Search found 29 matches

by Hiramhon
Sat Dec 25, 2004 10:06 pm
Forum: Trend Indicators and Signals
Topic: Bollinger Band Breakout Systems
Replies: 3
Views: 6479

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...
by Hiramhon
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: 83
Views: 77597

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...
by Hiramhon
Tue Nov 23, 2004 9:01 am
Forum: Money Management
Topic: simulation
Replies: 3
Views: 4620

Please post some of your actual simulation results and a description of the experiments you performed that led to those results.
by Hiramhon
Mon Nov 01, 2004 1:49 pm
Forum: Testing and Simulation
Topic: Help with trading systems for illiquid market
Replies: 5
Views: 4245

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...
by Hiramhon
Mon Sep 20, 2004 7:48 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 20217

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...
by Hiramhon
Fri Sep 03, 2004 5:01 pm
Forum: Trend Indicators and Signals
Topic: Filtering trade entry signals
Replies: 11
Views: 18338

In my mind, the average trade of a "long term trend following system" lasts 3 months or longer (entry date to exit date), taking the average over all trades in all markets in the portfolio. However the average trade of an "intermediate term trend following system" lasts between 3 weeks and 9 weeks, ...
by Hiramhon
Fri Sep 03, 2004 4:25 pm
Forum: Data Providers and other non testing software
Topic: Whats happened to Troy (oowdg)??
Replies: 25
Views: 19783

The phone number on his website shows area code (561) which is Boca Raton, Florida. I'm guessing he'll say that the severe weather in Florida has something to do with this interruption.
by Hiramhon
Wed Aug 25, 2004 1:31 pm
Forum: Testing and Simulation
Topic: The future of LTTF system testing
Replies: 4
Views: 3791

Drawdowns are determined by the positionsizing method used. It's not correct to say that "system A has suffered a 60% drawdown" without also mentioning the positionsizing that led to that DD. Another person could trade system A while risking one tenth of one percent of equity on each trade, and that...
by Hiramhon
Sun Jul 25, 2004 11:37 am
Forum: Futures Markets
Topic: Which month contract to trade?
Replies: 5
Views: 4944

If you want to ask Total Newbie Questions, there's a special forum set aside just for those. When you do it would be helpful to mention the introductory books that you are having trouble with. For example, "I'm reading Getting Started in Futures by Todd Lofton and I have a question about chapter 16,...
by Hiramhon
Thu Jul 01, 2004 8:22 am
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 12406

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...
by Hiramhon
Wed Jun 02, 2004 11:25 am
Forum: Testing and Simulation
Topic: walk forward testing
Replies: 1
Views: 2756

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...
by Hiramhon
Mon May 31, 2004 8:56 am
Forum: Testing and Simulation
Topic: Variability Due to Differing Rolling Algorithms
Replies: 8
Views: 5745

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...
by Hiramhon
Sun May 30, 2004 10:18 am
Forum: Testing and Simulation
Topic: Variability Due to Differing Rolling Algorithms
Replies: 8
Views: 5745

If you are frightened of trying out different rollover schemes, for fear of accidentally picking one that's too good to be true, you could adopt an industry standard one that hasn't changed in over eight years. It may be "good", it may be "mediocre", it may be "lousy", but at least you didn't pick i...
by Hiramhon
Sun May 30, 2004 10:04 am
Forum: Trend Indicators and Signals
Topic: The logic of exits
Replies: 8
Views: 6871

I have a different opinion. I feel that the value of testing is greater than the value of theorizing or opinion-collecting. Naturally I have tested this opinion. The test data, in my opinion, supports it. :P
by Hiramhon
Tue Apr 13, 2004 1:30 am
Forum: Money Management
Topic: Comments on My Money Management Algorithm?
Replies: 4
Views: 8926

Yes, your thinking is wrong. You seem to be interested in the MAXIMUM POSSIBLE number of occurrences of "N losses in a row". Consider the case of three losses in a row. Clearly and obviously the maximum possible number is 16 occurrences of three losses in a row, when there are exactly 50 losses in 1...
by Hiramhon
Fri Apr 09, 2004 7:34 pm
Forum: Forex
Topic: The meaning of risk.
Replies: 1
Views: 3635

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...
by Hiramhon
Tue Mar 23, 2004 11:37 am
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 22930

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...
by Hiramhon
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: 83
Views: 77597

Roscoe, how about giving us your comments on the GPF at that link?
by Hiramhon
Mon Mar 22, 2004 1:32 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 22930

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...
by Hiramhon
Tue Mar 16, 2004 10:52 pm
Forum: Trend Indicators and Signals
Topic: Wavelets
Replies: 4
Views: 5089

Dick Grayson / Commissioner Gordon,

You're going to need to get down and get nasty, starting with the Daubechies coefficients and working outwards. I'd recommend Numerical Recipes (of course), and also Barbara Burke Hubbard's text The World According To Wavelets (ISBN 1-56881-072-5).