Search found 29 matches
- Sat Dec 25, 2004 10:06 pm
- Forum: Trend Indicators and Signals
- Topic: Bollinger Band Breakout Systems
- Replies: 3
- Views: 7653
Hi spitt2000 please tell us a little bit about yourself? Have you ever paper traded? Have you ever paper traded a mechanical system? Have you ever placed a real trade with real money? Have you ever placed a real trade with real money, based on a signal from a mechanical trading system? Have you ever...
- Fri Dec 03, 2004 8:25 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 104037
Schwager is the victim of his own experience. He was a high powered executive in the futures industry (Director of Research at Prudential). He personally interviewed three dozen of the finest traders in the world and got them to tell him about their trading approaches, in his books Market Wizards (I...
- Tue Nov 23, 2004 9:01 am
- Forum: Money Management
- Topic: simulation
- Replies: 3
- Views: 5700
- Mon Nov 01, 2004 1:49 pm
- Forum: Testing and Simulation
- Topic: Help with trading systems for illiquid market
- Replies: 5
- Views: 6032
All markets are illiquid if you're trading large enough size. If your typical order is >25% of the daily trading volume, that market is extremely illiquid for you. So the first thing to do is look at the distribution of daily trading volume. I'd suggest you look at the 30th percentile of the distrib...
- Mon Sep 20, 2004 7:48 pm
- Forum: Testing and Simulation
- Topic: Robust Optimization
- Replies: 26
- Views: 27315
Unfortunately the histogram isn't a realistic example. Usually there are 3 or 4 parameters being systematically varied, and 2 or 3 output results. For the Turtle system, imagine varying the entry breakout #days, the exit breakout #days, and the failsafe breakout #days. The output results are MAR and...
- Fri Sep 03, 2004 5:01 pm
- Forum: Trend Indicators and Signals
- Topic: Filtering trade entry signals
- Replies: 11
- Views: 21448
- Fri Sep 03, 2004 4:25 pm
- Forum: Data Providers and other non testing software
- Topic: Whats happened to Troy (oowdg)??
- Replies: 25
- Views: 25501
- Wed Aug 25, 2004 1:31 pm
- Forum: Testing and Simulation
- Topic: The future of LTTF system testing
- Replies: 4
- Views: 5103
- Sun Jul 25, 2004 11:37 am
- Forum: Futures Markets
- Topic: Which month contract to trade?
- Replies: 5
- Views: 6368
- Thu Jul 01, 2004 8:22 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 17025
The chasm between word and deed is so remarkable that I shall remark upon it. For the former we have I learn by trying, asking, trying, failing, asking, trying, failing, asking.... Luckily it was encouraged at my university and my excellent place of employment. We need to be kind to new entrants Tho...
- Wed Jun 02, 2004 11:25 am
- Forum: Testing and Simulation
- Topic: walk forward testing
- Replies: 1
- Views: 3432
First figure out what you want, then test for that. For example, suppose that you want a (system + parameterset) whose CAGR and MaxDD over the period 1999-2004, are very close to its CAGR and MaxDD over the period 1988-1998. If this is what you want, wonderful. Congratulations on your self-knowledge...
- Mon May 31, 2004 8:56 am
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7883
I've tested ((system A) plus (24-hour-data)) against ((system A) plus (day session only data)). After looking at the test results, I chose to implement the latter in my actual trading account. But this was only a computer study. To do a really thorough job you'd need to open two accounts with the sa...
- Sun May 30, 2004 10:18 am
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7883
- Sun May 30, 2004 10:04 am
- Forum: Trend Indicators and Signals
- Topic: The logic of exits
- Replies: 8
- Views: 9097
- Tue Apr 13, 2004 1:30 am
- Forum: Money Management
- Topic: Comments on My Money Management Algorithm?
- Replies: 4
- Views: 10669
- Fri Apr 09, 2004 7:34 pm
- Forum: Forex
- Topic: The meaning of risk.
- Replies: 1
- Views: 4368
The Bulletin of the Atomic Scientists has been continuously estimating the risk of an all-out nuclear war, for more than 50 years. They express this risk as a Doomsday Clock; when the clock reaches midnight, the earth is incinerated. The present reading is 11:53 PM, seven minutes before midnight. Y...
- Tue Mar 23, 2004 11:37 am
- Forum: Money Management
- Topic: Portfolio heat
- Replies: 27
- Views: 29375
Take a long position on A and a short position on A. Now we have a zero correlation: correlation(long(A), short(A)) =0 That isn't true. The correlation of long(A) with short(A) is -1.00000. Try it in Microsoft Excel, the function name is CORREL. You'll get negative one. Honest. Its online help is c...
- Mon Mar 22, 2004 8:56 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 104037
- Mon Mar 22, 2004 1:32 pm
- Forum: Money Management
- Topic: Portfolio heat
- Replies: 27
- Views: 29375
It's not so terribly complicated; each instrument can be in one of exactly three states (long, short, out), so for a pair of instruments there are only nine cases to analyze (3 states for A, times 3 states for B, equals nine cases). Your table lists eight of the nine cases. When you write computer s...
- Tue Mar 16, 2004 10:52 pm
- Forum: Trend Indicators and Signals
- Topic: Wavelets
- Replies: 4
- Views: 6497