Search found 59 matches

by Jez Liberty
Thu Jun 07, 2012 11:12 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19966

Thanks Amin for the mention and bringing the discussion here. From my (limited) experience of running the report every month, I have not seen a trend in shorter term systems out-performing the longer-term ones post-Lehman (ie sometimes it is the other way around - I have not run any "quantified" ana...
by Jez Liberty
Mon Apr 30, 2012 10:11 am
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 6831

Could you kindly explain in a more extensive and as simpy as possible (maybe with some examples) how the new stitching procedure works vs the previous close close ? I have not downloaded the new beta and/or worked through a real example, but I think the following explains it (from the CSI link post...
by Jez Liberty
Fri Apr 27, 2012 11:39 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8400

I like the transparent aspect of a simple "mechanical" index (your second option). It would also allow you to quantify your "system design alpha" compared to a Trend Following index/benchmark, which provides cheap/easy alternative beta. Taking the index as a benchmark, you could evaluate each system...
by Jez Liberty
Fri Apr 27, 2012 6:46 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8400

I do publish a monthly Trend Following Index on my blog too ("Trend Following Wizards Index") but it seems that you want historical values. A while back I compiled something like this to make up a historical composite index (results can be found here ) Here is the spreadsheet that I used to compile ...
by Jez Liberty
Mon Apr 23, 2012 6:46 pm
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 6831

Re: Have this affected your simulations..

Had those new options affected your simultation results? When reading this thread over the weekend, I was thinking of doing such test to measure the actual difference in TB back-testing results using different methods. I'll try and publish the results here and/or on my blog soon.. I build my tradin...
by Jez Liberty
Sun Feb 05, 2012 11:39 pm
Forum: Trend Indicators and Signals
Topic: Transtrend way of measuring market "trendiness": T
Replies: 8
Views: 8101

It is implemented as an indicator so you can use it in blox code (it's computed for the last x days) or also outputs its value to the Print Output file
by Jez Liberty
Fri Jul 29, 2011 3:01 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10025

Just found an interesting article on Emil Van Essen, who indeed trade spreads - mostly "rollover arbitrage"-type spreads on commodity (profiting from "dumb money" ETF index funds rolling every month) - LINK At its base level, the Van Essen program looks to take advantage of the fact that futures bas...
by Jez Liberty
Fri Jul 29, 2011 2:11 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10025

Thanks svquant - I definitely agree with the general dose of skepticism one should apply to "second-hand" information, like this one. :wink: It does seem to make sense to include more "exotic" markets, less correlated to a portfolio though - and as drm7 says: Adding a few spreads could be a good way...
by Jez Liberty
Mon Jul 25, 2011 10:37 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10025

RHC - thanks My point is that I do not believe you can take away one intra day monthly high from another contract intra day high and derive the high for the spread on the day - or am i missing something - you dont know when during teh day each contract hit hits high/ low and if not at the same time...
by Jez Liberty
Sun Jul 24, 2011 6:17 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10025

unless I'm being stupi (highly likely I know) - there is no CSI price data to backtest for these - so although the volume looks okay and Im sure that they trend and are tradable - you dont really know how they perform over the long tern unless a) you have collected the data yourself b) you crudely ...
by Jez Liberty
Thu Jul 21, 2011 4:10 am
Forum: Futures Markets
Topic: YTD performance of Trend Following Wizards
Replies: 5
Views: 2917

Re: YTD performance of Trend Following Wizards

Thanks for the mention!

[quote="absret111"]The following site (by Jez Liberty) shows YTD performance of Trend Following Wizards:

http://www.automated-trading-system.com ... -red-june/

Since only 4 Wizards holding onto a “blackâ€
by Jez Liberty
Mon Feb 28, 2011 10:36 am
Forum: Trend Indicators and Signals
Topic: Transtrend way of measuring market "trendiness": T
Replies: 8
Views: 8101

Transtrend way of measuring market "trendiness": T

Transtrend have come up with their method to calculate the "potential profitability of a trend following system", by measuring the market "trendiness" They called it Trendpot, which is explained in this presentation .: Trendpot is a backward looking measure that indicates for an individual market wh...
by Jez Liberty
Wed Feb 23, 2011 9:36 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30175

I hope folks don't misinterpret Jez's chart. He started with the assumption that all N of the equity curves had the same correlation to each other -- which simplifies the math tremendously . Very true. I think I would still be working out the maths if I had not made this simplifying assumption! But...
by Jez Liberty
Mon Feb 21, 2011 9:41 am
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30175

The equations in the posts above show that the decrease in volatility is function of both N and rho. Simplifying for rho=0 allows to neatly reduce the equation for N equity curves. But I was curious to see how much rho plays its part in decreasing volatility when it is not assumed to be 0. As LeviF ...
by Jez Liberty
Mon Feb 21, 2011 9:39 am
Forum: Data Providers and other non testing software
Topic: Storing images here, allows inline inclusion using img tag
Replies: 7
Views: 5363

Sluggo - Hope you do not mind... "Squatting" this thread to post images to be included in the other thread
by Jez Liberty
Mon Jan 31, 2011 8:51 am
Forum: Testing and Simulation
Topic: Looking at path of trade
Replies: 3
Views: 2129

thanks sluggo, I saw that you just added the reference to the LeBeau's method (or did I just missed it before I replied?..) - which seems to have similar principles to the e-ratio calc
by Jez Liberty
Mon Jan 31, 2011 8:41 am
Forum: Testing and Simulation
Topic: Looking at path of trade
Replies: 3
Views: 2129

I am not familiar with the method from LeBeau's book but you could also use the e-ratio discussed by Curtis Faith in Way of the Turtle on page 65 . You might also have the same issue as sluggo highlights as the e-ratio is calculated for a specific day - although you can calculate/chart it for a rang...
by Jez Liberty
Sun Jan 16, 2011 5:51 pm
Forum: Forex
Topic: Obtaining forex intraday data
Replies: 8
Views: 6066

I "dusted off" my old java app, which I'd built to build M1, M5, M15, H1, D1, etc. quotes off tick data from OANDA - time flies: It was 5 years ago! Not sure about the data quality now, but I did find it acceptable then and I managed to find an old file produced by my app. It basically output all da...
by Jez Liberty
Sun Jan 16, 2011 9:22 am
Forum: Forex
Topic: Obtaining forex intraday data
Replies: 8
Views: 6066

I have heard of and read several articles on Olsen Data (not used myself) ( LINK ). They supposedly have good data but are quite expensive (YGWYPF I suppose, ). Another option (which I have used) is to download historical data from the forex trading company they are associated with: OANDA. It has li...
by Jez Liberty
Mon Oct 18, 2010 6:51 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7857

just pm'ed you - was meant to do so earlier but had a busy weekend...