Search found 13 matches

by blinkybill
Mon Nov 05, 2012 4:01 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5885

Thank you very much. These are all very helpful!
by blinkybill
Sun Nov 04, 2012 9:29 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5885

Trend Follower Performance Data

Does anyone know of the best place (publicly avaliable) to look at the performance data of the various Trend Following hedge fund managers? I am just trying to compare my recent performance experience with that of the "superstars". My impression would be that it has been a very lean time for Trend F...
by blinkybill
Thu Jul 02, 2009 10:46 pm
Forum: Testing and Simulation
Topic: Great Edge Ratio but poor system results
Replies: 4
Views: 2708

Roger

You are correct and I have begun to dissect the individual data because as you suggest averages can be misleading.

Thanks Jim
by blinkybill
Thu Jul 02, 2009 5:11 pm
Forum: Testing and Simulation
Topic: Great Edge Ratio but poor system results
Replies: 4
Views: 2708

Thanks Sluggo for your reply. It is always appreciated. Yes I understand the debate with respect to entries and exits and I am aware that a bad exit protocol can offset a good entry protocol. However as I pointed out the edge ratio is calculated using fixed exit points so if I am replicating that th...
by blinkybill
Thu Jul 02, 2009 2:49 am
Forum: Testing and Simulation
Topic: Great Edge Ratio but poor system results
Replies: 4
Views: 2708

Great Edge Ratio but poor system results

I have been testing and entry blox which seems to give one of the best edge ratios I have seen on a fixed exit bar scale yet when I replicate it into a system and use a time based exit matching the optimal edge ratio result I get quite poor results. I have made no other changes to the system. Any th...
by blinkybill
Wed Mar 11, 2009 2:39 am
Forum: Testing and Simulation
Topic: CME currency contracts versus cash FX market? Which one?
Replies: 6
Views: 2693

I havent posted the data here but what I notice is that the impact of carry is much higher in the period 1987-1991 and for some reason this leads to a much bigger difference in the results in that period. I would have though that the futures contracts would have accounted for the carry but it doesnt...
by blinkybill
Wed Mar 11, 2009 1:30 am
Forum: Testing and Simulation
Topic: CME currency contracts versus cash FX market? Which one?
Replies: 6
Views: 2693

Sluggo I decided to take up your advice and ran the following test on sample data (5 major currencies ex Euro) from 1995 to present on the DMA simple system as provided with TBX download. The results were; Stepped Parameter Summary Performance Test Ending Balance CAGR% MAR Modified Sharpe Annual Sha...
by blinkybill
Tue Mar 10, 2009 9:42 pm
Forum: Testing and Simulation
Topic: Large Optimization Runs
Replies: 1
Views: 1600

Large Optimization Runs

I have a system with about 15 parameters. When I run the desired optimization it results in about 7m plus tests which is just not feasible. How do other users handle this. Do they run a much broader stepping of values to reduce the total number of tests, identify the prospective regions and then tig...
by blinkybill
Thu Feb 26, 2009 6:26 pm
Forum: Testing and Simulation
Topic: CME currency contracts versus cash FX market? Which one?
Replies: 6
Views: 2693

CME currency contracts versus cash FX market? Which one?

I have been backtesting using CME currency (ease of use) whereas in my actual trading I am using cash FX (although I could use CME if needs be). I know this breaks the golden rule (trade what you test, test what you trade...). Anyway I have a couple of issues; 1) When i substituted cash FX for CME F...
by blinkybill
Wed Feb 25, 2009 7:52 pm
Forum: Testing and Simulation
Topic: Filtering Trade Signals
Replies: 3
Views: 2063

Filtering Trade Signals

I have been playing with the TMA system and applying various filters such as correlation and unit quantities. Obviously the system can be improved by tightening or loosening the various filters to allow more trades through. I was wondering how other people normally handle this tradeoff? Do they simp...
by blinkybill
Mon Feb 23, 2009 6:07 am
Forum: Testing and Simulation
Topic: Backadjusted point or ratio (%)
Replies: 9
Views: 5800

Tim

Could you please elaborate on this statement. I am not entirely sure what your belief is?

thanks Jim
by blinkybill
Thu Jul 10, 2008 2:14 am
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21599

This is an area that has been occupying my mind so I thought I would throw in my 2 cents. Most of the goodness measures proposed on this forum seem to define risk in terms of drawdown. I am a little unsure about this for precisely the reasons put forward by Dean (LTCM et al). Shouldnt we be looking ...
by blinkybill
Thu May 08, 2008 4:46 pm
Forum: Data Providers and other non testing software
Topic: CSI / UA problem
Replies: 5
Views: 4695

Hi Edearing

I was wondering on another problem whether you got the synch UA problem fixed that you were having before as I have run into this as well?

thanks