Search found 17 matches
- Wed Jun 02, 2010 10:34 am
- Forum: Testing and Simulation
- Topic: random time series backtests
- Replies: 3
- Views: 3113
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...
- Wed Jun 02, 2010 2:11 am
- Forum: Testing and Simulation
- Topic: CURVE FIT OR GENIUS?
- Replies: 15
- Views: 10216
- Tue Jun 01, 2010 6:49 am
- Forum: Testing and Simulation
- Topic: CURVE FIT OR GENIUS?
- Replies: 15
- Views: 10216
- Tue Jun 01, 2010 2:59 am
- Forum: Testing and Simulation
- Topic: CURVE FIT OR GENIUS?
- Replies: 15
- Views: 10216
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...
- Mon May 31, 2010 2:53 am
- Forum: Testing and Simulation
- Topic: CURVE FIT OR GENIUS?
- Replies: 15
- Views: 10216
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...
- Tue Dec 29, 2009 7:41 am
- Forum: Testing and Simulation
- Topic: testing a system for yourself....
- Replies: 1
- Views: 2135
- Mon Dec 28, 2009 3:35 pm
- Forum: Testing and Simulation
- Topic: testing a system for yourself....
- Replies: 1
- Views: 2135
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...
- Fri May 29, 2009 7:52 am
- Forum: Data Providers and other non testing software
- Topic: hourly data....?
- Replies: 2
- Views: 3508
- Sat May 23, 2009 2:21 am
- Forum: Data Providers and other non testing software
- Topic: hourly data....?
- Replies: 2
- Views: 3508
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...
- 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: 13889
i meant if someone else has done it can they show me how... this request posted to viewtopic.php?t=6390&highlight=
- 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: 13889
Bloomberg data
Is it possible to create a similar sticky for bloomberg data?
- Thu Mar 26, 2009 5:21 am
- Forum: Futures Markets
- Topic: Historical End of Day Price Data?
- Replies: 8
- Views: 11342
- Tue Mar 24, 2009 8:07 am
- Forum: Data Providers and other non testing software
- Topic: Very Basic question about CSI
- Replies: 1
- Views: 2849
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...
- Mon Mar 23, 2009 1:24 pm
- Forum: Money Management
- Topic: simple money management...
- Replies: 13
- Views: 15421
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...
- Mon Mar 23, 2009 11:35 am
- Forum: Money Management
- Topic: simple money management...
- Replies: 13
- Views: 15421
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...
- Mon Mar 23, 2009 7:56 am
- Forum: Money Management
- Topic: simple money management...
- Replies: 13
- Views: 15421
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 le...
- Sun Jan 18, 2009 8:23 am
- Forum: Testing and Simulation
- Topic: Opening Volatility Breakout system -- Backtest
- Replies: 1
- Views: 2713
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...