Search found 14 matches

by Rush
Tue Jul 23, 2013 1:41 pm
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16233

One way to interpret the Robusti story is to imagine that all of the various Robusti family members are, in fact, just one person: You. Charles D. Robusti, the boss of the trading family, is YOU. You are the one that lays down the rules, the system testing procedures. You are also the developer of ...
by Rush
Mon Dec 05, 2011 3:49 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14633

Indeed but what is the answer here do you think?
You may consider exploring non-linear position sizing methods in respect of ATR.
For what matters, physicists say that for extremely low dimensions laws are different.
by Rush
Fri Nov 04, 2011 7:36 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11173

Dear Chris, I have done such test. It is possible to build precise metrics and definition and give a quantitative answer to the ever recurring question "Has the Market changed?". It puzzles me that everybody chose to answer in qualitative terms. I have carried my research over the last 30 years and ...
by Rush
Thu Oct 13, 2011 4:44 am
Forum: Trader Psychology
Topic: Current Market Psychology
Replies: 11
Views: 5580

Chris,

thank you for sharing your view on the current status of the Markets.

Historically high printing polices can lead to stock prices crashes (melt down and depression) or stock prices rallies (melt up and hyperinflation).

The outcome can be spotted by tracking the flow of the [printed] money.
by Rush
Mon Oct 10, 2011 5:58 am
Forum: Testing and Simulation
Topic: How do You De-leverage
Replies: 7
Views: 3798

But then, "when needed" could be described as a subjective criteria as well It depends. You can systematically define via rules any logic - as "when needed" - or you can acknowledge that system design is based on certain discretionary assumptions. You can test such assumptions. You can also systema...
by Rush
Fri Sep 09, 2011 9:34 am
Forum: Testing and Simulation
Topic: How do You De-leverage
Replies: 7
Views: 3798

[...encounter the difficult question: how often must I rebalance? Once every three months? Once every hour?]
How about re-balancing when needed rather than at a certain subjective intervals (e.g. three months.)?[/quote]
by Rush
Sun Jun 26, 2011 6:07 am
Forum: Brokers
Topic: eMIDAS offline, 25 June 2011?
Replies: 2
Views: 2844

the London version works for me.
https://london.emidas.com/

Maybe you have to post your location in front of emidas.com now for you too.
Brainstorming.

Cheers
by Rush
Thu Jul 01, 2010 5:12 am
Forum: Data Providers and other non testing software
Topic: cannot download Csidata this morning
Replies: 8
Views: 3831

I have downloaded at 00:30 a.m. Thusday 1st July successfully (london time).

It has to be later then.
by Rush
Mon May 24, 2010 5:06 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70276

Garner's article now available at the below link:

http://store.activetradermag.com/anthonygarner.aspx
by Rush
Wed Mar 24, 2010 11:51 am
Forum: Testing and Simulation
Topic: Independently Non Profitable Systems Enhancing Overall Perfo
Replies: 7
Views: 3360

I my testing I found that in order to "enhance the profitability / risk return characteristics of other systems / baskets of systems" neither of the below are essential characteristic of an “additionalâ€
by Rush
Thu Jul 09, 2009 4:51 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33258

Dear All, I feel that 167 different time series (taken from "Stocks Bonds Bills & Inflation" database) are arbitrarly selected and it seems we are missing the most funny-mental indicators available to successfully time the SP500 Index. If you use the 140 Countries International data series (publishe...
by Rush
Sun Feb 03, 2008 7:26 pm
Forum: Testing and Simulation
Topic: Anybody using Quad Core Machine for testing
Replies: 28
Views: 19791

PreFilter Screener

Roger, thanks for the help and the suggestions. I am wondering how can i achieve what you said: ... the process you would create in TB would be to look at each symbol and test it for compliance to your acceptance rules. For the candidate symbols that pass your testing, TB can write that symbol to di...
by Rush
Thu Jan 17, 2008 4:56 pm
Forum: Testing and Simulation
Topic: Anybody using Quad Core Machine for testing
Replies: 28
Views: 19791

database

Roger and Tim thanks for your support. Roger, even reducing the size of database via a pass screening, I think the main constrain remains the lenght of the database (40 years). Also, is any way in TB to filter the portfolio instruments by a certain cretiria (e.g. avg 100 daily volume >200k) first in...
by Rush
Wed Jan 16, 2008 3:55 pm
Forum: Testing and Simulation
Topic: Anybody using Quad Core Machine for testing
Replies: 28
Views: 19791

testing large database of stocks

I am trying to backtest my system on 15,000 ca. USA stocks over 40 years using daily OHLCV data, Divs and Stock Splits adjusted. I am using Intel Quad 6600, 3GB, Asus P5, 500MB HD. While on 3,500 stocks (NYSE only) everything is fine, on the full database I experience the following error message: "E...