Search found 5 matches

by utrading
Fri Jun 12, 2009 3:53 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33486

Trendfollowing works on any asset class

Imho trendfollowing works on any asset class. Whether you can build a unified system that works for all assets is another story. One factor to consider between different asset classes is volatility. Stocks are most volatile, Forex the least, bond and commodities in the middle. That's why you can get...
by utrading
Thu Apr 09, 2009 4:52 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78608

Eric, Nice to see your posts here. I read your paper "Does Trend Following Work on Stocks?" a few months ago. I remember I had quite a few thoughts but I forgot where the printout was. Here are some of my thoughts from memory. Very interesting paper. Btw, I am also working on applying trending follo...
by utrading
Sun Mar 29, 2009 8:47 pm
Forum: Testing and Simulation
Topic: Support for custom built C++ DLL?
Replies: 1
Views: 1791

Support for custom built C++ DLL?

Hi, I remember there was a discussion about supporting custom build C++ DLL in TBB, however I couldn’t find any relevant info from current TBB guide. Has there been any progress recently? As a matter of fact I don’t own TB yet. I evaluated TBB about a month ago and I really like it a lot. Within...
by utrading
Sun Feb 22, 2009 12:22 pm
Forum: Testing and Simulation
Topic: TB simulation: FX slippage etc
Replies: 6
Views: 3238

How to enforce hard stop?

Hi, Thanks all for the reply. Truly helpful. By making sure to place order at the beginning of each day, now my stop orders, if triggered, do get executed on the same day instead of the next day :D In addition, by setting "use pips based slippage" to FALSE and setting global slippage to 0.5%, I seem...
by utrading
Thu Feb 19, 2009 11:17 pm
Forum: Testing and Simulation
Topic: TB simulation: FX slippage etc
Replies: 6
Views: 3238

TB simulation: FX slippage etc

Hi, I am evaluating TB Builder and have quite a few questions. To get a feel for how easy it is to build some new strategies, I created a simple indicator to signal entry point using stop orders, and use simple moving average as trailing stop. I wish to simulate the following exit strategy: at the b...