Search found 61 matches
- Thu Aug 16, 2012 5:06 am
- Forum: Testing and Simulation
- Topic: Stupid question on money manager block:
- Replies: 3
- Views: 3279
- Wed Aug 15, 2012 9:44 am
- Forum: Testing and Simulation
- Topic: Stupid question on money manager block:
- Replies: 3
- Views: 3279
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 ma...
- Thu Aug 09, 2012 4:51 am
- Forum: Testing and Simulation
- Topic: SPX and 10yr Treasury System
- Replies: 0
- Views: 2495
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...
- 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: 51055
- 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: 51055
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...
- Wed Dec 21, 2011 9:12 am
- Forum: Testing and Simulation
- Topic: Appreciate any comments on this
- Replies: 2
- Views: 2651
- Wed Dec 21, 2011 7:33 am
- Forum: Testing and Simulation
- Topic: Appreciate any comments on this
- Replies: 2
- Views: 2651
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...
- Wed Nov 09, 2011 7:40 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16614
- Wed Nov 09, 2011 7:39 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16614
Price trends and patterns in Technical Analysis - an empirical examination
http://papers.ssrn.com/sol3/papers.cfm? ... _id=970852
http://papers.ssrn.com/sol3/papers.cfm? ... _id=970852
- Wed Nov 09, 2011 7:26 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16614
The predictive power of price patterns (1998)
http://papers.ssrn.com/sol3/papers.cfm? ... _id=932984
http://papers.ssrn.com/sol3/papers.cfm? ... _id=932984
- Wed Nov 09, 2011 7:18 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16614
- Fri Nov 04, 2011 11:02 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22208
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...
- Wed Aug 31, 2011 5:47 am
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10495
- Wed Aug 18, 2010 10:18 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16614
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
http://papers.ssrn.com/sol3/papers.cfm? ... id=1656460
http://papers.ssrn.com/sol3/papers.cfm? ... id=1656460
- Wed Jun 09, 2010 10:43 am
- Forum: Testing Software
- Topic: TD Sequential - DeMark Indicators
- Replies: 7
- Views: 12244
- Tue Jun 08, 2010 4:00 am
- Forum: Testing Software
- Topic: TD Sequential - DeMark Indicators
- Replies: 7
- Views: 12244
- Thu Jun 03, 2010 8:46 am
- Forum: Testing Software
- Topic: TD Sequential - DeMark Indicators
- Replies: 7
- Views: 12244
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...
- Fri Dec 04, 2009 5:56 pm
- Forum: Futures Markets
- Topic: Got gold?
- Replies: 11
- Views: 9688
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...
- Fri Dec 04, 2009 11:05 am
- Forum: Money Management
- Topic: Where have all the sharpe ratios over 1 gone?
- Replies: 3
- Views: 5018
- Fri Dec 04, 2009 8:24 am
- Forum: Money Management
- Topic: Where have all the sharpe ratios over 1 gone?
- Replies: 3
- Views: 5018