Search found 5 matches

by Idea Man
Mon Oct 06, 2003 10:35 am
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17722

Chuck, since the board now supports this. Any chance of seeing that Excel Spreadsheet?
by Idea Man
Fri Apr 18, 2003 10:41 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100508

Un-Sharpe Ratio

What I find interesting is that they prefer the:

1 2 3 4 5 6 7 8 9 10

curve to the:

1 2 5 6 8 9 12 13 15 16

curve.

Smoothness dominates return :?
by Idea Man
Thu Apr 17, 2003 10:54 am
Forum: Testing and Simulation
Topic: Computing the MAR Ratio - Using what sort of drawdown?
Replies: 4
Views: 10445

Computing the MAR Ratio - Using what sort of drawdown?

How do you compute the MAR ratio? I know it is basically: annualized return / maximum drawdown However, the MAR group uses month end drawdowns based on total equity including open positions. Is this what Trading Recipes uses? Do you base this on the account balance of closed out trades or total equi...
by Idea Man
Wed Apr 16, 2003 11:04 pm
Forum: Futures Markets
Topic: How are people executing futures trades?
Replies: 6
Views: 8526

How are people executing futures trades?

What are people using for brokers and execution for futures trades?

Has anyone had success with all electronic execution systems in futures?

How happy are you with these solutions?
by Idea Man
Wed Apr 16, 2003 5:59 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17722

Interesting

I've found that it often appears as if by making one change you could make huge improvements in the system. However and unfortunately, systems and markets behave much more like mature ecosystems where the relationships between the parts are complex and often unknowable absent empirical testing. Chan...