Search found 21 matches
- Mon Jul 27, 2015 3:40 pm
- Forum: Testing and Simulation
- Topic: US Stock Rotation System
- Replies: 7
- Views: 12344
Re: US Stock Rotation System
Anthony, I wonder if I could trouble you to run a stock test for me, I dont think it would be much work. I do not have the necessary stock data. You may have already done this anyways. These are the rules: Portfolio = all tradeable stocks & ETFs Buy the top 100 performing instruments with a 3-m...
- Fri Jun 05, 2015 11:12 am
- Forum: Testing and Simulation
- Topic: Exit All Units on Close
- Replies: 4
- Views: 6563
Re: Exit All Units on Close
I think that makes sense to me but there is no way I can code that up. I don't have much experience with the looping function. Any chance you'd care to share? Understand if you don't want to. Another issue is that some of my worst trades on the backtest are ones that are entered immediately when the...
- Wed Jun 03, 2015 4:57 pm
- Forum: Testing and Simulation
- Topic: Exit All Units on Close
- Replies: 4
- Views: 6563
Exit All Units on Close
I'm trying code up a really basic system and the criteria for entering/exiting a trade is based on if the current day's close is above below a certain Moving Average. I wanted to set it up so that if the close is clearly above the Moving Average then it would enter/exit on that day's closing price. ...
- Tue Jun 02, 2015 3:04 pm
- Forum: Testing and Simulation
- Topic: Trend Following: Profitable Reality or an Illusion doomed to
- Replies: 28
- Views: 33569
Re: Trend Following: Profitable Reality or an Illusion doomed to
Funny that. I was just reading this post and checking the date of all the replies and wondered how everyone felt now. I "discovered" trend following around 2009 and have been toying with it on a part-time basis ever since but struggled. I thought it was because of me but it's pretty clear ...
- Mon Jun 01, 2015 9:40 pm
- Forum: Trend Indicators and Signals
- Topic: Signal Noise Ratio
- Replies: 3
- Views: 10811
Signal Noise Ratio
I'm attempting to code up a Signal Noise Ratio as seen in Trend Following with Managed Futures by Greyserman and Kaminski The formula is essentially: Abs((Price(t) - Price(n)) / Sum of Abs(Price(t-k) - Price (t-k-1) An example if N = 100 I'm looking at the $ price change from today vs 100 days ago d...
- Fri Jul 26, 2013 2:22 pm
- Forum: Money Management
- Topic: Breakeven Stops
- Replies: 3
- Views: 7380
- Fri Jul 26, 2013 10:19 am
- Forum: Money Management
- Topic: Breakeven Stops
- Replies: 3
- Views: 7380
Breakeven Stops
I'm trading a system on stocks currently that has some interesting stop placement. It's essentially a breakout system that risks 2ATRs initially but the stop is moved up to breakeven after the first day with the reasoning that if the stock is truly breaking out it should be in profit on the first da...
- Sun Feb 03, 2013 11:29 pm
- Forum: Trend Indicators and Signals
- Topic: Metastock to Trading Blox Indicator
- Replies: 0
- Views: 12395
Metastock to Trading Blox Indicator
Hey guys, need a bit of help translating a metastock code into Tblox. It's nothing terribly difficult but I would appreciate any help. PM me for details. Thanks.
- Wed Jun 27, 2012 10:48 pm
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
Consider using a position count limiter to limit the number of positions, which will limit the max account loading when using market orders, and something less with Stop and Limit execution orders. With fixed rate sizing, and with a max account loading rate goal you won't want to exceed, you can ea...
- Sat Jun 23, 2012 11:10 am
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
- Sat Jun 23, 2012 11:07 am
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
- Fri Jun 22, 2012 2:19 pm
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
What testing platform are you using that doesnt have a maximum allowed risk as a percent of equity? What isnt commercially viable about winning 3.64:1? I'm using Trading Blox but must be missing something on max allowed risk as a % of equity. Ha, yeah the win/loss ratio is good in that terms but he...
- Fri Jun 22, 2012 2:05 pm
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
Do you really have 132% risk when fully loaded? I assume you are risking 2% based on volatility, what is your avg losing trade in %? True, it's volatility weighted but if so and I'm risking 2% on each trade and say I'm in 66 positions that's .02 x 66 = 132% of equity or am I missing something. The ...
- Fri Jun 22, 2012 1:04 pm
- Forum: Money Management
- Topic: Novice Question
- Replies: 16
- Views: 16839
Novice Question
I was lucky enough to find a mentor who has worked at some pretty well known places in the world of systematic futures trading. He was going over some of my test results and giving me feedback. One of the things he was concerned with is that I'm using a fixed fractional position sizer and my risk pe...
- Thu Mar 15, 2012 11:32 am
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
- Tue Mar 13, 2012 10:05 am
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
I assume you are not using (or properly using) stops. You cant calculate R-multiples, expectancy, avg risk, etc without stops. Correct, no stops. System exits when the indicator changes a certain way. So if that's the case then it can't really calculate the R-multiples as far as profit contribution...
- Mon Mar 12, 2012 4:51 pm
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. With an ...
- Mon Mar 12, 2012 3:49 pm
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
I have and indicator that when it reaches a threshold it goes long and then exits when it reverses to another level. Double checked and yes it is entering and exiting how I'm instructing. So then I am confused about why you are confused. :-) If it's doing what you want by following the signals of y...
- Mon Mar 12, 2012 1:50 pm
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. Right? T...
- Mon Mar 12, 2012 1:48 pm
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11392
Well, how are you instructing the system to exit trades? And when you look at the trades tab, is the system exiting based on how you expected it to? I have and indicator that when it reaches a threshold it goes long and then exits when it reverses to another level. Double checked and yes it is ente...