Search found 47 matches

by bobsyd
Fri Jul 04, 2014 12:30 am
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6635

Ditto. Is there anyone out there other than Sluggo who can see it?
by bobsyd
Tue Nov 06, 2012 3:27 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5983

Thanks AFJ - as always you have insightful/practical/thought provoking comments.

Rajivm’s post and the IASG indices triggered thinking about my own asset allocation/diversification approaches. I can’t imagine doing “discretionary tradingâ€
by bobsyd
Tue Nov 06, 2012 5:12 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5983

Hmmm. Any ideas on how to understand this better - other studies, could there be hidden biases (eg. survivorship differences), definitional issues (eg how many in "discretionarly" index might actually be primarily systematic with slight "discretionary overlay"), LTTF proportion of systematic or tren...
by bobsyd
Sat Oct 27, 2012 9:41 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7085

Thanks for that Sunyata - very cool animation which tells the story well - even if the story isn't great. Would you mind sharing how you did the graphing animation and how long it took to do (after you finished the TB simulation runs)?
by bobsyd
Sun Jul 29, 2012 4:44 pm
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 10258

Have a look in the User Guide at the Money Managers section of Built-in Systems and Blox. Also, re your questions in another thread on how to improve a system you might consider walk forward testing, which is a key part of Pardo's book mentioned in this thread. If your trial system is the latest ver...
by bobsyd
Tue Jun 19, 2012 9:17 pm
Forum: Futures Markets
Topic: Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Replies: 4
Views: 2481

Leapfrog - agree
SAFW - 2 caveats, would agree in the case of indices, prob not in terms of individual commodities except gold, maybe silver. Also, perhaps study result is indicative of HFT?
by bobsyd
Mon Jun 18, 2012 5:36 pm
Forum: Futures Markets
Topic: Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Replies: 4
Views: 2481

Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves

I found this interesting. I’m not a futures trader (yet), but would be interested to know if this rings true to those who are.
http://www.sfomag.com/SFOWeekly/Detail. ... 573F53C983
by bobsyd
Mon Feb 13, 2012 5:06 pm
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6958

Look at shorter term daily or intraday timeframes.
by bobsyd
Sun Nov 13, 2011 3:08 pm
Forum: Testing and Simulation
Topic: Testing and automate Trading strategies
Replies: 7
Views: 3037

ycentrino

Any reason you aren't considering spot forex?
by bobsyd
Fri Sep 02, 2011 4:20 pm
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5419

Thanks for all the input everyone. My overall take on what has been generated so far:

1. Percentage parameter stepping is conceptually superior to using steps of equal absolute size, assuming that “brute forceâ€
by bobsyd
Mon Aug 29, 2011 9:11 pm
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5419

Welcome and excellent first post Trend Rider! I'll probably have some comments on your post and others in this thread by the end of the week. In the meantime I've emailed Perry Kaufman in the hope that we can get some comment from him and will try to code up a blox based on Event Horizon's latest po...
by bobsyd
Sun Aug 28, 2011 7:03 pm
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5419

Parameter Stepping Methods and Implications

A couple of the choices which need to be made in optimization testing of a trading system are which parameters to step, the min to max range and how much to step within the range. In regards to step size, most discussion I’ve seen revolves around the absolute size of the step. For example, if you ...
by bobsyd
Mon Jun 27, 2011 11:02 pm
Forum: Forex
Topic: Best FX Brokers
Replies: 19
Views: 10765

Great link Ross, thanks.

I’m happy with GFT and was happy to see that of the Retail Forex brokers they have the 2nd highest Excess Net Capital/Adjusted Net Capital ratio in the April 30 report (72%) and are the 4th largest of the retail brokers.
by bobsyd
Wed May 04, 2011 5:07 pm
Forum: Testing and Simulation
Topic: How to realise the system is obsolete
Replies: 7
Views: 3347

(1) Search for Walk AND Forward in this forum; (2) search for Robusti in this forum; and (3) Google Walk Forward.
by bobsyd
Mon Mar 21, 2011 7:01 pm
Forum: Testing and Simulation
Topic: Another new Goodness Measure; also, walking it forward
Replies: 18
Views: 6680

In response to the moderator note above, I’ve reattached my blox here – even though as far as I can tell they are still there in my previous post.

As an added “bonusâ€
by bobsyd
Sat Mar 19, 2011 9:09 pm
Forum: Testing and Simulation
Topic: Another new Goodness Measure; also, walking it forward
Replies: 18
Views: 6680

Attached is an auxiliary blox to assist in checking the performance of 12 Additional Goodness Measures, including Rabid Ric’s Hill Ratio. One way to assess the performance of goodness measures is to run Walk Forward tests where nothing is changed in each Simulation run except the Measure of Goodne...
by bobsyd
Tue Feb 22, 2011 3:11 pm
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 5156

Or, if you can use Marketplace blox, you might want to try Print_Correlations_Date rev3.tbx in the Correlation & Risk Limiter Blox thread.
by bobsyd
Sun Feb 20, 2011 9:31 am
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30471

Bravo again and thank you Sluggo for all your recent posts. They are unusually valuable and prolific contributions, even in comparison with your usual high standards.

The three Topics you have recently initiated that stand out for me are this “Blending…â€
by bobsyd
Wed Feb 16, 2011 8:41 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30471

Ditto very appreciated and all that. My 2 cents is that the biggest caveat is actually embedded in one of Sluggos comments above: "You might want to ponder that for a moment, in the context of In-Sample vs. Out-of-Sample correlations. (Yes, I realize this post doesn't include Out-of-Sample measureme...
by bobsyd
Fri Jan 21, 2011 8:34 pm
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 8866

Many thanks Ian, IMHO an awesome and valuable contribution. And as far as “amateurish natureâ€