Search found 28 matches
- Fri Feb 13, 2004 3:58 pm
- Forum: Testing and Simulation
- Topic: Monte Carlo analysis of trading systems
- Replies: 17
- Views: 20594
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...
- Fri Feb 06, 2004 10:46 am
- Forum: Testing and Simulation
- Topic: Optimization methods
- Replies: 4
- Views: 5433
- Fri Feb 06, 2004 12:09 am
- Forum: Testing and Simulation
- Topic: Optimization methods
- Replies: 4
- Views: 5433
- Thu Feb 05, 2004 4:12 pm
- Forum: Testing and Simulation
- Topic: Optimization methods
- Replies: 4
- Views: 5433
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 paramete...
- Thu Jan 29, 2004 1:39 pm
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 16073
- Wed Jan 21, 2004 2:39 pm
- Forum: Brokers
- Topic: Brokers for non-US stocks (other than IB)
- Replies: 3
- Views: 4953
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...
- Fri Jan 16, 2004 2:16 pm
- Forum: Testing Software
- Topic: Trading System Languages Likes and Dislikes
- Replies: 31
- Views: 31006
- Mon Oct 20, 2003 1:11 pm
- Forum: Brokers
- Topic: Brokers for non-US stocks (other than IB)
- Replies: 3
- Views: 4953
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
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
- Thu Oct 16, 2003 10:11 am
- Forum: Trader Psychology
- Topic: A forum of your own to keep the stress down?
- Replies: 4
- Views: 7708
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...
- Fri Oct 03, 2003 2:32 pm
- Forum: Stocks
- Topic: Stock Volume
- Replies: 5
- Views: 9391
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...
- Thu Sep 11, 2003 1:47 pm
- Forum: Money Management
- Topic: Increasing leverage through LEAPs
- Replies: 16
- Views: 16342
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...
- Thu Sep 11, 2003 12:52 pm
- Forum: Money Management
- Topic: Increasing leverage through LEAPs
- Replies: 16
- Views: 16342
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...
- Thu Sep 11, 2003 11:26 am
- Forum: Money Management
- Topic: Increasing leverage through LEAPs
- Replies: 16
- Views: 16342
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 ...
- Thu Sep 11, 2003 9:06 am
- Forum: Futures Markets
- Topic: Leaps
- Replies: 1
- Views: 4060
- Tue Aug 26, 2003 2:39 pm
- Forum: Trend Indicators and Signals
- Topic: Kaufman's Adaptable Moving Average
- Replies: 10
- Views: 10767
Chris,
Here are a couple of links that may help:
http://eis.pl/kr/ELZ/t-s-Adaptive_Movin ... ystem.html
http://www.traders.com/Documentation/FE ... s9803.html
Here are a couple of links that may help:
http://eis.pl/kr/ELZ/t-s-Adaptive_Movin ... ystem.html
http://www.traders.com/Documentation/FE ... s9803.html
- 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: 8904
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...
- 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: 8904
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 ...
- 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: 8904
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 $...
- 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: 8904
- Wed Aug 06, 2003 11:09 am
- Forum: Stocks
- Topic: Using IBD Stock Ratings as a filter
- Replies: 4
- Views: 12346
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 wh...