Search found 16 matches

by droskill
Sat Jan 03, 2009 5:20 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9497

I wonder if the "FUNDX with a filter" system could be benchmarked against a "fixed allocation system with a filter" such as Mebane Faber's 10 month MA system. Is it the ranking of the ETFs, or the filter that is bringing the most value? In my opinion it is the ranking because it pulls out the outpe...
by droskill
Sat Dec 06, 2008 7:38 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9497

Here's the raw returns for my system without the filter.

Image

Obviously the returns are reduced by the filter.[/img]
by droskill
Sat Dec 06, 2008 7:26 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9497

I run a similar system in a different program, mainly because I couldn't figure out how to put together something like that in TB. I use much less funds than you do - the returns are better as you might expect but the drawdowns are larger as well. Like you, I put a filter on it that determines wheth...
by droskill
Sat Dec 06, 2008 7:22 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9497

Have you tried the system with other money management schemes?
by droskill
Sat Dec 06, 2008 4:13 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9497

Is this system available anywhere for download for Blox? And any update on the performance? I've got a similar system that had a massive drawdown since December.
by droskill
Mon Nov 17, 2008 1:42 pm
Forum: Testing Software
Topic: Creating a custom Breadth indicator and equity curve trading
Replies: 4
Views: 3935

Ah got you - yeah I understand. This is a super common problem that I'm surprised that software developers don't create a solution - having a portfolio defined over time where the constituents change. Take the S&P 500 - the stocks in the index have changed over time, but no software allows you to ha...
by droskill
Mon Nov 17, 2008 12:51 pm
Forum: Testing Software
Topic: Creating a custom Breadth indicator and equity curve trading
Replies: 4
Views: 3935

Thanks for the quick reply - one follow-up question. In your reply, in saying "which instruments are trading" - are you implying that I would create a system that, say, buys when an instrument is above the 200d MA? My way of thinking about this is that it is a scan - you look at, say, the S&P500 and...
by droskill
Mon Nov 17, 2008 10:03 am
Forum: Testing Software
Topic: Creating a custom Breadth indicator and equity curve trading
Replies: 4
Views: 3935

Creating a custom Breadth indicator and equity curve trading

Hey all, Two new questions on Blox: 1. Was wondering if Trading Blox can support the creation of an instrument based on other instruments. So, say I want to create % of stocks above or below a 200d moving average. Can I create an instrument such as this? 2. Equity curve trading: simple question - ca...
by droskill
Sat Dec 29, 2007 9:42 am
Forum: Testing Software
Topic: Ranking systems
Replies: 9
Views: 7598

I have not tried to program this in any system - so I can't refer to code here, but let me try to be more specific: Startup: - Rank all instruments by some ranking system - could be 6m performance or RSI or anything else. - On the first day the system is run (in terms of backtest), buy the top N ins...
by droskill
Fri Dec 28, 2007 4:33 pm
Forum: Testing Software
Topic: Ranking systems
Replies: 9
Views: 7598

So I downloaded the trial - I'm working on with it on the ranking stuff. Here's something that I don't quite get: I want the system to buy the top 5 of a portfolio - so no entry/exit rules - but if I don't use an entry/exit rule, I don't get any trades. Is there a simple way to accomplish this? Than...
by droskill
Thu Dec 27, 2007 1:20 pm
Forum: Testing Software
Topic: Ranking systems
Replies: 9
Views: 7598

Final question for today: do you suport Jurik indicators? (www.jurikres.com)
by droskill
Thu Dec 27, 2007 12:26 pm
Forum: Testing Software
Topic: Ranking systems
Replies: 9
Views: 7598

thanks for the response - I reviewed the docs and see the feature/function. Unrelated question: Is it possible to calculate a dataset or indicator across a group/portfolio of instruments. A classic example would be to calculate the number of stocks in an index above/below a 50-day moving average. He...
by droskill
Wed Dec 26, 2007 2:29 pm
Forum: Testing Software
Topic: Ranking systems
Replies: 9
Views: 7598

Ranking systems

Hey all -- I've been looking for a piece of software that can combine some technical/indicator trading with the idea of ranking based on some criteria. I was chatting with someone on Nuclear Phynance and they suggested I ask here - so here's the question: Say I want to buy stocks that are in the top...
by droskill
Sat Jan 06, 2007 4:46 pm
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27855

Came across this post and it's something I've been thinking a lot about. I also came across a company called Trading System Lab - they are founded by Mike Barna and focused on the area of Genetic Programming. Now, despite what the demos show you, their software is not for sale - but I'm also not tha...
by droskill
Fri Nov 24, 2006 8:22 am
Forum: Money Management
Topic: Pre-emptive money management
Replies: 9
Views: 9998

My question is how you would measure these high vol events going forward. So, sometimes the fed speaks, and nothing happens, but sometimes the fed, or the CPI or some other economic event causes a huge vol move. Also, aren't there so many of these events that it becomes very difficult to employ a l...
by droskill
Thu Nov 23, 2006 1:02 pm
Forum: Money Management
Topic: Pre-emptive money management
Replies: 9
Views: 9998

My question is how you would measure these high vol events going forward. So, sometimes the fed speaks, and nothing happens, but sometimes the fed, or the CPI or some other economic event causes a huge vol move. Also, aren't there so many of these events that it becomes very difficult to employ a lo...