Search found 16 matches

by DrHendricks
Thu Feb 10, 2005 11:59 pm
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 5501

strong and back-tested reasons Hmmm... sounds like a good argument for leaving it as user defined code in a trading blox rather than something Veritrader does automatically. Another alternative to randomization would be to rank them based on some measure of technical strength, RSI, Efficiency Ratio...
by DrHendricks
Thu Dec 30, 2004 1:01 pm
Forum: Testing and Simulation
Topic: How Do YOU Simulate?
Replies: 7
Views: 5521

To the Wealthlab aficionados, do you really use other user's posted code or is this just a cool thing to have?
Although I wouldn't say I'm an aficionado, I used it mostly as a teaching tool to learn how to implement my own ideas in Wealthscript.
by DrHendricks
Wed Dec 29, 2004 7:04 pm
Forum: Brokers
Topic: Stop Order Acceptance
Replies: 17
Views: 15171

c.f. wrote-
the broker rejected trades where the close had already penetrated the stop
Forum Mgmnt, just to clarify are we talking real live broker or online order entry system?
by DrHendricks
Mon Dec 27, 2004 2:37 pm
Forum: Testing and Simulation
Topic: How Do YOU Simulate?
Replies: 7
Views: 5521

Speed

Ro wrote: I would be very interested to hear some objective opinions on this subject from someone, perhaps more seasoned than myself in using mechanical trading systems, who has tested some of the other products mentioned here. If you really want to see the lights dim, try coding in some calculation...
by DrHendricks
Sun Nov 14, 2004 9:05 pm
Forum: Custom C++ or Java Platforms
Topic: C++ Platform Design - Speed vs. Complexity
Replies: 16
Views: 17537

CSI survivor data

I know that opening the stockfact2.adm one of the first symbols I found was for Dr. Pepper, so I believe its possible to include delisted symbols and find this on CSI API help page: 4.1.1.3 Func: FindMarketNumber FindMarketNumber searches an internal database (cdbfacts.adm) for any exact match to th...
by DrHendricks
Tue Sep 28, 2004 10:00 pm
Forum: Futures Markets
Topic: does anyone have
Replies: 5
Views: 4292

Coach, Tom Basso wrote a pamphlet but I can't remember if it was for the merc or CBOT. You might try emailing them.
by DrHendricks
Tue Sep 14, 2004 3:30 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

For all these reasons it seems that Kelly's strategy is not an optimal strategy from the practical point of view.
There you have it.
by DrHendricks
Tue Sep 14, 2004 3:00 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 123216

Which betting system is the optimal one? I think part of your problem in receiving an answer is that you haven't supplied enough information in the question. My initial reaction was "Optimum as defined how"? Most people in the final analysis define optimum as a function of their goal. Are you tryin...
by DrHendricks
Mon Jun 21, 2004 3:44 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 37079

The martingale works best if you have a very small bankroll to begin with.
This certainly would have worked best for Barings if it had been the case for Nick Leeson.
by DrHendricks
Thu Mar 25, 2004 12:17 pm
Forum: Futures Markets
Topic: What course would you suggest?
Replies: 9
Views: 12055

I too purchased the batting .800 material and can say that RangeRover is exactly right.

Well said.

David
by DrHendricks
Tue Mar 23, 2004 8:10 pm
Forum: Futures Markets
Topic: Trading strategies and discussion
Replies: 13
Views: 9965

I turn low risk ancillary trades into longer term trades whenever possible, increasing my net size in the trend without additional initial risk.
Leonardo would you care to illustrate what you mean by this with an example.

Thanks

David
by DrHendricks
Sat Jan 31, 2004 2:40 pm
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 24795

Examples

1) Filter simultaneous day signals for all markets prior to sizing based on trend strength

2) assign risk percent differently based on type of trade
i.e. 1st unit, strong trend late trend addon, etc.

3) scale out or adjust stop daily based on aggregrate potfolio risk
by DrHendricks
Wed Jan 28, 2004 12:06 am
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 24795

Languages

Hi Forum Mgmnt, I too voted that they all stink, but not so much for reasons related to specific language syntax, but as a result of design decisions made to appeal to the largest market possible. While there is nothing wrong with having a larger market, I haven't been able to understand why the one...
by DrHendricks
Tue Dec 16, 2003 5:09 pm
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 12472

I believe a couple of observations are worthwhile: 1) The pertinent time window of correlation is the same as the expected trade duration. For short term strategies, correlation drift over 6 months probably doesn't matter. For longer time frames, a generalized algorithm such as close and loose corre...
by DrHendricks
Thu Jul 17, 2003 11:26 pm
Forum: Trader Psychology
Topic: Please Understand Me: Character and Temperament Types
Replies: 21
Views: 21039

Took the humanmetrics test. INTJ. Guilty as charged yer honor. I too know thay my 'type' has drifted over time. You are correct in my case with respect to INTJ traders c.f..
by DrHendricks
Sat Jul 12, 2003 10:26 pm
Forum: Testing and Simulation
Topic: Benchmark Test Data
Replies: 15
Views: 11979

I agree with John. Moreover, how could meaningful random data be generated from what is an inherently unknowable distribution. Sure- it's "similar" to lognormal, stable Pareto,etc. but is "similar" generated data any better than the actual sample of historical data.