Search found 32 matches

by enigma
Wed Sep 15, 2004 9:02 am
Forum: Stocks
Topic: Yahoo finance data
Replies: 6
Views: 7691

Thanks for the info guys... another question is... do any of you know how Yahoo adjust for dividends?... From their data, it seems like they are just subtracting the whole historical series by any new dividends, almost like the way one back-adjust futures data. However, it does not seem to be the ca...
by enigma
Mon Sep 13, 2004 6:11 pm
Forum: Stocks
Topic: Yahoo finance data
Replies: 6
Views: 7691

Yahoo finance data

Does anyone has any idea on the reliability of yahoo's data on historical stock prices? Thanks...

Louis
by enigma
Mon Sep 13, 2004 6:06 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123987

Hi Forum Mgmnt,

I remember that you mentioned writing a paper on robust position sizing (correct me if I'm wrong) quite sometime back. Will you be posting it on this site? Cheers..

Louis
by enigma
Fri Jul 02, 2004 4:53 am
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 12457

Leonardo, always enjoy reading your posts :) Love the trading stories and insights... thanks!
by enigma
Thu Nov 20, 2003 11:09 am
Forum: Money Management
Topic: Question about money management
Replies: 18
Views: 11800

The point that Joe made is similar to the problem that I highlighted quite some time ago about Van Tharp's position sizing example with %-vol. http://www.tradingblox.com/forum/viewtopic.php?t=377&highlight=van+tharp c.f.' paper already show how to use the %-vol method together with the fixed-fractio...
by enigma
Sun Nov 09, 2003 6:21 am
Forum: Testing and Simulation
Topic: Interesting test results (for a budding tester at least)
Replies: 5
Views: 5777

Jimmy, correct me if I'm wrong, but it seems like you've tested your system on the same set of data in which you optimised over for your 20yr test, which is why the results look so good. You would need to test out-of-sample data for a better gauge of robustness and realism.

Louis
by enigma
Sat Oct 18, 2003 6:38 am
Forum: Testing and Simulation
Topic: C++ Sim
Replies: 5
Views: 4699

hi Chris,

What are the main differences between VBA and VB.Net? Thanks.
by enigma
Thu Sep 11, 2003 1:19 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 12071

Hi Al, You're right in that there aren't enough data for SSFs for proper backtesting and using the underlying stocks as a proxy for the futures may not be the best either :( But, I would have thought that the same logic would apply to LEAPs as well, since the value of the options are also affected b...
by enigma
Thu Sep 11, 2003 12:32 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 12071

hi Al,

I think under most situations, speculating with single stock futures will be better than using LEAPs... but of course, there aren't that many SSFs around at the moment.
by enigma
Fri Aug 29, 2003 6:26 am
Forum: Trader Psychology
Topic: Systems, merit and philosophy
Replies: 15
Views: 12039

I didn't think that the Turtle experiment proved whether traders are born or could be bred. Firstly, the candidates went through quite a bit of screening before being selected for the test. This indicated that Dennis and Eckhardt were already looking for characteristics of a good trader, which kinda...
by enigma
Thu Aug 28, 2003 8:47 am
Forum: Testing and Simulation
Topic: which price series to use?
Replies: 2
Views: 2986

which price series to use?

Say I currently hold a position in a July futures contract and I'm using a 14-day ATR trailing stop. Then when it's time for me to rollover to the September contract, which price series should I use to calculate the trailing stop. At first, I thought it should the September contract since that is th...
by enigma
Tue Aug 19, 2003 11:05 am
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 26354

I tried to obtain historical futures prices from Bloomberg a month ago and found that most of the data do not go back very far. Moreover, for some futures, there are a lot of missing data in the series. Does anyone have the same experience?
by enigma
Thu Jul 24, 2003 11:05 am
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9767

Hi Chris, I think your use of the term diversification needs to be more specifically defined. As some of the other threads have already pointed out, one can diversify across markets, time frames and systems. For example, if one is a passive investor and applies the buy and hold strategy, broad diver...
by enigma
Tue Jul 22, 2003 11:45 am
Forum: Trend Indicators and Signals
Topic: sentiment indicators
Replies: 1
Views: 4011

sentiment indicators

Are there available data on the implied vol. and the put/call ratio for commodity futures options that can be used similarly to the VIX (for example) for stock options as sentiment indicators?
by enigma
Fri Jul 11, 2003 8:50 am
Forum: Stocks
Topic: shorting stocks
Replies: 7
Views: 9000

Again, thanks for the reply everyone. On a separate issue, I tested the breakout system (long only) given in Tharp's TYWTF with the fixed fraction and % volatility on S&P 500 stocks and found that generally, I can't trade more than 3-4 stocks at anyone time because of the high prices of the stock ev...
by enigma
Fri Jul 11, 2003 8:09 am
Forum: Testing and Simulation
Topic: When to change system rules
Replies: 9
Views: 7774

damian, Edward ... thanks for the replies.
by enigma
Sat Jul 05, 2003 8:58 am
Forum: Stocks
Topic: shorting stocks
Replies: 7
Views: 9000

shorting stocks

How does one usually deal with the issue of backtesting a stock system when shorting is affected by the up-tick rule? Let's say my system uses daily data only and I run the system everyday when the markets are closed. Would the following work? 1. At the end of day 1 I get a signal to short a stock. ...
by enigma
Thu Jul 03, 2003 7:59 am
Forum: Testing and Simulation
Topic: When to change system rules
Replies: 9
Views: 7774

When to change system rules

Are there general rules that can be used in order to indicate when one should be changing the rules of one's system? I remember either Dennis or Seykota talking about finding better rules to change the rules in Market Wizards. Or is this a highly subjective issue?
by enigma
Sat May 24, 2003 8:09 am
Forum: Market Psychology
Topic: Concepts of behavioral finance ...
Replies: 11
Views: 20110

Hi rs, Let me try to have a crack at this. I think whether human nature changes or not is a matter of perspective. From one angle, people are always changing to adapt to new conditions, but on the other hand, emotions are always there, but what may have changed is how the emotions are triggered. Say...
by enigma
Thu May 15, 2003 11:20 am
Forum: Money Management
Topic: Research papers
Replies: 5
Views: 5768

great site Moodaeng ... thanks! :D