Search found 59 matches

by sunyata
Sat Apr 05, 2014 10:56 am
Forum: Data Providers and other non testing software
Topic: Adjusting volume for dividends in UA
Replies: 0
Views: 10770

Adjusting volume for dividends in UA

In UA, there is an option to "Adjust volume for dividends and capital gains." UA support staff say that this option "supposedly illustrates the impact of dividends and capital gains on daily trading volume." They say it is calculated by dividing the dividends into the Volume. v =Volume/Accumulated D...
by sunyata
Wed Mar 19, 2014 10:53 am
Forum: Data Providers and other non testing software
Topic: CSI stock data - 10,000 max & unadjusted close
Replies: 3
Views: 2881

Thank you for your help. I am interested in reviewing the entire stock universe each day. Right now, there's a total of 6,500 U.S. issues outstanding, so it appears there's plenty of room to download each evening.
by sunyata
Wed Mar 19, 2014 8:05 am
Forum: Data Providers and other non testing software
Topic: CSI stock data - 10,000 max & unadjusted close
Replies: 3
Views: 2881

CSI stock data - 10,000 max & unadjusted close

I'm considering purchasing CSI's Gold package for stocks. However, I'm not entirely sure I understand how CSI's rule that a maximum of 10,000 stocks, mutual funds, and indexes can be processed per day is applied. I have spoken with CSI, but did not yet receive a satisfactory answer. CSI said "you up...
by sunyata
Sat Nov 10, 2012 5:07 pm
Forum: Data Providers and other non testing software
Topic: Close outside of high/low range in CSI raw data
Replies: 0
Views: 6599

Close outside of high/low range in CSI raw data

CSI's raw contract data sometimes shows the close outside of the high-low range. The CSI sample futures portfolio that comes with TB addresses this by adjusting the high or low to the close. My question is: do you think this is the best fix, since the adjusted high or low would not have occurred dur...
by sunyata
Tue Nov 06, 2012 7:42 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5914

Per AFJ's comments, here is the strategy used by Rosetta Capital Management, one of the components of IASG's Discretionary Index: "The Program offered by RCM utilizes a technical system of trading that focuses on short and medium term price data in search of repetitive patterns that reflect trending...
by sunyata
Tue Oct 30, 2012 9:37 am
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

Hahahahahaha! Wow
by sunyata
Mon Oct 29, 2012 12:22 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

Did a quick-and-dirty analysis of historical market participation for 14 different markets. Attached is an animation that includes all the charts. Each chart is displayed for 20 seconds. Also attached are the Coefficient of Determination (R-squared) values for linear and exponential regressions for ...
by sunyata
Sun Oct 28, 2012 7:33 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

I need to drill down to market behavior for the past 50 years. Since I don't have any futures trading experience, this is pivotal. That will help me answer your first question at least and may give me insight into the viability of an adaptable system.
by sunyata
Sun Oct 28, 2012 11:17 am
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

As sluggo reminded me it's a individual story given the system and portfolio traded. However, for anyone researching a LTTF system without dynamic portfolio selection, dynamic risk modification, and other enhancements, they probably encounter similar historical performance. I found a free GIF animat...
by sunyata
Sat Oct 27, 2012 3:05 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

Here is another illuminating graphic for the same system, trading the same portfolio. The animation depicts over time the change in the R3 statistic (y-axis) for Average Close (in days) parameter values between 120 and 510 (x-axis). I conducted each test on 25 years of data beginning in 1960 and ste...
by sunyata
Sat Oct 27, 2012 9:30 am
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

Yeah, that would be a much more accurate title.
by sunyata
Fri Oct 26, 2012 8:41 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

The last 7 years have been rough for LTTF

This probably isn't new to many of you, but I'd thought I'd share nonetheless. The following study uses historical performance data beginning in 1960 for a Bollinger Band Breakout system trading the standard "All Liquid" portfolio. Starting equity = $2M and max portfolio risk = 50%. No bells and whi...
by sunyata
Tue Oct 23, 2012 9:43 am
Forum: Futures Markets
Topic: Can I roll over the day after expiration?
Replies: 5
Views: 3102

As usual, nothing is as cut-and-dry as I originally surmised. I am looking forward to receiving Futures 101 in the mail. I asked this question because I am building software to create continuous contracts and wonder if it is realistic to start the next contract the day after the expiration date of t...
by sunyata
Mon Oct 22, 2012 8:41 pm
Forum: Futures Markets
Topic: Can I roll over the day after expiration?
Replies: 5
Views: 3102

Can I roll over the day after expiration?

If the expiration date of an individual contract is 3/12/12, can I roll over the following morning on 3/13/12? I am guessing the answer is "no," but I wanted to confirm.

Thanks!
by sunyata
Tue Oct 09, 2012 7:55 am
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4132

Could you expound on that a little squaredQ? What knowledge do you think there is to gain in understanding the CLT as it relates to trading?
by sunyata
Tue Oct 09, 2012 7:27 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18013

Seykota is constantly suggesting to look at oneself, because you are an essential part of your trading system. Specifically, he says to feel your feelings fully without manipulating them as a means to dissolve drama that interferes with following a system perfectly. IMO, self-cultivation is key to b...
by sunyata
Sun Oct 07, 2012 7:38 pm
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4132

Wow, this Khan Academy website is a goldmine. Thanks D. So, just because the means and sums of independent random variables converge to a normal distribution, this doesn't vindicate the use of statistics that rely on a normal distribution for a raw distribution that is non-normal, right? If I was tr...
by sunyata
Sat Oct 06, 2012 8:53 pm
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4132

Your comments raise a few questions for me. What do you mean by the "sum" of independent random variables? Is the central limit theorem saying that any independent random variable will tend toward a normal distribution as N grows larger? Thanks for the PDF, but unfortunately I understood very little...
by sunyata
Sat Oct 06, 2012 11:33 am
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4132

Kurtosis and fat tails in IBM's price changes

A friend loaned me the book Black Swan by Taleb. It reinforces that the risk in markets is much greater than a normal distribution would suggest. I did some research to verify this myself. Using IBM daily close prices from 1962 - 2012 from Yahoo! Finance, I first plotted percentage price changes in ...
by sunyata
Fri Oct 05, 2012 8:26 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5817

As expected, the contracts that use "vi" have lower levels of volume and open interest as compared to those that use "VI." Continuous contracts that use "vi" show a radical decrease in v and i around expiration, which to me seems to best mimic real trading experience.