Search found 16 matches

by blinkybill
Thu Jul 12, 2018 3:32 pm
Forum: Testing and Simulation
Topic: How to specify an exit when takeover happens
Replies: 4
Views: 298

Re: How to specify an exit when takeover happens

brilliant!
now why didn't I think of that.....

thank you Tim
by blinkybill
Wed Jul 11, 2018 4:51 pm
Forum: Testing and Simulation
Topic: How to specify an exit when takeover happens
Replies: 4
Views: 298

Re: How to specify an exit when takeover happens

actually to be more specific, I am using the order generation and trading forward based on the system....however one of the stocks was taken over and the data ends...….I can get the system to generate an exit order, but the system does not actually execute the exit order I presume because there is n...
by blinkybill
Tue Jul 10, 2018 8:21 pm
Forum: Testing and Simulation
Topic: How to specify an exit when takeover happens
Replies: 4
Views: 298

How to specify an exit when takeover happens

I am having trouble with this situation.... For backtesting purposes, how do I code for the situation when a holding is taken over and the data for that stock just ends before the test end date? I think I am missing something obvious..but at present the system just stays stuck in the position. Thanks
by blinkybill
Mon Nov 05, 2012 4:01 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 6764

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: 6764

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: 2817

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: 2817

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: 2817

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: 2838

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: 2838

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: 1654

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: 2838

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: 2154

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: 6039

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: 22871

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: 4884

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