Search found 19 matches
- Mon Aug 29, 2005 9:58 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26493
Maybe I got part of the answer myself, I simply tested the system using the last 300 trades instead of the first 300 and the simulation after 635 trades gave extremely good results, much better then the real ones. Any suggestion on how to take into account a different market behaviour? The system wa...
- Mon Aug 29, 2005 7:12 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26493
Hi, I did the following on an excel spreadsheet I prepared and that I'm currently testing: I copied the trades I got from tradestation's report I scrambled these trades allowing recycle (in practice I filled new arrays of the same length picking randomly from the trades sequence) I analysed the retu...
- Wed Jul 20, 2005 5:41 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26493
I'd like to go back to this old topic and to discuss the following: let's suppose we have a number of backtesting trades from a system,let's say 250 trades (it is just an example). Let's look at different approaches: 1) we take the distribution characteristics, average trade, standard deviation and ...
- Mon May 30, 2005 7:37 am
- Forum: Testing and Simulation
- Topic: portfolio simulation
- Replies: 0
- Views: 2806
portfolio simulation
Hi, I'm currently struggling with Portfolio stream of RINA and wealthlab to test a system on a portfolio of stocks. Both software leave some doubts and lead to some difficulties to manage the target, what are, in your opinion, the best software to test an idea on a group of symbols whatever format t...
- Mon Jan 10, 2005 8:16 am
- Forum: Money Management
- Topic: has anybody developed an excel macro
- Replies: 7
- Views: 8690
- Mon Jan 10, 2005 4:35 am
- Forum: Money Management
- Topic: has anybody developed an excel macro
- Replies: 7
- Views: 8690
- Mon Jan 10, 2005 1:37 am
- Forum: Money Management
- Topic: has anybody developed an excel macro
- Replies: 7
- Views: 8690
- Wed Nov 24, 2004 6:51 am
- Forum: Money Management
- Topic: simulation
- Replies: 3
- Views: 5665
I update you with latest outcomes: Together with the money management strategy I'm also testing different ways to stop trading a strategy when it's going worse. So I tested a stop in my strategy once the equity dropped under the 30 periods average, the final results were much worse then the original...
- Tue Nov 23, 2004 9:22 am
- Forum: Money Management
- Topic: simulation
- Replies: 3
- Views: 5665
I explain: I have 3 strategies and they work together, all together in 6 years of backtesting they gave about 4600 trades, I put all the trades in chronological order intoexcel and applied a money management strategy to start from 80k and risk a fraction of 4% up to 200k, then 3% to 400k and at last...
- Tue Nov 23, 2004 8:24 am
- Forum: Money Management
- Topic: simulation
- Replies: 3
- Views: 5665
simulation
Hi guys, here: http://www.tradingblox.com/forum/viewtopic.php?t=139&start=15 I asked some questions about montecarlo simulation, now I would like to bettere define my questions: if I plan a contract size increase based on a historical list of trades and I grow for example from 10.000 USD to 1.00...
- Wed Nov 17, 2004 9:05 am
- Forum: Money Management
- Topic: has anybody developed an excel macro
- Replies: 7
- Views: 8690
has anybody developed an excel macro
Hi, I was mixing and remixing data un some excel files and I was starting to think about the development of a macro do calculate the drawdown of an equity. So I suppose I have the equity sotred trade by trade in the cells of my spreadsheet, I can graph it and from the graph evalutae the maximum draw...
- Mon Nov 15, 2004 5:11 am
- Forum: Money Management
- Topic: main methods comparison
- Replies: 1
- Views: 3752
main methods comparison
Hi guys, I read time ago an article of Murray Ruggiero Jr where he was comparing optimal f Vs fixed ratio. I understand fixed ratio is one of the most common systems and I personally like it very much. To compare it with optimal f is not very realistic and I would compare it to fixed fraction method...
- Fri Jul 23, 2004 9:00 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45935
You've got test results but you don't trust them. Why not? Thanks for your answer, I go immediately to the point, my results look very good, maybe too good, I can imagine worse scenarioes and live with them with no problm as there is still room for good profits; what I fear is the disaster, I can't...
- Fri Jul 23, 2004 5:54 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45935
IMO and many others (there is much discussion 2 yrs back on omega group threads with good testing to justify the opinions) Ryan is just selling books. If you can trade you trade. If not ..... The best money management for normal players is to bet a fixed fraction of your equity on every trade. You ...
- Thu Jul 22, 2004 5:21 am
- Forum: Money Management
- Topic: There should be a limit
- Replies: 3
- Views: 5496
Thanks for the reply, I've got another concern to tell the truth, playing with the numbers on my strategies the outcomes are astonishing even keeping the number of contracts within acceptable limits, obviously together with very large winning trades also bad periods come to reality and with many con...
- Tue Jul 20, 2004 3:26 pm
- Forum: Money Management
- Topic: portfolio management
- Replies: 2
- Views: 4523
portfolio management
Hi, I just read this chapter in Jones's book and, while the development of the theory seemed quite nice, I got puzzled by the fast explanation about the practical mangement of contracts trading different futures. All I found is a summary table with the astonishing data but I fear being astonished in...
- Tue Jul 20, 2004 3:19 pm
- Forum: Money Management
- Topic: There should be a limit
- Replies: 3
- Views: 5496
There should be a limit
Hi everybody, I read several threads here and 'm also reading Ryan Jones work, I'm really fascinated by the scenario I'm discovering but I have a question (or a doubt maybe). Theoretically we start from very few contracts to possibly increase them using a valid strategy. let's suppose everything wor...
- Mon Jul 19, 2004 9:22 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45935
- Mon Jul 19, 2004 8:30 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45935