Search found 10 matches

by ColdFact
Tue Oct 09, 2012 9:26 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6690

I haven't coded that, I'm simply to doing it because i looked at situations when the system would have, and it never ended well. I understand that in hindsight I cannot remove unprofitable markets, and expect performance to be the same going forward. What I'm interested in learning though, is if a m...
by ColdFact
Mon Oct 08, 2012 10:56 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6690

Marriot: I have altered the starting equity, it has no impact. I have also altered the 45/150 - you can move either parameter by 25-50%, and it has very little impact on the performance of the system. I am not afraid at all that the curve fitting has to do with the parameters, I am afraid that it's ...
by ColdFact
Sun Oct 07, 2012 2:35 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6690

Curve Fitting or appropriate market selection

I have been able to dramatically improve both the live (but only recent past) performance, and backtested performance of my system, by not trading as many markets as possible. I use a very simple system: IF 45/150 MACD is positive, go long on a new month high IF 45/150 MACD is negative, go short on ...
by ColdFact
Tue Aug 07, 2012 7:27 pm
Forum: Money Management
Topic: Last day rule
Replies: 5
Views: 3689

Thanks Sluggo

If only my coding skills were up to it. A friend of mine has this on his list of things to add once he can. What I'm talking about works for up and down trends. If say a new high is breached in corn - you take it - i would want to get out if the low of the day was breached, even if it was minutes af...
by ColdFact
Tue Aug 07, 2012 12:36 pm
Forum: Money Management
Topic: Last day rule
Replies: 5
Views: 3689

Last day rule

What are people's thoughts on using the "Last Day Rule" - i.e. you set the stop loss on a breakout equal to the low the day of the breakout if the breakout is not a jump up on open - or the low of the previous day if it is. Secondly, is anyone aware of a block having been created to test this? Thanks!
by ColdFact
Sat Jul 28, 2012 2:06 pm
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3363

Drawdown Reduction Threshold

I'd be curious to know how many people use this function.
by ColdFact
Wed Nov 02, 2011 3:45 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5381

Response to Bravochico

Do you have a rough estimate in your experience, for how much the performance is inflated by using the perp contracts? I'd love to be able to adjust my expectations appropriately. Also, do you find that specific markets are more/less affected?
by ColdFact
Wed Nov 02, 2011 11:05 am
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5381

Many thanks!

This makes sense, thanks so much!

The comments/advice are very much appreciated, going to read/research more :)
by ColdFact
Wed Nov 02, 2011 10:03 am
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5381

Thanks svquant for the quick response :)

I'm confused as to how backwardation or contango is relevant. I have noticed that there is very little difference (and it seems random as to whether the difference is positive or negative) for the grains/dairy/etc - but the difference in return is hugely positive across every single energy market. W...
by ColdFact
Tue Nov 01, 2011 5:56 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5381

Contract month selection and rolling parameters

I use CSI data. I have noticed that profitability doubles in various markets from Rough Rice to Crude Oil to Natural Gas (among others) by rolling the contracts 90-120 days before expiration, as opposed to rolling them based on open interest and volume. (I'm using a long-term trend following strateg...