Search found 12 matches

by bluefightingcat
Thu Sep 29, 2016 6:16 am
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 8839

Re: Harmony Search Algorithm

If anybody is interested, I tried this out and it seems to work fine.
by bluefightingcat
Fri Mar 11, 2016 8:24 am
Forum: Testing and Simulation
Topic: Walk Forward Analysis
Replies: 1
Views: 1333

Walk Forward Analysis

I've been doing some reading about walk forward analysis. I think I have understood the principal behind it but I thought I would come here to get confirmation on whether I have understood everything properly. 1. The principal behind walk forward analysis is to see whether a system can be more profi...
by bluefightingcat
Wed Feb 24, 2016 8:49 am
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 8839

Re: Harmony Search Algorithm

and have not found genetic or brute force optimization strategies very useful
Care to share how you go about designing a system and then optimizing it? I'm a relatively new to all this, so any advice on how to improve and test my system design would be much appreciated.
by bluefightingcat
Tue Feb 23, 2016 6:21 am
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 8839

Re: Harmony Search Algorithm

I just recently started using TradingBlox and came across this Topic. Considering that TradingBlox hasn't implemented Genetic Testing (or similar) yet I found this post very interesting. I just ran a stepped test using 5 parameters that meant about 9600 cycles. It my machine about 36 hours to do. Ne...
by bluefightingcat
Tue Feb 23, 2016 4:37 am
Forum: Testing and Simulation
Topic: Optimization - Independently testing parameters
Replies: 1
Views: 1234

Optimization - Independently testing parameters

In my current test I have 5 different parameters. I have been wondering whether it is wiser to test each parameter independently and compare it to a base system or whether to carry out a Brute Force backtest with all parameters stepped. Of course the brute force test would take a long time to comple...
by bluefightingcat
Wed Jan 13, 2016 5:45 am
Forum: Testing and Simulation
Topic: Backtest Metric
Replies: 1
Views: 1055

Backtest Metric

When running your backtests which metric do you use to compare backtests? CAGR, MAR, Profit Factor? And why? I am kind of new to this and I'm trying to figure out which metric works best. My understanding is that for example the MAR is only valid if all your backtests have the same timeframe. CAGR a...
by bluefightingcat
Tue Dec 29, 2015 8:51 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5547

Re: In Sample vs Out of Sample Run

Ok. So is your mid-line factor calculated per stock or for the entire market? Does each stock have it's own mid-line factor floating value or does e.g. the entire SP500 have just one mid-line factor floating value? If I understood correctly you use the mid-line factor defines whether you enter a pos...
by bluefightingcat
Tue Dec 29, 2015 4:17 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5547

Re: In Sample vs Out of Sample Run

Hi, This is a really interesting thread. I have long been looking for a market timer to help me reduce my drawdowns. I currently trade US stocks and fab1usa1 your system seems interesting. I will have to look further into it. You say you are a swing trader. How long do you hold your stocks for on av...
by bluefightingcat
Mon Dec 14, 2015 3:50 am
Forum: Testing and Simulation
Topic: New to TB and TMA
Replies: 2
Views: 1030

Re: New to TB and TMA

I ran a quick test based on your post for US stocks (NYSE and NASDAQ) for this year. The system gave a CAGR of -97%. So not a good system. Of course there a lots of parameters/variables that you will need to change and test to see if you can get a good system out of it. System development and backte...
by bluefightingcat
Mon Dec 14, 2015 3:46 am
Forum: Testing and Simulation
Topic: New to TB and TMA
Replies: 2
Views: 1030

Re: New to TB and TMA

No I don't have such data. But the great thing about using TB is that you can test it yourself and then also customise the system or make a completely new one based on the results.
by bluefightingcat
Mon Nov 23, 2015 1:52 am
Forum: Data Providers and other non testing software
Topic: eSignal vs IQfeed
Replies: 0
Views: 9484

eSignal vs IQfeed

Hi,

Both eSignal and IQFeed provide intraday historical data. Does anybody have an opinion on which works better with TradingBlox? They both are avaible using QConnector. It seems IQFeed provides substantially more historical data for stocks. Minute data all the way back to 2007.
by bluefightingcat
Fri Nov 20, 2015 3:38 pm
Forum: Testing Software
Topic: Software performance questions
Replies: 3
Views: 7739

Software performance questions

I looking for some good backtesting software and I came across TradingBlox. Seems like the ideal solution for an individual trader who wants to use rule based trading. However before I take the time and effort to get into the system I have some questions that hopefully some of you with experience ca...