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.
Search found 28 matches
- Wed Aug 25, 2004 8:34 am
- Forum: Testing and Simulation
- Topic: Calling all Access and Excel experts!
- Replies: 11
- Views: 9044
- Sun Aug 22, 2004 6:37 am
- Forum: Testing and Simulation
- Topic: Calling all Access and Excel experts!
- Replies: 11
- Views: 9044
- Thu Aug 19, 2004 12:48 pm
- Forum: Testing and Simulation
- Topic: Calling all Access and Excel experts!
- Replies: 11
- Views: 9044
- Thu Aug 19, 2004 10:14 am
- Forum: Testing and Simulation
- Topic: Calling all Access and Excel experts!
- Replies: 11
- Views: 9044
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...
- Mon May 10, 2004 8:59 am
- Forum: Trend Indicators and Signals
- Topic: Mode Switching
- Replies: 6
- Views: 7427
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...
- Wed Apr 14, 2004 8:44 am
- Forum: Testing and Simulation
- Topic: Bending the rules
- Replies: 1
- Views: 3403
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...
- Fri Mar 05, 2004 8:11 am
- Forum: Testing and Simulation
- Topic: Length of Backtest
- Replies: 2
- Views: 5776
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 ...
- Mon Feb 02, 2004 7:48 am
- Forum: Testing and Simulation
- Topic: Performance over historical time frames
- Replies: 2
- Views: 3734
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 ...
- Sat Jan 31, 2004 10:50 am
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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...
- Fri Jan 30, 2004 12:56 pm
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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...
- Thu Jan 29, 2004 12:25 pm
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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...
- Tue Jan 13, 2004 4:37 am
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
- Mon Jan 12, 2004 12:20 pm
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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...
- Mon Jan 12, 2004 11:43 am
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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 ...
- Wed Dec 24, 2003 3:16 pm
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
- Tue Dec 23, 2003 10:40 am
- Forum: Testing and Simulation
- Topic: Validity of system
- Replies: 19
- Views: 15908
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...
- Wed Dec 03, 2003 4:14 am
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860
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...
- Tue Dec 02, 2003 11:32 am
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860
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...
- Tue Dec 02, 2003 8:37 am
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860
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...
- Tue Dec 02, 2003 4:40 am
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860