Search found 61 matches

by adamant
Thu Aug 16, 2012 5:06 am
Forum: Testing and Simulation
Topic: Stupid question on money manager block:
Replies: 3
Views: 1674

Still can't get this to work. So annoyed....
by adamant
Wed Aug 15, 2012 9:44 am
Forum: Testing and Simulation
Topic: Stupid question on money manager block:
Replies: 3
Views: 1674

Stupid question on money manager block:

Has anyone ever made a money manager block that allocates 100% of capital to every trade without stops (well, the system I am testing uses an SMA for entry and the LMA as the built in stop)? Trying to backtest a moving average crossover system on S&P Futures but I am struggling with the money manage...
by adamant
Thu Aug 09, 2012 4:51 am
Forum: Testing and Simulation
Topic: SPX and 10yr Treasury System
Replies: 0
Views: 1641

SPX and 10yr Treasury System

Disclaimer: I am an amateur in the systematic trading world. As such, the contents of this post may seem ridiculous to the professional. Ok. This is a simple system consisting of Levi F's DeMark fader and a Dual Moving average combination. The system components trade bonds and spx futures only. It u...
by adamant
Sun Jul 08, 2012 2:31 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33230

I see your point. But I'd rather play that type of situation through long dated options in a discretionary manner and stick to futures in the systematic department.
by adamant
Sun Jul 08, 2012 11:59 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33230

This is an interesting thread. I am a PM at a UCITS global long short equities fund(long biased). Although UCITS rules allow us some leverage, shorting and the use of options, I have come to the unsurprising conclusion that a private investor without constraints has a clear competitive advantage ver...
by adamant
Wed Dec 21, 2011 9:12 am
Forum: Testing and Simulation
Topic: Appreciate any comments on this
Replies: 2
Views: 1391

Thanks!
by adamant
Wed Dec 21, 2011 7:33 am
Forum: Testing and Simulation
Topic: Appreciate any comments on this
Replies: 2
Views: 1391

Appreciate any comments on this

Hi I am building a portfolio of systems and would appreciate any comments. Testing has been run on 3 different component systems, which have then been optimised (hopefully in a robust way) and put together into a portfolio that seems to backtest quite ok by my standards. Quick system descriptions: 1...
by adamant
Wed Nov 09, 2011 7:40 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10668

Thanks R! But not free.
by adamant
Wed Nov 09, 2011 7:39 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10668

Price trends and patterns in Technical Analysis - an empirical examination

http://papers.ssrn.com/sol3/papers.cfm? ... _id=970852
by adamant
Wed Nov 09, 2011 7:26 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10668

The predictive power of price patterns (1998)

http://papers.ssrn.com/sol3/papers.cfm? ... _id=932984
by adamant
Wed Nov 09, 2011 7:18 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10668

by adamant
Fri Nov 04, 2011 11:02 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11154

In an interview in 2000, Jim Simons stated that commodity markets used to trend nicely but don't any more. He was wrong (see gold for a good example). The day human psychology changes and people stop trading based on their emotions, we will have a problem. I don't see that happening any time soon. D...
by adamant
Wed Aug 31, 2011 5:47 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5810

The bllomberg backtesting platform is very limited compared to blox (though for an amateur like me, more than sophisticated enough). It comes in two versions. If you are a BB user and interested, type STDY (GO) for access to these tools.
by adamant
Wed Aug 18, 2010 10:18 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10668

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

http://papers.ssrn.com/sol3/papers.cfm? ... id=1656460
by adamant
Wed Jun 09, 2010 10:43 am
Forum: Testing Software
Topic: TD Sequential - DeMark Indicators
Replies: 7
Views: 6667

Thx guys! This forum rocks. I've been in touch with the customer reps at DeMark Prime, which is a technical analysis platform offered by DeMark & Co. Will test it and post my thoughts on a suitable thread. Supposedly it has backtesting capability. (It costs 500 usd per month to lease so it had bette...
by adamant
Tue Jun 08, 2010 4:00 am
Forum: Testing Software
Topic: TD Sequential - DeMark Indicators
Replies: 7
Views: 6667

I agree it is certainly not a complete system by any means. only an indicator. It is interesting mostly because it is"different" in a sense to the other technical indicators I use. I have this thought that perhaps it could be useful as a countertrend tool. I work as a money manager now(probably the ...
by adamant
Thu Jun 03, 2010 8:46 am
Forum: Testing Software
Topic: TD Sequential - DeMark Indicators
Replies: 7
Views: 6667

TD Sequential - DeMark Indicators

I am looking for a platform which offers DeMark Indicators, or one for which TD sequential code exists. So far, I have not been able to find it! Esignal does not offer this add-on, Metastock doesn't, and Bloomberg and CQS is too expensive for now. Anyone know about a platform that offers this? AmiBr...
by adamant
Fri Dec 04, 2009 5:56 pm
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 6436

Feeling very lucky at the moment...gold took a beating today. That said, the trend is up and I will probably be in again soon enough. More or less related question: I am experimenting with the Mama Fama as my primary trend indicator/filter using both weekly and daily input and fine-tuning with a cou...
by adamant
Fri Dec 04, 2009 11:05 am
Forum: Money Management
Topic: Where have all the sharpe ratios over 1 gone?
Replies: 3
Views: 3490

:D