Search found 11 matches
- Tue Dec 23, 2003 4:45 am
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15252
- Sun Dec 21, 2003 8:55 pm
- Forum: Money Management
- Topic: Correlation
- Replies: 19
- Views: 16621
Interesting topic. I have found correlation to be like picking direction ( long or short ). Because the instruments go up and down in an apparent random, so must the interaction between them. Fund managers are always rebalancing their portfolios in an attempt to avoid one area becoming the dominant....
- Tue Nov 25, 2003 4:43 am
- Forum: Money Management
- Topic: Closed-trade vs. open-trade drawdown
- Replies: 3
- Views: 7057
Open or closed
To me closed drawdowns are like the backtesting regime. They are the history that got the account this far. They represent the huge subject of how to measure systems, that I have yet to see a failsafe answer for. Emotionally live drawdowns are the worry, fear of that ultimate draw down that takes al...
- Sun Sep 14, 2003 1:47 am
- Forum: Testing and Simulation
- Topic: Weight assignment to indicators
- Replies: 7
- Views: 6974
- Sun Sep 14, 2003 1:18 am
- Forum: Testing and Simulation
- Topic: Random Trades
- Replies: 12
- Views: 14015
Interesting posts. Random entry is one thing, but random exit is another. Any random exit will automatically revert to zero. A statistical hypothesis is a claim that a result can be obtained from a sample test. The level of significance is determined by the rejection region of the bell curve. The ta...
- Mon Aug 18, 2003 5:06 pm
- Forum: Testing and Simulation
- Topic: Historical Data
- Replies: 31
- Views: 33940
The first question asked what type of data and where from. Where from, I have tried a variety of user pays providers for both stocks and futures and found most of them satisfactory for both data and histories, if they are popular its probably because they are ok. What type, is by far the more import...
- Thu Aug 14, 2003 7:30 am
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 15050
PS
What Mark actually said, was that the parameters are the only constant in the situation he described. I agree. When I said in my most recent post that the data was the only thing that had changed, I ignored the component that says who the user of the system was. Because what was meant, was to focus ...
- Thu Aug 14, 2003 6:50 am
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 15050
Word meanings
Firstly I would like to thank the authors of those recent comments, some of their contributions bought me to this forum, after their excellent contributions to Chuck's forum. It depends what is meant by the words used. Data is what the system is run over, eg, the OHLC EoD for the chosen vehicle, lik...
- Sun Aug 10, 2003 2:03 am
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 15050
Stat analysis of curve fitting.
First up, if by curve fitting you mean getting a sample of data and running your system over it until you have tweaked it enough to get the optimal result, then I'd call that curve fitting. If you mean testing your method to get the different elements to work together properly then I think that is o...
- Sat Aug 02, 2003 1:14 am
- Forum: Testing and Simulation
- Topic: Long Term vs. Short Term Strategies
- Replies: 8
- Views: 9990
Long or short term.
The original post started of with the premise of randomness in short time frames. When the amount of information to be gathered is small its statistical integrity cannot be guaranteed. There is clear rules about sample sizes. A popular measure is the moving averages, you need longer time frames for ...
- Wed Jul 23, 2003 6:31 am
- Forum: Testing and Simulation
- Topic: Benchmark Test Data
- Replies: 15
- Views: 15721
Data
Data is the heart of the whole issue for me. I took statistically acceptable sample sizes* from a wide variety of data, including from different times, commodities, currencies,American and Australian stocks and randomly generated from the spreadsheet. When I compared them in an unadulterated form th...