Search found 15 matches

by mirec79
Wed Jan 02, 2013 5:41 pm
Forum: Money Management
Topic: What position sizing should be used?
Replies: 7
Views: 4139

It doesn't matter what win/loss ratio you have. Same position sizing can be used for both strategies. The position sizing algorithm is highly individual, depends on many factors. There is not right or wrong answer. And how many contracts you buy or sell depend also on the % of capital you are willin...
by mirec79
Tue Oct 23, 2012 2:23 pm
Forum: Futures Markets
Topic: Can I roll over the day after expiration?
Replies: 5
Views: 3121

Crude Oil

Does anyone have an idea why is the expiration day of CL earlier than first notice day?

For all another commodities the FND is earlier than expiration day.

M.
by mirec79
Tue Oct 09, 2012 2:29 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6739

AFJ the link doesnt work for me...

M.
by mirec79
Sun Jul 29, 2012 11:59 am
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 10231

What is the %volatility betsizing?

Sluggo,

What is the %volatility betsizing?

M.
by mirec79
Thu Jul 26, 2012 4:43 am
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

Thats seems to be a good start. I ll try it.

M.
by mirec79
Wed Jul 25, 2012 11:21 pm
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

MAR

The MAR appears too low for me.

How can i change the system, or which changes are necessary to make so the system will be tradeable in real world?

M.
by mirec79
Wed Jul 25, 2012 1:45 pm
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

:-). Me too, but there are still no comments on the system. I know it is not a magic system, i am just asking my self what can i change to get some better results. I tried different entries, different exits, different filters. As i wrote before i dont want to use scale in and scale out techniques. M.
by mirec79
Tue Jul 24, 2012 10:59 pm
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

Logo

Sluggo, i am running the free trial of TB. And the quality of the logo is low because i was using Bullzip PDF Printer to print/export the the results to pdf file.

Mirec.
by mirec79
Tue Jul 24, 2012 3:15 pm
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

Any ideas how to improve this system?

Hallo, i am backtesting some ideas about my system. The system should trade with "smaller" bankroll. 100k-200k. I dont want to use scale in and out because with smaller account some of the futures will trade just with 1-2 contracts. I will any comments/ideas. Mirec. [img]ScreenHunter_01%20Jul.%2024%...
by mirec79
Tue May 15, 2012 3:24 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

CTAs

AFJ, it would be interesting to compare CAGR and DD of CTAs with and without commissions.

Any idea where to find such data?

So i could have an idea what is the real performance of such CTAs, and i would have idea which numbers are realistic for me as TF.

Mirec.
by mirec79
Tue May 15, 2012 8:26 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

Dunn

Right.

M.
by mirec79
Tue May 15, 2012 8:11 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

Dunn

AFJ so i contacted Dunn and they answered:

"Yes, we charge a performance fee only on "net", new high watermarks."

So it would be interesting "how much" it was during last 10 years.

Mirec.
by mirec79
Tue May 15, 2012 5:10 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

Dunn

Ok, i ll drop them an email and i ll be back with the answer. AFJ you are right if they are not charging fees on new highs this matters a lot.

Mirec.
by mirec79
Tue May 15, 2012 4:57 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

Dunn

I selected Dunn because the fee structure is simple, just 25% percent from profitable month, i was contacting the office if Dunn and they told me they are not charging any other fee. So one example, there is a month with 10% profit. (after fee). So it is actualy 75% of the real profit. Dunn took alr...
by mirec79
Tue May 15, 2012 2:54 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8447

CTA and Fees

In last few weeks, i am watching a lot of traders searching for a benchmark or a performance of different trend followers of TF funds. Some traders are comparing their performance with different TF funds. What should be noticed here, is that the results are after fees! So it means, that the real per...