Search found 10 matches

by PNW_Trader
Mon Mar 05, 2012 10:18 pm
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 6432

Re: annual profit target

i wonder if they have some kind of proifit target whose code is something like "oh my dear, we are up 20 per cent this year, let us exit almost all". Do you think it is possible code this? Ralph Vince shows this method in his book - The Leverage Space Trading Model: Reconciling Portfolio Management...
by PNW_Trader
Wed Feb 01, 2012 8:07 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 8462

Octave seems interesting and I'll certainly look into it- I'm currently learning R with the goal of being able to construct a basic statarb strategy. Does Octave have libraries to run co-integration tests using the augmented dickey fuller method? As you Google around be sure to use keyword 'Matlab'...
by PNW_Trader
Fri Jan 27, 2012 2:17 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 8462

I'm a big fan of Matlab/Octave (Octave is the free open source version). It fits nicely between excel and a full programming language such as C++. I much prefer it to excel VBA as it is much, much more capable and in my opinion much easier to learn. To me, excel VBA is very kludgy - a direct result ...
by PNW_Trader
Fri Nov 11, 2011 6:18 pm
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5583

Doing business in the post MFG era

Even if you were lucky enough to escape the MF Global fiasco, you should, in my opinion, pay attention to what it means for your futures business. Net, net, the message is that segregated funds are a fairy tale. Any money you have on deposit at an FCM are at their disposal to use as they wish. And, ...
by PNW_Trader
Mon Aug 15, 2011 10:35 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 5674

One thought

Here's a thought - generate a number of price data sets with a random walk process. Then, feed these into a trend following system and see what happens. Now, do the same process with real price data. Compare the results with statistical inference tests. Descriptively look at a 2x2 table of random da...
by PNW_Trader
Mon Aug 15, 2011 10:11 pm
Forum: Futures Markets
Topic: Aug 2011: Can't short these Stock Index Futures
Replies: 14
Views: 6366

Does not make sense

I just can't grasp this. My understanding of futures is that there *must* be a short contract for every long contract. In terms of commodities, if I'm willing to sell a quantity of corn at a given price on a given day, then there must be someone on the other end willing to buy that quantity of corn ...
by PNW_Trader
Sat Aug 13, 2011 11:15 pm
Forum: Testing and Simulation
Topic: Pairs trading of futures
Replies: 2
Views: 1813

Pairs trading of futures

Hello all, I'm reading Perry Kaufman's new book "Alpha Trading." I'm looking for a system which would provide low or negative correlation to my trend following system in order to tame down the drawdowns (yes I'm willing to trade off some CAGR to get it). It would seem, at least on the surface, that ...
by PNW_Trader
Tue Jan 18, 2011 4:47 pm
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 9766

Looks like great work and I'd love to see the TBB code!
by PNW_Trader
Mon Jan 17, 2011 2:40 pm
Forum: Data Providers and other non testing software
Topic: CSI's 150 Futures Market Limit
Replies: 5
Views: 3307

CSI's 150 Futures Market Limit

The topic of having large, diverse portfolios to improve system performance has been discussed quite a bit here (c.f. http://www.tradingblox.com/forum/viewtopic.php?t=7954 ). My testing has confirmed this to be about as close to a free lunch (improving CAGR and DD simultaneously) as one will likely ...
by PNW_Trader
Sun Jan 02, 2011 5:23 pm
Forum: Data Providers and other non testing software
Topic: CSI OFFLINE ?
Replies: 8
Views: 4419

I'm still not able to update data or see their website.