Search found 11 matches

by Dallas
Mon Feb 23, 2009 1:24 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Clarifications

Roscoe, "my" elementary sytem had a 5 ATR initial stop and it DID go long & short. When I tried either long or short only the results were totally crappy.

Thank you alp for the threads.
by Dallas
Sun Feb 22, 2009 9:29 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Hello Roscoe, Thanks for your ideas. In my search for utter simplicity, the system enters on a 500 day breakout and exits on a 250 day high/low, once it gets beyond the initial 5 atr stop. The instruments are highly liquid common stocks which trade more than 250K shares/day and are at least $5/ shar...
by Dallas
Fri Feb 20, 2009 9:18 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Query to the System Design Community

The System: Enters on Breakout of "X" Day H/L, 5 ATR Stop,Trailing Stop of "Y" days, risks 1%?Trade, uses no leverage. The Results: Wins on 30% and Loses on 70% of trades. Winning Trades make 6X dollars of losing trades. Expectation 1.15. Winning years 17%, 38%, 36%, 20%, 15% (Ave 27%), One flat ye...
by Dallas
Mon May 26, 2008 7:10 am
Forum: Testing and Simulation
Topic: Conceptualizing ideal bet size
Replies: 4
Views: 3435

Thank you all for your responses and insights.
by Dallas
Thu May 15, 2008 6:26 am
Forum: Testing and Simulation
Topic: Conceptualizing ideal bet size
Replies: 4
Views: 3435

Conceptualizing ideal bet size

Hail Traders! Wondering if anyone can explain apparently wide fluctuations in test results over various baskets of instruments, over different time frames and with different start dates? For example, if a sytem consistently has 2 winners for every 3 losers and the winners are roughly 3 times the siz...
by Dallas
Tue Apr 15, 2008 8:27 am
Forum: Testing and Simulation
Topic: Moving Average Ratio Optimization Research
Replies: 7
Views: 3444

Thank you Sluggo

I appreciate your constructive guidance. I did take a short peek at Kaufman's "monster" book one time. I will seriously consider buying it.
$80 online is much better than $125 at the store!
by Dallas
Mon Apr 14, 2008 1:14 pm
Forum: Testing and Simulation
Topic: Moving Average Ratio Optimization Research
Replies: 7
Views: 3444

I was just looking for a starting point from which to do my own work, as I am certainly not a trading prodigy or genius.

Thanks
by Dallas
Mon Apr 14, 2008 12:59 pm
Forum: Testing and Simulation
Topic: Moving Average Ratio Optimization Research
Replies: 7
Views: 3444

Moving Average Ratio Optimization Research

Does anyone know of any data or have an opinion on the "best" MA ratio parameters? In other words, if the short MA is X should the Medium MA be 2 times or 5 times X (for example)?

Thanks for any input.
by Dallas
Fri Apr 11, 2008 5:19 am
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8946

Look at the whole chart, not just the recent months

It seems to me that this would be a very difficult system to trade from a psychological standpoint, due to what I perceive to be extreme volatility. In round #'s if you can be up or down more than 10-20% per month your account could be severely damaged pretty quickly. If you can be up 5 months strai...
by Dallas
Thu Apr 10, 2008 1:29 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33233

Very convincing data

Thank you both for sharing. I appreciate it.
by Dallas
Thu Apr 10, 2008 11:53 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33233

Long term trend following on equities a fool's game?

Should someone starting out testing lttf systems NOT start with stocks? In other words, are stocks the hardest instruments to trade profitably using lttf methods? If so, then futures or currencies? The reason I ask is because no matter what parameters I use I don't get good results. Using the most l...