Search found 13 matches

by Murray Ruggiero
Sun Jun 12, 2005 1:51 pm
Forum: Testing and Simulation
Topic: Developing and Testing systems on baskets of markets
Replies: 0
Views: 2496

Developing and Testing systems on baskets of markets

I recently gave a talk in which I showed the power of developing systems on baskets of market as well as combining multiple systems. During my presentation I went though the process of developing three different trading systems one for trend following, another for trading interest rate futures and t...
by Murray Ruggiero
Wed Jun 08, 2005 4:08 pm
Forum: Testing and Simulation
Topic: Trading a Basket of Stocks Nasdaq 100 Tutorial
Replies: 3
Views: 2813

My Comments

Yes you are correct, I could have entered using an offset off of the open but this would have not made the system truly tradable using end of day data. In fact I could create a better system if I wanted to get in off of the open. Using the true Crabel entry requires getting the open before placing t...
by Murray Ruggiero
Sat Jun 04, 2005 8:33 pm
Forum: Testing and Simulation
Topic: Trading a Basket of Stocks Nasdaq 100 Tutorial
Replies: 3
Views: 2813

Trading a Basket of Stocks Nasdaq 100 Tutorial

I have added a tutorial to my site on trading equities( stocks) . The tutorial is a case study of a Nasdaq 100 stock-trading system I developed based on the work of Toby Crabel as well as Intermarket analysis. This system also shows the power of being able to optimize across a basket of market. In t...
by Murray Ruggiero
Thu May 05, 2005 8:41 pm
Forum: Money Management
Topic: reasonable approach of the Kelly formula
Replies: 5
Views: 7698

Found Ralph's home page today

Here is Ralph Vince's the URL
http://home.earthlink.net/~rvince99/
by Murray Ruggiero
Tue May 03, 2005 9:37 am
Forum: Money Management
Topic: reasonable approach of the Kelly formula
Replies: 5
Views: 7698

I read Ralph books a long time ago and did not remember that he used f as a measure to optimize a systems performance against. What this is doing is balancing profit with the largest losing trade. This is an automated way of optimizing to remove a few large losing trades, which if the sample size is...
by Murray Ruggiero
Sun May 01, 2005 10:51 pm
Forum: Money Management
Topic: reasonable approach of the Kelly formula
Replies: 5
Views: 7698

Tutorial on Optimal f

I have just posted a free tutorial on my site www.TradersStudio.com The free tutorial is available at http://tradersstudio.com/Default.aspx?tabid=36 I have included the code for calculating optimal f, which was not show in the video as an attachment to this entry in this forum. I have implemented op...
by Murray Ruggiero
Sun Jan 23, 2005 11:37 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10756

Getting in at the open price.

Are you wanting to get in on the open or can we make the order become a limit at the opening print.
by Murray Ruggiero
Sun Jan 23, 2005 5:04 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10756

Slippage on the open and close

The Question must be asked what type of stocks, SP500,Nasdaq 100, or smaller stocks. The more liquid a stock the tighter the bid -ask range so the closer your fill would be on the open or close. If you are trading Nasdaq 100 stocks or DOW stock , I would say very close, if you are trading smaller st...
by Murray Ruggiero
Thu Nov 11, 2004 11:05 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75114

How good is my system

In an article I did several years ago, I tested how robust a given system was by optimize it over a large range of values and measuring the returns and standard deviation of returns across the range of parameters. We wanted to see an average positive expectation greater than the standard deviation a...
by Murray Ruggiero
Fri Oct 15, 2004 11:11 pm
Forum: Testing and Simulation
Topic: Toby Crabel's methodology
Replies: 8
Views: 11270

Crabel and Futures Magazine

I am currently writing a series of article on pattern based trading, I discussed and tested the Crabel patterns in upcoming futures article, three part series. The series is running in the Oct,Nov,Dec issues this year I think. I did my analysis based on some measure of range not fixed points.
by Murray Ruggiero
Fri Oct 15, 2004 11:04 pm
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 10243

Number of trades

The problem with building a system on a single market is do you have enough trades. That is one place which building them on multiple markets help.
by Murray Ruggiero
Fri Oct 15, 2004 11:28 am
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 10243

If you notice, the system was released in 1997, and did set a few equity peaks after release. I am not saying this was one of my best system in retrospect but sometimes mechanical system do not hold up because of various reasons. Another point I would like to make is this was seven years ago. In ter...
by Murray Ruggiero
Fri Oct 15, 2004 12:03 am
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 10243

Will a system make money in the future

One point I would like to make on this thread is that the premise of the system is the most important thing. What is the system based on; a good premise goes along way. You could have a system with a lot of trades but not a good premise and you’re in trouble. I once had a client who made a lot of ...