Search found 10 matches
- Tue Oct 09, 2012 9:26 am
- Forum: Testing and Simulation
- Topic: Curve Fitting or appropriate market selection
- Replies: 15
- Views: 12823
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...
- Mon Oct 08, 2012 10:56 am
- Forum: Testing and Simulation
- Topic: Curve Fitting or appropriate market selection
- Replies: 15
- Views: 12823
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 ...
- Sun Oct 07, 2012 2:35 pm
- Forum: Testing and Simulation
- Topic: Curve Fitting or appropriate market selection
- Replies: 15
- Views: 12823
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 ...
- Tue Aug 07, 2012 7:27 pm
- Forum: Money Management
- Topic: Last day rule
- Replies: 5
- Views: 7722
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...
- Tue Aug 07, 2012 12:36 pm
- Forum: Money Management
- Topic: Last day rule
- Replies: 5
- Views: 7722
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 t...
- Sat Jul 28, 2012 2:06 pm
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7022
Drawdown Reduction Threshold
I'd be curious to know how many people use this function.
- Wed Nov 02, 2011 3:45 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9258
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?
- Wed Nov 02, 2011 11:05 am
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9258
Many thanks!
This makes sense, thanks so much!
The comments/advice are very much appreciated, going to read/research more
The comments/advice are very much appreciated, going to read/research more
- Wed Nov 02, 2011 10:03 am
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9258
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...
- Tue Nov 01, 2011 5:56 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9258
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...