Search found 28 matches

by Jason Czech
Fri Feb 13, 2004 3:58 pm
Forum: Testing and Simulation
Topic: Monte Carlo analysis of trading systems
Replies: 17
Views: 16749

The major problem with WL Montecarlo, I guess, it’s that is built on the No.2 method you mentioned in another post, the so called ‘returns’. I can resample daily equity curve changes but if I try to resample the single trades the results could be very misleading with futures, take Crude Oil b...
by Jason Czech
Fri Feb 06, 2004 10:46 am
Forum: Testing and Simulation
Topic: Optimization methods
Replies: 4
Views: 4047

If you tested the same signals using a fixed-fractional betting strategy, you'd get two contracts in the one case for every one contract in the others. This would make your winners twice as profitable. This is an important difference that "raw optimization" would not detect. This single difference ...
by Jason Czech
Fri Feb 06, 2004 12:09 am
Forum: Testing and Simulation
Topic: Optimization methods
Replies: 4
Views: 4047

In my opinion it's a mistake to ask about better and best , because different traders with different goals and different capitalizations and different risk preferences ("utility functions") will gravitate toward different answers. Hence there is no universal best for all traders, and about all you ...
by Jason Czech
Thu Feb 05, 2004 4:12 pm
Forum: Testing and Simulation
Topic: Optimization methods
Replies: 4
Views: 4047

Optimization methods

I'm aware of two broad methods of optimization. One way is to run your system across all instruments (not taking position sizing & equity into account) you would potentially trade, gathering the statistics for each & averaging them out to see how the system does, on average, at each parameter value....
by Jason Czech
Thu Jan 29, 2004 1:39 pm
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 11658

I guess the question is, do you believe there is a reasonable chance that the "rhythm" of HangSeng market could change in the future? And if so, how would you know when this has occurred so that you could get out before all of the damage was already done? Personally, I would not use a system that pe...
by Jason Czech
Wed Jan 21, 2004 2:39 pm
Forum: Brokers
Topic: Brokers for non-US stocks (other than IB)
Replies: 3
Views: 3601

Access to many Asian Markets

Here's a broker that I just recently stumbled across which has access to many of the 'emerging' asian markets, including HK. http://home.boom.com.hk/index.html I'm not using them yet, but from what I can tell you can access these stock markets through these guys - HK Singapore Austrailia Philippines...
by Jason Czech
Fri Jan 16, 2004 2:16 pm
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 23763

I vote Wealth Script, but I can only compare it to MetaStock as I haven't used any of the others. The one irritating syntax feature though is the fact that you must enclose each statement block with a "begin" and "end". I'd think that most any scripting language syntax would be ok, what is most impo...
by Jason Czech
Mon Oct 20, 2003 1:11 pm
Forum: Brokers
Topic: Brokers for non-US stocks (other than IB)
Replies: 3
Views: 3601

Doug,

You may be able to open an account with one of these firms -

http://www.hkex.com.hk/invest/ors/ft_en ... _list.html

I'm not 100% sure if they allow foreign capital, but I think HK is pretty liberal when it comes to their financial markets, so I suspect that they do.

-Jason
by Jason Czech
Thu Oct 16, 2003 10:11 am
Forum: Trader Psychology
Topic: A forum of your own to keep the stress down?
Replies: 4
Views: 5501

Free Web Hosting

Gordon, Maintaining your own forum for thoughts sounds like a good idea. Another advantage for those who travel is that you can access your 'thought forum' from anywhere in the world... And for those of us too cheap to shell out the $5 per month for web hosting, here's an offer for 3 years of FREE w...
by Jason Czech
Fri Oct 03, 2003 2:32 pm
Forum: Stocks
Topic: Stock Volume
Replies: 5
Views: 7449

I'm certainly NOT the final expert here, but I have noticed that Nasdaq stocks with an average daily volume under about 200k shares tend to have pretty wide intraday price swings...so I stay away from them. Plus, eliminating these greatly reduces the number of stocks that you have to track. Accordin...
by Jason Czech
Thu Sep 11, 2003 1:47 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 11419

Al, I see your point regarding the open interest and bid/ask spread. I guess that for myself I would want to see how these things behave under distressing conditions before making them a major part of my system. I don't know if options trade in Asia, but if they do maybe a look into these markets du...
by Jason Czech
Thu Sep 11, 2003 12:52 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 11419

Hi Al, You may very well be correct that the mm has to take the other side, but who's to say that their bid wouldn't be so far below the theoretical 'fair' price that it wouldn't make any sense to sell? I honestly dont know the rules, there may be some better safe guards built in. I took a look at t...
by Jason Czech
Thu Sep 11, 2003 11:26 am
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 11419

Hi Al, I've given a little thought to this kind of strategy as well. I think the biggest danger to this approach, you've already touched on, and that's the liquidity issue. I think it's true that you can get away with this most of the time, but what happens when there's a major panic in the markets ...
by Jason Czech
Thu Sep 11, 2003 9:06 am
Forum: Futures Markets
Topic: Leaps
Replies: 1
Views: 3056

You can probably find most of your answers here:

http://www.cboe.com/OptProd/LEAPS.asp

-Jason
by Jason Czech
Mon Aug 25, 2003 4:23 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6752

Thanks for checking with them on the historical data. It's always nice to get a confirmation from someone else. Regarding the quality of the data, I've heard others say that CSI is much better than TC2000 or Quotes Plus. Supposedly they often go back and correct bad data when it is discovered, where...
by Jason Czech
Sat Aug 16, 2003 8:11 am
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6752

I believe the daily download service from CSI includes 10 years of historical data, and you have the option to purchase additional years of historical data at a rate of $20 per year. I was led to believe that the historical data includes inactives as well. But I think 'they' are the best source for ...
by Jason Czech
Fri Aug 15, 2003 2:39 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6752

Well, they didn't exactly give me a quote on the 20 years of history, but according to their website if you order Unfair Advantage you receive 10 years of data and additional years can be purchased at $20 per year. The setup cost for UA is $40, so I concluded that 20 years of history would cost me $...
by Jason Czech
Thu Aug 14, 2003 4:42 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6752

On the issue of inactive (defunct) stocks, I've been in contact with CSI Data & they've told me that they have 'nearly' all of these issues included in their database. I'm thinking about forking out the $240 for 20 years of historical data & giving them a try. I think it's very important (for my own...
by Jason Czech
Wed Aug 06, 2003 11:09 am
Forum: Stocks
Topic: Using IBD Stock Ratings as a filter
Replies: 4
Views: 10537

Using IBD Stock Ratings as a filter

Does anyone here have experience with using Investors Business Daily (IBD) & their stock rating system? I'm trying to use a variation of Mark Johnson's PGO system applied to stock trading, but running into the obvious problem of receiving more trading signals than the system is able to handle when I...