Search found 42 matches

by trackstar
Fri Dec 28, 2012 8:59 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22387

thanks for posting. there have been some successful CTAs making it through the carnage but unfortunately I have not been immune to the beating either.
by trackstar
Wed Oct 31, 2012 3:58 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7881

take that back to elitetrader.....
by trackstar
Mon Oct 15, 2012 11:27 pm
Forum: Futures Markets
Topic: Copper and electronic trading
Replies: 2
Views: 2502

my CSI data says Oct. 20, 1995
by trackstar
Tue Sep 18, 2012 12:08 pm
Forum: Futures Markets
Topic: Azuki beans
Replies: 5
Views: 3641

I thought about including it in my portfolio to trade a few times, but like you say, liquidity seems scarce.....
by trackstar
Wed Sep 12, 2012 10:01 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6986

Stop picking tops and dance till the music stops!

Thanks for the appl tip Chuck, but I avoid stocks....
by trackstar
Sat Sep 08, 2012 1:16 pm
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6986

Wow, how nice it would be to have an asset trending like that....
by trackstar
Fri Jul 20, 2012 4:16 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 33093

First off I need to say thanks to Sluggo for posting this goldmine of data. I have a few questions that I am having a hard time resolving myself. Two critical pieces are stop size (assuming one is sizing their trade based on this risk) and fractional bet per trade. Both of these have links to "lever...
by trackstar
Tue Jul 17, 2012 4:52 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 14572

moto I dont think this has anything to do with futures. Portflio Margin is basically for stocks and options. "Please note, at this time, Portfolio Margin is not available for US commodities futures and futures options, US bonds, or Forex positions, but US regulatory bodies may consider inclusion of ...
by trackstar
Tue Jul 17, 2012 1:08 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 14572

This probably isn't helpful for the discussion but in my experience in the industry, most clients posted only margin money prior to both of those incidents.
by trackstar
Mon Jul 16, 2012 12:08 pm
Forum: Brokers
Topic: Interactive Brokers data fees
Replies: 3
Views: 3720

Re: Interactive Brokers data fees

LeviF wrote:What do you pay in monthly data fees to trade world futures at IB?
something like $150
by trackstar
Tue Jul 03, 2012 11:50 am
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9522

stopsareforwimps, If you're looking for more statistically sophisticated tests than a simple rolling window back test, try reading the reference manual for this R package and the papers referenced in it. This opened up a whole new vista of testing and validation ideas. The statisticians have come u...
by trackstar
Fri Jun 22, 2012 4:54 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 8576

I'm fairly certain Trading Blox has the capabilities to limit total portfolio risk.
by trackstar
Fri Jun 22, 2012 2:12 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 8576

What testing platform are you using that doesnt have a maximum allowed risk as a percent of equity?

What isnt commercially viable about winning 3.64:1?
by trackstar
Wed Jun 20, 2012 12:09 pm
Forum: Testing and Simulation
Topic: Fuzzy logic trend filter
Replies: 7
Views: 2613

If anyone has details I would love to help model it.
by trackstar
Thu Jun 14, 2012 9:43 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 12902

What timeframe were you trading? Daily or weekly?
by trackstar
Fri Jun 08, 2012 5:29 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22387

Congrats on the big year TK! Also, I commend you on posting your data. I am not in your camp of optimizing for recent performance. I prefer the approach of throwing a wide(r) net and running strategies similar to what Chelonia described above.
by trackstar
Wed May 16, 2012 10:39 pm
Forum: Data Providers and other non testing software
Topic: CSI data different on perpetual contract than on actual
Replies: 4
Views: 3531

I have run into lots of problems on mini contracts, you have to watch those things carefully since they are not liquid. Also consider moving to calendar rolls for those contracts.
by trackstar
Wed Apr 25, 2012 10:23 pm
Forum: Testing Software
Topic: R Tutorials
Replies: 4
Views: 3704

THANKS!!!
by trackstar
Tue Apr 24, 2012 8:33 am
Forum: Testing and Simulation
Topic: Testing Methods of Ranking Opportunities
Replies: 4
Views: 2326

Skipping trades has never been problem for me psychologically for me, since as you correctly identified, I have not been able to prove any trade is better (or worse) than another. If you are skipping trades for risk management purposes you need at least to consider some sort of ranking method. Or a...
by trackstar
Mon Apr 23, 2012 8:36 pm
Forum: Testing and Simulation
Topic: Testing Methods of Ranking Opportunities
Replies: 4
Views: 2326

ha, thanks Sluggo. You were one of the gurus I was hoping would take notice of my thread. I do appreciate your many many methods of turning a half empty glass into a half full one. Given that I have tested only 7 methods of ranking opportunities I am a far cry away from being convinced there is no o...