Search found 35 matches
- Wed Jun 04, 2014 11:16 am
- Forum: Data Providers and other non testing software
- Topic: Portara & CQG Datafactory - Professional Data Service
- Replies: 17
- Views: 19294
Our Firm has been beta testing Portara for the past two years or so and I can honestly say that it is the most versatile price data management solution for futures data that we have come across. The ability to create daily bars based on custom start and end times is a game changer. The decision to p...
- Tue Aug 26, 2008 1:35 pm
- Forum: Testing and Simulation
- Topic: Robustness vrs New Markets
- Replies: 9
- Views: 8109
- Tue Aug 26, 2008 8:54 am
- Forum: Testing and Simulation
- Topic: Robustness vrs New Markets
- Replies: 9
- Views: 8109
- Thu Jun 26, 2008 10:57 am
- Forum: Testing and Simulation
- Topic: WARNING: Potential problem with CSI Unadjusted Close field
- Replies: 12
- Views: 10617
- Tue Jun 24, 2008 5:31 pm
- Forum: Testing and Simulation
- Topic: WARNING: Potential problem with CSI Unadjusted Close field
- Replies: 12
- Views: 10617
- Fri Jun 06, 2008 5:05 am
- Forum: Testing and Simulation
- Topic: WARNING: Potential problem with CSI Unadjusted Close field
- Replies: 12
- Views: 10617
- Thu Jun 05, 2008 6:35 pm
- Forum: Testing and Simulation
- Topic: WARNING: Potential problem with CSI Unadjusted Close field
- Replies: 12
- Views: 10617
WARNING: Potential problem with CSI Unadjusted Close field
I recently started scrutinizing the unadjusted close data generated by CSI UA ASCII field layout option "U" (Futures data only). Assuming that there are no specific issues with the versions of UA I tried (i.e. 2.9.3 and 2.10.3), there appears to be a serious problem with the unadjusted clo...
- Fri Apr 06, 2007 7:32 am
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
Rentec is short for Renaissance Technologies ( http://www.rentec.com ). Their expertise is believed to be high frequency trading. The following is from Wikipedia: Renaissance represents a validation of the quantitative trading model and trades with such high-frequency that it (the Nova fund, specifi...
- Thu Apr 05, 2007 10:58 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
- Thu Apr 05, 2007 10:14 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
jankiraly - I never meant to imply that one should always trade on the open. Hiring traders or purchasing/outsourcing to/leasing an Algorithmic trading solution to minimize market impact costs is easier said than done. It is akin to allocating a portion of your capital to a high frequency trading ov...
- Wed Apr 04, 2007 4:37 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
- Wed Apr 04, 2007 4:06 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
The reason I brought up the topic of slippage determination for MOO/MOC orders is that some traders compare their fills for these types of orders to the actual open/close of the day. I contend that this approach is incorrect - especially when trading in size and/or in illiquid markets. When a trader...
- Wed Apr 04, 2007 10:53 am
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39871
- Tue Mar 27, 2007 12:45 pm
- Forum: Money Management
- Topic: How Many Systems are Enough?
- Replies: 5
- Views: 9219
AFJ - assuming that you have an exposure cap by sector or sub-sector (e.g. max x% to equity index futures or max y% cap to European equity index futures), it probably makes sense to allocate to as many markets as possible within each sector/sub-sector subject to account size constraints (i.e. an inv...
- Mon Mar 26, 2007 11:38 am
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39437
- Fri Mar 23, 2007 5:20 pm
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50722
The folks over at the RiskMetrics Group have thought long and hard about this subject: http://www.riskmetrics.com/stressovv.html The full article can be found starting on page 61 of the following document: http://www.gloriamundi.org/picsresources/jkcf.pdf Interesting approach but not trivial to impl...
- Fri Mar 23, 2007 3:31 pm
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50722
- Fri Mar 23, 2007 3:09 pm
- Forum: Testing and Simulation
- Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
- Replies: 13
- Views: 14413
Here's a system inspired by this discussion: System 1 Rules: 1 - Pick a random number X between 20 and 200 2 - Wait X trading days 3 - Pick another random number Y between 20 and 200 4 - Flip a coin. If it is heads, enter a Long position and hold for Y trading days. If it is tails, enter a Short pos...
- Thu Mar 01, 2007 9:01 am
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50722
- Wed Feb 28, 2007 4:40 pm
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50722
How about the use of randomized portfolios instead of synthetic data as a means of testing system robustness? About a year ago, I wrote a Portfolio Manager blox which generates random portfolios based on specific sector constraints (see attached). The sector names must be in a specific format and ne...