Search found 51 matches

by Mark Johnson
Wed Jul 11, 2012 3:47 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34228

I just read and thoroughly enjoyed an article called The Facebook Fallacy in Technology Review magazine. The headline was For all its valuation, the social network is just another ad-supported site. It needs an earthshaking idea. They've put the article up on their website, you can read it (HERE) . ...
by Mark Johnson
Mon Aug 15, 2011 10:02 pm
Forum: Futures Markets
Topic: Aug 2011: Can't short these Stock Index Futures
Replies: 14
Views: 5661

email from broker
by Mark Johnson
Mon Jun 14, 2010 7:57 am
Forum: Testing and Simulation
Topic: Frontiers of Peak Sharpe Ratio: data visualization technique
Replies: 1
Views: 2908

Frontiers of Peak Sharpe Ratio: data visualization technique

I've found a way to plot the results of a stepped parameter simulation that I think is quite useful. In brief, it's a scatter plot, with (average trade duration) on the X axis, and (some measure of Goodness) on the Y axis. I've been using the Robust Sharpe Ratio as the measure of Goodness in my plot...
by Mark Johnson
Sat Dec 12, 2009 11:59 am
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12596

Re: Do Markets Change? Trend Following.

AFJ, it sounds like you want a trading system to remain profitable forever. Charles D. Robusti famously believed Once you develop a ROBUST mechanical trading system, then you should trade that system forever, unmodified, never making a single change. It sounds like you agree ... ? I don't. I think i...
by Mark Johnson
Wed Jul 08, 2009 9:05 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33271

I enjoyed Richard Bauer's book and its discussion of using fundamentals as filters for technical analysis (a/k/a "market timing") systems for trading stocks. He discusses his attempt to find good fundamental screens for trading the S&P 500 stock index, using 1984-1988 data for the "in sample" system...
by Mark Johnson
Mon Apr 20, 2009 9:49 am
Forum: Testing Software
Topic: George Pruitt really needs to get a copy of Trading Blox!
Replies: 4
Views: 5352

I'm not so sure it was a tremendously valuable system as published; it seemed to me to be more an illustrative example than production workhorse. There was no positionsizing; it traded a single contract, regardless of equity level. There was no portfolio; it traded a single market. It was a pure rev...
by Mark Johnson
Thu Apr 16, 2009 7:47 pm
Forum: Testing Software
Topic: George Pruitt really needs to get a copy of Trading Blox!
Replies: 4
Views: 5352

George Pruitt really needs to get a copy of Trading Blox!

George Pruitt is Director of Research at Futures Truth magazine ( http://www.futurestruth.com ). He wrote an article for issue #1-2009 of the magazine, entitled "The Prioritized Step Search", in which he bemoaned the fact that a full Stepped Parameter run of his system optimization in Tradestation "...
by Mark Johnson
Fri Jun 13, 2008 9:13 pm
Forum: Money Management
Topic: Piecewise % per trade based on equity
Replies: 2
Views: 3724

If you plot "A" versus account equity, you will see that it peaks at A = 2.0 when equity = 180K. Aggressiveness = A = 2.0. Think about that! It means you are betting double size at this particular value of equity. If you happen to go into a drawdown at a moment when you are trading with A=2.0, it wi...
by Mark Johnson
Mon Jun 02, 2008 1:38 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 15954

Hi Chuck, it's no mystery when you consider that this is one guy trading 5 systems on 100 markets each using daily bar data. When you write out the Occam's Razor list of likely explanations for Friday's non-fill, the one at the top of the list turns out to be the right answer. Same goes for Monday: ...
by Mark Johnson
Mon Jun 02, 2008 1:05 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 15954

Positive (profitable) slippage

Get that Taleb guy on the phone, STAT! I just had a +25 standard deviation event occur: Positive (that is, profitable to me) slippage of 416 ticks, per contract, in Crude Oil. $4160 extra profit, to me, per contract. Honest. On Friday one of my systems placed a stop order with my broker to sell Augu...
by Mark Johnson
Sat May 10, 2008 8:30 am
Forum: Testing and Simulation
Topic: How to make profit in stock market
Replies: 20
Views: 13363

