Search found 59 matches
- Thu Jun 07, 2012 11:12 am
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 40605
- Mon Apr 30, 2012 10:11 am
- Forum: Data Providers and other non testing software
- Topic: CSI Beta 120
- Replies: 11
- Views: 14331
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...
- Fri Apr 27, 2012 11:39 pm
- Forum: Testing and Simulation
- Topic: CTA Performance Index
- Replies: 28
- Views: 17069
- Fri Apr 27, 2012 6:46 pm
- Forum: Testing and Simulation
- Topic: CTA Performance Index
- Replies: 28
- Views: 17069
- Mon Apr 23, 2012 6:46 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Beta 120
- Replies: 11
- Views: 14331
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...
- Sun Feb 05, 2012 11:39 pm
- Forum: Trend Indicators and Signals
- Topic: Transtrend way of measuring market "trendiness": T
- Replies: 8
- Views: 13790
- Fri Jul 29, 2011 3:01 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18709
- Fri Jul 29, 2011 2:11 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18709
- Mon Jul 25, 2011 10:37 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18709
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...
- Sun Jul 24, 2011 6:17 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18709
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 ...
- Thu Jul 21, 2011 4:10 am
- Forum: Futures Markets
- Topic: YTD performance of Trend Following Wizards
- Replies: 5
- Views: 5204
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€
[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€
- Mon Feb 28, 2011 10:36 am
- Forum: Trend Indicators and Signals
- Topic: Transtrend way of measuring market "trendiness": T
- Replies: 8
- Views: 13790
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 ...
- Wed Feb 23, 2011 9:36 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47797
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...
- Mon Feb 21, 2011 9:41 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47797
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 ...
- 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: 7763
- Mon Jan 31, 2011 8:51 am
- Forum: Testing and Simulation
- Topic: Looking at path of trade
- Replies: 3
- Views: 3428
- Mon Jan 31, 2011 8:41 am
- Forum: Testing and Simulation
- Topic: Looking at path of trade
- Replies: 3
- Views: 3428
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...
- Sun Jan 16, 2011 5:51 pm
- Forum: Forex
- Topic: Obtaining forex intraday data
- Replies: 8
- Views: 12282
- Sun Jan 16, 2011 9:22 am
- Forum: Forex
- Topic: Obtaining forex intraday data
- Replies: 8
- Views: 12282
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...
- Mon Oct 18, 2010 6:51 am
- Forum: Testing and Simulation
- Topic: Continuous Data Building Software
- Replies: 19
- Views: 13186