enter a position at the true entry point. Is that a correct interpretation? On this same topic, has anyone attempted to use the equity cur...
by Asterix
Thu Sep 23, 2004 6:34 pm
Forum: Testing and Simulation
Topic: System performance
Replies: 9
Views: 7101

This may be more relevant under the topic of trading psychology, but I think "good performance" also depends on what YOU want from your system. For example, if getting a good night's sleep is important, maybe a little lower rate of return but a lot less variability in your equity is a better trade-o...
by Asterix
Wed Sep 22, 2004 3:56 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20246

c.f. wrote: Even at unhead of speeds like 2 tests per second for a full-portfolio 25 year test, it will take 15 hours to run 100,000 complete tests. So we want to make sure we are smart about how those tests are run. One additional suggestion here. All instruments (futures, stocks, etc) trade in fin...
by Asterix
Wed Sep 22, 2004 2:34 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20246

Wow! :shock: I'd like to say I'm really impressed at the brain power on this thread. Forum Mgmnt, if you can implement anything close to what you suggested in your last post, Veritrader will be head and shoulders above any other system trading development toolkit. One question, on your last post you...
by Asterix
Tue Sep 21, 2004 5:29 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20246

I think Automated Robustness Checking is another great idea that would put Veritrader way ahead of the other toolkits. This feature would go a long way to expose potential problems in the trading system by thoroughly exercising the system over a range of values that are close to the optimum inputs. ...
by Asterix
Tue Sep 21, 2004 1:55 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20246

I think this thread is hitting on one of the most important factors in developing a trading system. How can you tell if the system will work in the future? Adding the Parameter Sensitivity analysis to Veritrader is, in my opinion, a BIG plus for this package. My one criticism of the commercial apps ...
by Asterix
Mon Sep 20, 2004 3:33 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20246

I've put a lot of thought into this particular question. How can you tell if your system will produce similar results in the future? Just like there is no holy grail trading system, there does not appear to be a definitive answer to this question. But there may be some clues as to what to look for i...
by Asterix
Thu Aug 26, 2004 1:45 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 38720

I believe ksberg is pointing out a common error that occurs thru a misunderstanding of statistical analysis. If you run a test on a system and find that a certain size of drawdown only occurs 20% of the time, it does not follow that this steep of a drawdown won't emerge until you've traded the syste...
by Asterix
Wed Aug 25, 2004 7:04 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 38720

TK wrote: I remember myself performing once a Monte Carlo simulation of a LTTF system results using data up until the end of 2002. The result I got was that the chance that MaxDD would reach 60% or more was below 10% (if my memory serves me well). Sure it felt good, as if it just couldn't happen. Th...
by Asterix
Wed Aug 25, 2004 3:35 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 38720

I think this thread points to some room for possible improvement in system testing software. Knowing the size (or %) of the maximum drawdown isn't sufficient data. It would be much better to take all the drawdowns encountered in the system test calculations and report the statistics of the entire se...
by Asterix
Wed Jun 23, 2004 12:12 pm
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 21113

Another Approach to Monte Carlo Simulation

I began experimenting with MC analysis of trading system results about 10 years ago and wrote a program that does some of what c.f. describes in his post. (i.e. extending the distribution to account for the fat tails.) After reading more on the topic of dependency, I began to question the validity o...
by Asterix
Wed Jun 23, 2004 11:33 am
Forum: Money Management
Topic: Total Capital Requirements
Replies: 5
Views: 6092

I'm curious to hear what others have to say about what I might call the Novice Trader's Dilemna. Here is how I would describe it. Most new traders start with small capital - maybe $5000 to $15000 is a good guess. As I've seen discussed in several different places on this forum, a good trend followin...