Search found 15 matches

by choppystride
Mon Feb 07, 2005 4:11 am
Forum: Testing and Simulation
Topic: Downloading data, keeping format.
Replies: 4
Views: 3397

by choppystride
Thu Oct 28, 2004 2:11 pm
Forum: Testing and Simulation
Topic: Major differences between Intraday and Daily backtests
Replies: 1
Views: 2505

I'm a novice myself but here are some suggestions that I can think of: As Hiramhon suggested, doing a trade by trade comparison is a good idea. But before you do it, I wonder how do you size you orders? If you're not sizing each trade with a fixed dollar amount, you may want to do so just for the sa...
by choppystride
Wed Oct 27, 2004 8:03 am
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 13753

For those who work with bar data, how do you calculate the excursion on the bar where your trade is closed with the exit price between the high and the low (and not executed at open or at close)? In this case you have no way of knowing if your trade has reached the extremes of the bar before its exi...
by choppystride
Thu Oct 14, 2004 4:15 pm
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 11426

........ The risk adjusted returns are lower for entering mid-stream from my testing. ........... Rich Dennis very strongly argued for the opposite of my advice above during the first Turtle class. If you are shooting for absolute returns he's right, if you care about risk-adjusted returns do some ...
by choppystride
Fri Sep 03, 2004 8:35 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36057

VeriTrader has an internal concept called a unit, that is intended for this sort of thing. A unit is a portion of a larger position. In your case, you would have three units for your position. In addition, you can partially exit a unit. Thanks for the explanation. That does seem a sensible way to p...
by choppystride
Wed Sep 01, 2004 10:15 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36057

...One more thing...can Veritrader handle this kind of scaling (described in the previous message)?

If it can, perhaps I should just buy it and save my efforts...
by choppystride
Wed Sep 01, 2004 8:42 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36057

I'm in the process of coding my systems and I want to able to test various pyraminding/scaling rules. I'm a bit stumped when it comes to the idea of using asymmetric entry/exit sizing. For example, let's say I want to go long a stock. I allocate $10000 for my full position. I want to scale in at chu...
by choppystride
Wed Sep 01, 2004 11:21 am
Forum: Stocks
Topic: Shorting Stocks
Replies: 6
Views: 8338

Does the given Nasdaq 100 list properly account for membership changes? Also, I think the Nasdaq is too tech heavy. Would be nice to see the results on SP 500, Russell 1000, or (even better) Russell 3000. But then, of course, the results might be skewed if membership changes are not handled properly...
by choppystride
Mon Aug 23, 2004 9:42 am
Forum: Testing and Simulation
Topic: Calling all Access and Excel experts!
Replies: 11
Views: 6462

Should you decide to step outside of Excel/VBA, you may want to check out Python. The language is simple, elegant, very easy to learn, and yet very powerful. Features-wise it compares favourably with C++ but it's much easier to learn. Frankly, it's probably more than you need to write a test harness...
by choppystride
Mon Aug 23, 2004 5:16 am
Forum: Trader Psychology
Topic: reading fine book in trading psychology by Brett Steenbarger
Replies: 3
Views: 6314

He also has a good website: http://www.brettsteenbarger.com/articles.htm

The site is nonpromotional (except for a link to buy his book) and has some nice thoughtful articles.
by choppystride
Mon Aug 25, 2003 2:24 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6755

Jason, Just a quick note to confirm that your original post regarding CSI is correct: their UA service does contain the inactive stocks. I have not tried it personally but after a series of emails, they've pretty much confirmed it. When I asked them about obtaining the last 20 years of stock data, t...
by choppystride
Fri Aug 15, 2003 8:35 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6755

Jason, Unfortunately, it seems that the 20 years of history may cost a lot more than $240. The $240 rate you talked about is for the daily download service, which doesn't seem to include all the inactive stocks. I think you may need to separately purchase a data CD from CSI to get the complete histo...
by choppystride
Fri Aug 15, 2003 2:00 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6755

Hi Jason, Thanks for the heads-up! Actually, I'm more interested in intraday data. However, if CSI sells 20 years of EOD for $240, it does seem to be an interesting offer. I sent them an enquiry via email. One of the responses I got was that their data history is complete and without any missing dat...
by choppystride
Thu Aug 14, 2003 4:21 pm
Forum: Testing and Simulation
Topic: How to select a portfolio of stocks for testing and trading?
Replies: 9
Views: 6755

How to select a portfolio of stocks for testing and trading?

I've been lurking around this forum for the last little while and I can see that some of you are stock traders. I have the following newbie questions: How do you select your portfolio of stocks for your system? Do you: 1) Simply use the constituents of some well known indices such as S&P or Russell?...
by choppystride
Thu Jul 24, 2003 8:03 pm
Forum: Testing and Simulation
Topic: S&P 500
Replies: 14
Views: 9260

You can get some intraday historical SPX here: http://www.medianline.com/data.html http://www.traders2traders.com Some of the data sets are in XPO or OMZ format. If you need to convert them into ASCII, try these tools; http://www.hypertrader.biz/htools/HyperTools%20for%20Omz.msi http://www.hypertrad...