Search found 41 matches

by rgd
Wed Jan 30, 2013 5:40 pm
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 6161

keep in mind that the spreads and liquidity one sees on the screen is often not indicative of the true liquidity in a lot of these ETPs. A rule of thumb: if the underlying is liquid, the authorized participant or market makers will usually make a decent market for you. This is assuming you are tradi...
by rgd
Tue Jan 17, 2012 9:39 pm
Forum: Data Providers and other non testing software
Topic: erroneous prices 1/17/11
Replies: 2
Views: 2929

erroneous prices 1/17/11

Anyone else notice erroneous prices on tonight's download? Have noticed issues with CL, HG, SP, ND, TU, TY
by rgd
Thu Oct 27, 2011 11:24 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 74384

To me, the most important part of backtesting is understanding when you are fooling yourself. To the degree you are certain you have found the holy grail, and are about to embark on a career that will make Winton look bad, remember... pride goeth before the fall! To the degree you live in constant f...
by rgd
Sun Oct 09, 2011 8:22 am
Forum: Testing and Simulation
Topic: Market filter
Replies: 10
Views: 3841

before test script:

SPY.loadsymbol("SPY")

where SPY is a instrument based BPV

entry orders script:

if SPY.close > SPY.SMA200 then...
by rgd
Thu Oct 06, 2011 3:22 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 6445

michaelt - IASG or Autumngold might be a good place to start I would venture to guess that Winton is doing things that are light years beyond simple DMA systems. I know I would be if I had 100 quants in lab coats in my research dept. I read a presentation by Winton that had a profound impact on me, ...
by rgd
Thu Oct 06, 2011 3:11 pm
Forum: Money Management
Topic: What happens when your porfolio correlates to 1?
Replies: 4
Views: 4185

I have pondered this issue at length. I limit total risk. Yes it does put a cap on upside to a certain extent. But, backtesting will always lead you to take too much risk. If you do not employ a logical override, like limiting total risk or portfolio level volatility, then nothing will separate you ...
by rgd
Mon Sep 26, 2011 1:40 pm
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 16008

I should state that my research only looked at 50-60 data points, and evaulated the results on a rolling 1 year basis. This obviously overlooks those times that the theoretical launch immediately went into drawdown, yet managed to maintain the positions and was better off after 12 months. Sluggo mak...
by rgd
Mon Sep 26, 2011 12:40 pm
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 16008

I did a bit of research on this and found that putting on all the existing positions on the launch date vs. taking only new positions outperformed more than 70% of the time.
by rgd
Tue Sep 13, 2011 8:48 pm
Forum: Testing and Simulation
Topic: Blox for testing entry based on percentage move?
Replies: 5
Views: 2469

lookback = instrument.currentbar

percent change = (instrument.close/instrument.close[lookback]) - 1
by rgd
Fri Sep 09, 2011 10:59 am
Forum: Testing and Simulation
Topic: How do You De-leverage
Replies: 7
Views: 4101

I find that measuring total portfolio risk (risk to exit on all open positions), and reducing all positions by a given amount when the total risk number crosses a given threshold, works pretty well.
by rgd
Tue Aug 30, 2011 11:19 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5877

My belief is that investors of systematic managers and not buying into the models themselves, but the model building skills of the manager. If the manager is unable to tell the difference between sitting atop a mound of robustness vs. a pinnacle of optimization, then the investors are in for great d...
by rgd
Thu Jun 16, 2011 7:01 pm
Forum: Testing and Simulation
Topic: Data from Excel to TB
Replies: 7
Views: 3376

if it has dates, and a price series, be sure to copy the price series into 4 columns representing open,high,low,close and save it as a .csv file in the appropriate folder.
by rgd
Mon Jun 13, 2011 5:58 pm
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4811

I much prefer rolling in a backwardated market. Theoretically, you get paid for being long. Absent that, there seems to be a certain security in following the system, no over-analyzing, no second-guessing. Over time you realize that the "wisdom" of the system prevails more often than not. If you rea...
by rgd
Fri May 27, 2011 11:11 am
Forum: Money Management
Topic: Number of Trades Decrease as Risk Per Trade (%) Increases?
Replies: 9
Views: 6249

Not to be smart, but it is similar to the laws of physics by which we are all bound. To generate returns you have to assume risk, risk = volatility, volatility = drawdown. There seems to be a limit to how much return one can extract from markets in relation to the volatility one must endure. At time...
by rgd
Tue May 24, 2011 7:48 am
Forum: Testing and Simulation
Topic: Has anyone tried using Fractal properties for testing?
Replies: 5
Views: 2581

I too have found the same thing. While I read and enjoyed Mandelbrot's book, I find that academics try to force everything into neat, tidy, cleary defined categories. I always say that markets are more about the vagaries of mass psychology, than the discipline of any hard science. Fortunately, at a ...
by rgd
Fri May 13, 2011 9:56 am
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 4057

Good points. Everyone decides for themselves what is worthwhile and what is not. For me, knowing what is possible is a great motivator in my research. For example, quite a few managers post daily equity numbers. If I find my daily numbers are correlated to theirs, then, abruptly, they diverge, mine ...
by rgd
Thu May 12, 2011 4:23 pm
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 4057

Hi Chuck,

From my perspective, any exercise which can generate research ideas is not "a total waste of time".
by rgd
Wed May 11, 2011 4:26 pm
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 4057

From a practical perspective, I have gotten good ideas from looking at the equity curves and/or trades of other managers. While it may be impossible to exactly reverse engineer the system, it is possible to obtain useful information from such an exercise. At the very least you might come to the conc...
by rgd
Sun May 01, 2011 9:35 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 14288

I too use mutual funds as proxies for various ETFs. However, I have found the sector data from the French/Fama link you provide to become more and more unreliable the further back in time one goes (prior to mid 1980s). When compared with data from comparable S&P Groups, it sporadically outperforms i...
by rgd
Sat Apr 23, 2011 1:23 pm
Forum: Money Management
Topic: Equity Adjustment?
Replies: 5
Views: 3520

Yes, taking long positions in rates and bonds up here has not been fun as of late, but neither have most of the shorts either. Your mentor is probably correct. For me personally, I imagine a continuum of possible outcomes in every market, of which one is an environment in which rates and bonds exper...