Search found 32 matches

by Angelo
Fri Jun 10, 2011 5:43 am
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5913

If the ONLY information you have is the daily Open, High, Low, Close then the Shortest Path Heuristic is one of your (very few) options: Choose the piecewise linear price trajectory of shortest total length. You can work out the arithmetic yourself; there are only two cases to consider. The conclus...
by Angelo
Wed Mar 24, 2010 6:05 am
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 6128

Hi Chris,

you raise a very good point.

I think it’s very easy when backtesting to introduce “what we have learn about the pastâ€
by Angelo
Wed Feb 10, 2010 7:54 am
Forum: Trader Psychology
Topic: The more I use Trading Blox the less I want to trade!
Replies: 11
Views: 11521

Re: The more I use Trading Blox the less I want to trade!

Hi, I am going to 'force' myself to place the trades this week as I have testing the strategies with decent historical data. It's just that I didn't expect to get this emotional reaction to the results generated by my using / testing strategies with 'trading blox'. I thought it would make me more c...
by Angelo
Fri Jul 04, 2008 4:00 am
Forum: Testing and Simulation
Topic: Most liquid futures contracts
Replies: 5
Views: 7887

If you browse the forum you will find that there's some people (including nickname "Forum management" ) that had the same positive/nostalgic view of the pit trading. Some years ago, we traded some size on the LIFFE BTP (Italian bond) future, using highly recognized brokers; based on this experience,...
by Angelo
Thu Jun 26, 2008 11:11 am
Forum: Testing and Simulation
Topic: Post-drawdown performance
Replies: 7
Views: 4800

Eric Winchell wrote:
P.S. I thought MAR ratio was short for Calmar ratio.... are we sure Managed Account Reports invented it?
We had already a thread about it:

viewtopic.php?t=2100&highlight=mar

Greetings.
by Angelo
Thu Jun 26, 2008 6:15 am
Forum: Testing and Simulation
Topic: Post-drawdown performance
Replies: 7
Views: 4800

Well, the regression to the mean principle seems at work here..... and there's some other material on this forum (posted by Dean Hoffman, if I remind well) stating that the most appropriate time to start/increase position in a system is after a deep DD. To complete the test, you could maybe try to e...
by Angelo
Thu Jun 26, 2008 5:59 am
Forum: Testing and Simulation
Topic: Most liquid futures contracts
Replies: 5
Views: 7887

This piece of information, courtesy of Mark Johnson, seems interesting too:

viewtopic.php?t=5106
by Angelo
Fri Jun 13, 2008 9:29 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36546

Hi everybody, speaking of continous data and rollovers, I wonder wether someone read Mike Chalek's piece on last Futures Truth magazine and have some comments, especially from the real trading .... (I must admit, I don't trade LTTF..... at least not yet...., so rollovers are not a real life problem ...
by Angelo
Mon Jun 02, 2008 5:35 am
Forum: Trend Indicators and Signals
Topic: Pullbacks and LTTF methods
Replies: 11
Views: 10448

Im am interested to see why you feel that long term trendfollowers like Dunn and Henry are accurate proxies for the systems that Seykota is using now. Hi Sebastian, in this day, talking about trend following is a bit hard, beacuse there is always the risk to spark ideological wars..... sometime wit...
by Angelo
Sat May 31, 2008 2:44 am
Forum: Trend Indicators and Signals
Topic: Pullbacks and LTTF methods
Replies: 11
Views: 10448

See what Ed Seykota has to say regarding buying on dips http://www.seykota.com/tribe/FAQ/2008_May/01/index.htm See the last entry. PS. I don't agree with him 100%. I personally buy both breakouts and pullbacks, the core concept is something I got out of reading Livermore's stuff - pivotal points! I...
by Angelo
Fri May 16, 2008 7:46 am
Forum: Testing and Simulation
Topic: How to make profit in stock market
Replies: 20
Views: 13931

I am a equity market trader in India. I started looking at many fourms because of i sold my last shirt for trading and failed and convinced my self that there is something I am missing for the past years regarding trading. Really? On the Indian market? That is, on the market of one of the fastest g...
by Angelo
Tue May 13, 2008 2:08 am
Forum: Testing and Simulation
Topic: How to make profit in stock market
Replies: 20
Views: 13931

dear solfest,nodoodahs,Roger Rines,Mark Johnson, there is lots of unwanted replies for the topic(i guess), pl. if you know any successful profit making trading techniques, pl. guide. I too find very enlightening Roger's reply. I still have on my PC some of the systems he programmed for Bruce Babcoc...
by Angelo
Thu Apr 17, 2008 10:16 am
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 22959

Anyway, I digress. The problem we/I have is that I know my broker margins today, and maybe recent years to the extent I've made a note of them, but I sure don't have them going back 30 years and TB can only handle one margin/intrument in the dictionary. So plugging in double margin numbers today ve...
by Angelo
Fri Jul 13, 2007 10:43 am
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6452

Re: A systematic way to portfolio optimzation

Im totally sure that given e.g. 123 markets I could come up with a system using 85 markets and a resulting equity curve with R-Squared at 99.88%. Yes, you can be totally sure to get all results you like but just FOR THE PAST...... What is the solid motivaton for assuming R squared (as any other per...
by Angelo
Sun Jun 03, 2007 4:32 am
Forum: Testing and Simulation
Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
Replies: 6
Views: 7108

I'm no expert but always thought SPC is just assuming a normal-like distribution of testing results around the mean. So, when the number of faulted output exceeds 3 sigmas, you can conclude that it’s not just bad luck, but there’s something wrong in the production process. This is an assumption ...
by Angelo
Thu May 24, 2007 5:30 am
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 37566

Thanks for posting, very interesting indeed.

For me, the odd part was about his models changing weekly.

Markets do change, but on a weekly basis?
by Angelo
Sat Mar 31, 2007 5:39 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36546

System A - continuous contract # trades = 1 Avg winner = 100 Avg loser = 0 Length of Avg Trade = 260 System B - actual contract data # trades = 10 Avg winner = 25 Avg loser = -15 Length of Avg Trade = 26 What utter bull-hockey! Those numbers represent the exact same system. The only difference is t...
by Angelo
Fri Mar 30, 2007 4:05 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36546

Hi everybody,

Hoping not to annoy anyone, a little update about data.

After all your posts, I asked myself: “hey jerk, from where did you get the belief about the not-so-absolute reliability of continuous data?â€
by Angelo
Wed Mar 28, 2007 3:12 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36546

Angelo, I don't mean to appear argumentative, and I have no kind of dogmatic attachement to backadjusted price series. I don't think you are arriving from the moon. It could be that all of us trying to give assistance are missing the point entirely. What will help immensely is if you can go through...
by Angelo
Wed Mar 28, 2007 9:00 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36546

My question is what sort of back adjusted data are you using? With my backadjusted data the gaps are removed. Are you just concatenating the data together without adjusting for spread? If you string together a series of actual prices for multiple months, then of course you will have large gaps betw...