Search found 17 matches

by mpok8
Wed Jun 02, 2010 10:34 am
Forum: Testing and Simulation
Topic: random time series backtests
Replies: 3
Views: 1991

random time series backtests

I have a statistician PhD friend and he suggested that a good way to test a system might be to get a number (the more the better) of random time series and then to optimize a system over these random time series and calculate the risk adjusted return. On average if the time series is random the syst...
by mpok8
Wed Jun 02, 2010 2:11 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6247

I have tried in-sample followed by out-of-sample tests and it has passed those... so i guess this is just a really good system then...
by mpok8
Tue Jun 01, 2010 6:49 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6247

Yes -- that has been done... i.e. the parameter values were found on out of sample data (1985-2003) and tested on in-sample data (2003-today)... the system still works fine and gives roughly the same values as using data 1985-today in order to find the values...
by mpok8
Tue Jun 01, 2010 2:59 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6247

Hi Sluggo -- your answer does not address my question: I am not asking whether this system fits my personality or whether I have the right software/historical data... Techtrader89 -- I have already done as you suggested, i.e. used out of sample data to find my parameter settings and in sample data t...
by mpok8
Mon May 31, 2010 2:53 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6247

CURVE FIT OR GENIUS?

I've read a lot of books about how the 'best' systems are those which are simple with as few parameters as possible and work over the widest range of parameter settings... This seems to be the accepted wisdom and the 'secret' to trading success which is regurgitated by gurus and newbies alike... How...
by mpok8
Tue Dec 29, 2009 7:41 am
Forum: Testing and Simulation
Topic: testing a system for yourself....
Replies: 1
Views: 1545

Just to make it clear -- i am not interested in getting the code for the system... only to know whether attendees of the workshop have verified his results for themselves...

thanks
by mpok8
Mon Dec 28, 2009 3:35 pm
Forum: Testing and Simulation
Topic: testing a system for yourself....
Replies: 1
Views: 1545

testing a system for yourself....

Has anyone been to Joel's workshop and backtested for themselves his London Squeeze methodology?.. I have seen his results for various FX pairs and commodities which he uses to advertise the course. He is using tradestation on daily data. I was wondering if anyone has managed to replicate those resu...
by mpok8
Fri May 29, 2009 7:52 am
Forum: Data Providers and other non testing software
Topic: hourly data....?
Replies: 2
Views: 2585

anyone?
by mpok8
Sat May 23, 2009 2:21 am
Forum: Data Providers and other non testing software
Topic: hourly data....?
Replies: 2
Views: 2585

hourly data....?

Hi I am looking for accurate HOURLY Futures data which can be easily adjusted to being a continuous contract... Bloomberg seem only to have hourly data going back 90 days... tickdata.com is quite expensive and I don't need tick granularity so maybe there is something cheaper out there? While opentic...
by mpok8
Thu Mar 26, 2009 10:47 am
Forum: Data Providers and other non testing software
Topic: Setting up Pinnacle Futures Data to work with TradingBlox
Replies: 6
Views: 9532

i meant if someone else has done it can they show me how... this request posted to viewtopic.php?t=6390&highlight=
by mpok8
Thu Mar 26, 2009 7:13 am
Forum: Data Providers and other non testing software
Topic: Setting up Pinnacle Futures Data to work with TradingBlox
Replies: 6
Views: 9532

Bloomberg data

Is it possible to create a similar sticky for bloomberg data?
by mpok8
Thu Mar 26, 2009 5:21 am
Forum: Futures Markets
Topic: Historical End of Day Price Data?
Replies: 8
Views: 8597

I am a bloomberg user so I guess I can use bloomberg EOD data for trading blox. Can anyone guide me through the process of uploading bloomberg data into tradingblox?
by mpok8
Tue Mar 24, 2009 8:07 am
Forum: Data Providers and other non testing software
Topic: Very Basic question about CSI
Replies: 1
Views: 2133

Very Basic question about CSI

I understand that it is possible to upload from CSI into tradingblox instruments that are not included in the sample data (for example some stock indices). Can someone confirm to me whether these instruments that are not included in the standard package that trading blox uploads from csi are free? I...
by mpok8
Mon Mar 23, 2009 1:24 pm
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 11394

Sluggo I did as you said and looked it up on the tinternet... here is a simple article explaining kelly criterion: The Formula The Kelly formula itself is rather simple to understand, the formula is: Kelly % = W - (1 - W) / R Where: Kelly % = the percentage of capital to risk on the trade for maximu...
by mpok8
Mon Mar 23, 2009 11:35 am
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 11394

Ok -- thanks for the replies... I understand that thinking in terms of consecutive losses is flawed... Just out of interest, given the aforementioned stats (i.e. P(win) = 0.42 and avgwin/avgloss = 1.64) then is the kelly fraction found as follows: k = P(w) - (1-p(w))/[avgwin/avgloss] = = 0.42 - (1-0...
by mpok8
Mon Mar 23, 2009 7:56 am
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 11394

simple money management...

Here is a quote posted on this forum earlier... "The idea that money management is a mysterious and complex issue is proliferated by books like this. I can sum up effective money management in two steps: First take your worst case loss scenario, which will be based on a run of lossses with a less th...
by mpok8
Sun Jan 18, 2009 8:23 am
Forum: Testing and Simulation
Topic: Opening Volatility Breakout system -- Backtest
Replies: 1
Views: 1981

Opening Volatility Breakout system -- Backtest

I have hourly data for the Major FX instruments and I have attempted to backtest from 2001-2008 the system that Leonardo is using on his blog. I have done this on an excel spreadsheet as I do not have the programming skills to do it on any other platform. It has been quite challenging for me. My ini...