Search found 22 matches

by White Cube
Thu Dec 01, 2011 8:48 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 16482

Here are the limited results of comparing S&P 500 future historical vs calculated margin from 1987 to 2009 thanks to the historical data provided here: http://www.tradingblox.com/forum/viewtopic.php?t=6692&highlight=historical+margin+data You will find the blox I used for margin estimates in the Blo...
by White Cube
Thu Dec 01, 2011 1:49 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 16482

Impossible to do in back - testing for reason so often discussed here re the difficulties of obtaining meaningful historical margin figures If we cannot get meaningful historical figures maybe we could calculate them? We could calculate margin with the algorithm used by standardized portfolio analy...
by White Cube
Thu Oct 07, 2010 7:14 pm
Forum: Testing and Simulation
Topic: Moving Median: a better indicator than Moving Average?
Replies: 4
Views: 4982

Moving Median: a better indicator than Moving Average?

Jez Liberty on his blog explains the use of Moving Median instead of Moving Average: [quote]“While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the latt...
by White Cube
Sun Sep 12, 2010 9:16 pm
Forum: Money Management
Topic: Ralph Vinces new Leverage Space Model?
Replies: 6
Views: 5371

Hi Roscoe
Did you manage to implement Vince leverage space model ?
by White Cube
Wed Aug 19, 2009 12:53 pm
Forum: Data Providers and other non testing software
Topic: CSI DR7 GBP/HKD wrong decimal
Replies: 3
Views: 2539

When I run a simulation on CSI Fx data I keep getting the message “The low price his greater than the high price for symbol AUDJPY on date 19990518â€
by White Cube
Tue Sep 30, 2008 6:28 am
Forum: Money Management
Topic: CPA FIRMS
Replies: 5
Views: 4235

Hello Babyturtle

here are two investment advisers ranking CTAs:

http://www.autumngold.com

http://www.altegris.com

Raphael
by White Cube
Fri Mar 21, 2008 5:15 am
Forum: Data Providers and other non testing software
Topic: Problem with CSI Unfair Advantage daily update
Replies: 1
Views: 2967

Problem with CSI Unfair Advantage daily update

Until recently I have always used the FORTRAN algorithm with CSI back-adjuster with no problem. When the tick size in US & FV changed I could not do my daily update because the all procedure failed with a message “out of memoryâ€
by White Cube
Tue Mar 11, 2008 4:53 pm
Forum: Futures Markets
Topic: Tick Size Change!!!
Replies: 2
Views: 3258

Indeed CSI released that message: 30 Year T-Bonds (CSI#44 and CSI#144) are changing tick size from one 32nd to ½ of one 32nd 5 Year T-Notes (CSI#251 and CSI#293) are changing tick size from ½ of one 32nd to ¼ of one 32nd In trading blox future dictionary my tick size for FV and US up to now were:...
by White Cube
Mon Feb 04, 2008 12:29 pm
Forum: Futures Markets
Topic: LCC....
Replies: 5
Views: 4633

Hi Zach, My CSI data do not show that spike. 20080130,1156.0,1179.0,1156.0,1175.0,19889,240481,200803,1175.0 20080131,1182.0,1198.0, 1182.0 ,1197.0,24391,242449,200803,1197.0 20080201,1194.0,1208.0,1185.0,1205.0,14377,242449,200803,1205.0 Was it bad data that has been corrected afterwards ? Raphael
by White Cube
Sun Sep 16, 2007 12:23 pm
Forum: Testing and Simulation
Topic: Trading using Random Entries (Van Tharp book method)
Replies: 20
Views: 41077

As Anthony suggested I run 100 tests of the random entries-trailing stops at 10 ATR from 1982 until September 2007 on a portfolio of 69 futures with $100 for commission and slippage and the system made money 100% of the time as you can see in the following figure. Sluggo explained that markets have ...
by White Cube
Sat Sep 01, 2007 9:11 am
Forum: Testing and Simulation
Topic: Leverage for Spreadbetting
Replies: 17
Views: 6759

turtle40

Thanks for the spreadsheet and for sharing your experience with spread betting. It appears indeed to be a very interesting approach for smaller accounts.

Raphael
by White Cube
Fri Aug 31, 2007 1:15 pm
Forum: Testing and Simulation
Topic: Optimizing correlation limits
Replies: 2
Views: 2634

Sluggo,

Thanks for the links and your help. Your wise answer is indeed very helpful in pointing me in the right direction.

What I want to achieve indeed is testing a LTTFS with a “smallâ€
by White Cube
Fri Aug 31, 2007 9:56 am
Forum: Money Management
Topic: How the different kind of Risks relate to each other
Replies: 0
Views: 3926

How the different kind of Risks relate to each other

I had some difficulties to grasp the different approaches of Risk used in Trading and especially how they relate to each other. I thought putting this in excel could help. You will find attached a spreadsheet that can help to understand how the different kinds of risk (Open Risk, Closed Risk….) fl...
by White Cube
Fri Aug 31, 2007 9:15 am
Forum: Testing and Simulation
Topic: Optimizing correlation limits
Replies: 2
Views: 2634

Optimizing correlation limits

Classically to find robust parameters values during an optimization test, CAGR or MAR is used as the goodness measure. The goal of the test being to find the parameters values giving “highâ€
by White Cube
Tue Aug 28, 2007 1:56 pm
Forum: Testing and Simulation
Topic: Leverage for Spreadbetting
Replies: 17
Views: 6759

Turtle40 Thanks for the links. I find indeed Spread betting a good way to start with a smaller account or to paper trade. I have opened a demo account to see how this all works. Doing a bit of simulation with the excel bet size worksheet it appears that if we want to bet the minimum of £ 1 per poin...
by White Cube
Sat Aug 25, 2007 12:56 pm
Forum: Testing and Simulation
Topic: Leverage for Spreadbetting
Replies: 17
Views: 6759

Turtle40, I have been thinking of how you calculate the amount you can bet on each spread betting trade and have worked on an excel spreadsheet like yours. You will find my worksheet attached to this email. I have in fact considered a future account with a starting equity of $100,000.00 and a spread...
by White Cube
Wed Aug 22, 2007 3:30 pm
Forum: Money Management
Topic: Pooling our research and money
Replies: 8
Views: 9422

Pooling our research and money

Starting equity seems a limiting factor in a Very Long Term Trend Following system. It has been suggested to go and look for CTA that offer big portfolio for relatively small accounts. But why not pooling our research and starting equity? Let’s say for example that 10 forum members join and pool e...
by White Cube
Wed Aug 22, 2007 12:16 pm
Forum: Testing and Simulation
Topic: Leverage for Spreadbetting
Replies: 17
Views: 6759

Hi Turtle40 It looks like Spread betting can be a better approach than paper trading before trading a real future account as the starting equity required for SB is much lower. But how do you test a Spread betting Strategy in Trading Blox®? Do you run simulations using the futures setting (as if you...
by White Cube
Tue Aug 14, 2007 9:01 am
Forum: Brokers
Topic: Wisdom Financial
Replies: 11
Views: 15605

Thanks to Zach, Leapfrog and Zoomy.

I will contact Zach for more information


Raphael
by White Cube
Fri Aug 10, 2007 11:50 am
Forum: Brokers
Topic: Wisdom Financial
Replies: 11
Views: 15605

Hi Zach, I am not ready yet to completely autotrade a system. For now I am more thinking of developing a strategy and generate the signals on my computer and then pass the orders to my broker. I understand I could enter my order into your electronic platform. As I live in Europe can I enter the orde...