Search found 28 matches

by Jwebster
Wed Aug 25, 2004 8:34 am
Forum: Testing and Simulation
Topic: Calling all Access and Excel experts!
Replies: 11
Views: 6731

Hi Mike,

CFA doesn't seem overly hard so far, just a lot to cover. As I'm aiming to do level II in June 2005, next 10 months or so are going to be pretty busy. Congratulations on the CAIA pass.
by Jwebster
Sun Aug 22, 2004 6:37 am
Forum: Testing and Simulation
Topic: Calling all Access and Excel experts!
Replies: 11
Views: 6731

Excellent ideas guys! I'm busy with CFA study at present, but I'll see if I can squeeze in a bit of VBA training. Mike, how's the CAIA going??
by Jwebster
Thu Aug 19, 2004 12:48 pm
Forum: Testing and Simulation
Topic: Calling all Access and Excel experts!
Replies: 11
Views: 6731

Thanks for your input guys.
by Jwebster
Thu Aug 19, 2004 10:14 am
Forum: Testing and Simulation
Topic: Calling all Access and Excel experts!
Replies: 11
Views: 6731

Calling all Access and Excel experts!

Hi all, I have a query on the use of Access and Excel for system testing. At present I have my system in excel and having 35 years of daily data and umpteen columns of calculations the spreadsheet runs to over 8000 rows and is over 60mb in size. And this is just for one market! This would be fine if...
by Jwebster
Mon May 10, 2004 8:59 am
Forum: Trend Indicators and Signals
Topic: Mode Switching
Replies: 6
Views: 5826

Roscoe, Go to this site http://www.ta-lib.org/ and download their add-in for excel. Within that you'll find a function that computes a trendmode or cyclemode (trending/ranging) by indicting 1 (trending) or 0 (ranging). The function is based on the hilbert transform/MESA equations used by John Ehlers...
by Jwebster
Wed Apr 14, 2004 8:44 am
Forum: Testing and Simulation
Topic: Bending the rules
Replies: 1
Views: 2696

Bending the rules

Here's an interesting one (I hope). My Hang Seng index trading system had me short most of March but gave me an exit signal yesterday given the rising market. As my system is end of day I would have exited at today's open. Ok, but here's where it gets tricky. Looking at the US market last night I sa...
by Jwebster
Fri Mar 05, 2004 8:11 am
Forum: Testing and Simulation
Topic: Length of Backtest
Replies: 2
Views: 4970

Darran, I think you make an interesting point. I thought about the same thing recently when testing 34 years of data on the hang seng index. Just by looking at the chart of this data and the volatility, clearly the market has changed significantly in the past 10-15 years. I have kind of adopted the ...
by Jwebster
Mon Feb 02, 2004 7:48 am
Forum: Testing and Simulation
Topic: Performance over historical time frames
Replies: 2
Views: 2945

While i don't know what type of system you are using I would attribute a lot of the difference to the massive increase in volatility. If you don't have system that maxmises this or screens it out then I imagine you are going to get chopped up more frequently as your timeframe approaches the present ...
by Jwebster
Sat Jan 31, 2004 10:50 am
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Thanks to all for your input. Like most of you I would like to trade a system that works over multiple markets, but I am yet to develop this. No problem, as it gives me something to work towards as I continue my research. Maybe I'm a little strange but I actually enjoy spending hours and hours stari...
by Jwebster
Fri Jan 30, 2004 12:56 pm
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Mark, Its a reasonably long term system, I sought to catch major moves and try and get the moving average to adapt (tighten) to capture some of the choppy bits in the market (or conversely not get killed as much by ranging markets, ha!). So, over the 34 years it makes little over 700 trades, or clos...
by Jwebster
Thu Jan 29, 2004 12:25 pm
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Update - for those who are interested

As some of you may know I have been playing around with a system that among other things uses cyclical measurements to create an adaptive moving average. I have been focusing my research on the Hang Seng and over ten years of data the system has been doing very well. I also tested individual years w...
by Jwebster
Tue Jan 13, 2004 4:37 am
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

John,

Thanks for your comments. I am designing the system to work with spreadbetting. Do you believe that your comments on spreads and MM behaviour for the Hang Seng would still hold? I kind of guess they would as there would be some flow through to the SB prices.
by Jwebster
Mon Jan 12, 2004 12:20 pm
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Thanks Verec. As you say 'If you were to understand how specific the Hang Seng index is, and how your rules are adapted to that specific behavior, then using it for real would be much less questionnable' I think that's it. I realize the Hang Seng has some does have some very specialised characterisi...
by Jwebster
Mon Jan 12, 2004 11:43 am
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Further question on system validity

Just wondering what people's thoughts are on the following scenario. I have developed a system similar to PGO except that it uses difference between close and an adapatve moving average, plus some other tweaks (measurement of cycle period etc). To date I have focused on the Hang Seng index and over ...
by Jwebster
Wed Dec 24, 2003 3:16 pm
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Thanks guys. I'm just going to paper trade it for a while and see if the reality matches up with the testing. Hopefull it works out well :shock:
by Jwebster
Tue Dec 23, 2003 10:40 am
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 12097

Validity of system

Hi all, I'm messing around with a system and have been using $5,000 as starting capital (it's a spreadbetting based system therefore lower capital). While the system works with some markets at this starting capital, if I up the capital to 15,000 or 25,000 it really rockets off. Looking at trades the...
by Jwebster
Wed Dec 03, 2003 4:14 am
Forum: Trend Indicators and Signals
Topic: MESA & related
Replies: 25
Views: 30091

Thanks John, Nice to know I'm not a complete hack. I'll keep toying with this and see if I can develop any rules that make it more useful. I was only looking at end of day data so that may have been a reason why the SNR never dropped below 6dB. Ehler's didn't specify a trading timeframe that was app...
by Jwebster
Tue Dec 02, 2003 11:32 am
Forum: Trend Indicators and Signals
Topic: MESA & related
Replies: 25
Views: 30091

Ed, Seeming as you know easy cose language I was wondering if you could clear some things up for me. Where this code say Range[1] for example, this means use the value of ‘range’ one day (or time period) earlier than the current value, yes? This formula apparently creates a signal to noise ratio...
by Jwebster
Tue Dec 02, 2003 8:37 am
Forum: Trend Indicators and Signals
Topic: MESA & related
Replies: 25
Views: 30091

John, Thanks for your input. Unfortunately I don't have tradestation (excel only!) so I don't think I'll be able to access the files. At present I'm trying to program the signal to noise ratio based on the easy code language in one of Ehler's word files. It appears as if he's saying don't trade unle...
by Jwebster
Tue Dec 02, 2003 4:40 am
Forum: Trend Indicators and Signals
Topic: MESA & related
Replies: 25
Views: 30091

Thanks, I'll check it out. I know exactly how you feel (felt). Given that you seem to have put the concepts to use how has it worked out for you? I'm building a system using just the adapative moving averages at this stage, and so far the results are pretty good.