Roger, it was 1997 (final digit is a seven). Right click the image, save it to your desktop, then right click it on your desktop and Open With -> Windows Picture and Fax Viewer. Use the Zoom Tool (magnifying glass icon) to enlarge the print at the bottom. You will see, One Nine Nine Seven. If you ke...
by Mark Johnson
Fri May 09, 2008 5:51 pm
Forum: Testing and Simulation
Topic: How to make profit in stock market
Replies: 20
Views: 13363

Re: How to make profit in stock market

... a trading system that makes profit on day trading. For a large part of the 1991 to 1994 period I worked for Bruce Babcock's Commodity Trader Consumer Report. During my time with Bruce he sold five trading systems he traded each day. The late Bruce Babcock sold at least one daytrading product, s...
by Mark Johnson
Wed Apr 30, 2008 8:39 am
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10916

I called my old pal Vardebedian and asked him to make me a list of global futures markets, sorted by how well they work with trend oriented mechanical trading systems. He sent back an Excel spreadsheet (attached) with 128 markets. For some reason he didn't include any markets listed on exchanges in ...
by Mark Johnson
Mon Apr 28, 2008 7:51 pm
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10916

Suppose you had historical data for ALL futures markets, all around the world, for the last 40 years. Suppose you had a Blox license and a huge fast computer to run it on. Suppose you had a huge team of Blox programmers working for you. What tests would you perform, what experiments would you run, t...
by Mark Johnson
Thu Apr 10, 2008 6:51 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 18688

There's no big problem here. Just make "taking money off the table after a huge run-up" a part of your fully mechanical system. Try modifying your system as follows: Calculate Bollinger Bands on the system's equity curve. When you are in a period of enormously-bigger-than-normal profitability (i.e. ...
by Mark Johnson
Fri Mar 28, 2008 6:48 am
Forum: Futures Markets
Topic: World's highest volume markets that you don't trade
Replies: 2
Views: 5891

World's highest volume markets that you don't trade

I just received the March/April 2008 issue of "Futures Industry" magazine and enjoyed an article by Galen Burghardt, "Global Futures and Options Trading Rises 28% in 2007" (link to article) . It included a table of the Top 50 Exchange-Tradede Derivatives Contracts Worldwide which I found quite helpf...
by Mark Johnson
Mon Oct 29, 2007 7:36 pm
Forum: Data Providers and other non testing software
Topic: CSI Data Corrections
Replies: 21
Views: 19109

CSI sent me an email saying the error in commodity number 623 mentioned in (this post) has been repaired. Sure enough, I downloaded data at 21:05 (USA Eastern Time) and the error is gone. CSI is located at 26 21'1.37"N, 80 5'23.40"W which is in the USA Eastern timezone. Google Earth placemark attach...
by Mark Johnson
Sat Oct 27, 2007 12:37 pm
Forum: Data Providers and other non testing software
Topic: CSI Data Corrections
Replies: 21
Views: 19109

Problem with Euro / Aussie Dollar cross rate futures @ FINEX

Whoops, another data problem in CSI Unfair Advantage. This time on the currency cross-rate futures at FINEX. CSI Commodity #623, Euro over Australian Dollar futures.

Looks like a digit problem. Found with Futures Data Investigator.
by Mark Johnson
Tue Jun 26, 2007 8:25 am
Forum: Testing and Simulation
Topic: Speed metric for Backtesting software: CPU clocks per bar
Replies: 3
Views: 3411

You have to be carefull with multiple core systems. You can't assume that all cores are actively processing data for the tests. Absolutely true (at today's state of the software art, anyway). That's why I made the intentional choice to leave the number of CPU cores out of the speed metric calculati...
by Mark Johnson
Sat Jun 23, 2007 9:31 am
Forum: Testing and Simulation
Topic: Speed metric for Backtesting software: CPU clocks per bar
Replies: 3
Views: 3411

Speed metric for Backtesting software: CPU clocks per bar

I would like to suggest a way to compare the speed of different backtesting programs. (How much faster is Blox than System Writer Plus? and so forth). My approach attempts to factor out the raw hardware speed of the computers used to run the tests, so you can run the different backtester programs on...