Search found 22 matches
- Thu Dec 01, 2011 8:48 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 24511
- Thu Dec 01, 2011 1:49 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 24511
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...
- Thu Oct 07, 2010 7:14 pm
- Forum: Testing and Simulation
- Topic: Moving Median: a better indicator than Moving Average?
- Replies: 4
- Views: 7537
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...
- Sun Sep 12, 2010 9:16 pm
- Forum: Money Management
- Topic: Ralph Vinces new Leverage Space Model?
- Replies: 6
- Views: 7195
- 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: 3644
- Tue Sep 30, 2008 6:28 am
- Forum: Money Management
- Topic: CPA FIRMS
- Replies: 5
- Views: 6051
Hello Babyturtle
here are two investment advisers ranking CTAs:
http://www.autumngold.com
http://www.altegris.com
Raphael
here are two investment advisers ranking CTAs:
http://www.autumngold.com
http://www.altegris.com
Raphael
- 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: 3793
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€
- Tue Mar 11, 2008 4:53 pm
- Forum: Futures Markets
- Topic: Tick Size Change!!!
- Replies: 2
- Views: 4179
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:...
- Mon Feb 04, 2008 12:29 pm
- Forum: Futures Markets
- Topic: LCC....
- Replies: 5
- Views: 6256
- Sun Sep 16, 2007 12:23 pm
- Forum: Testing and Simulation
- Topic: Trading using Random Entries (Van Tharp book method)
- Replies: 20
- Views: 50752
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 ...
- Sat Sep 01, 2007 9:11 am
- Forum: Testing and Simulation
- Topic: Leverage for Spreadbetting
- Replies: 17
- Views: 10595
- Fri Aug 31, 2007 1:15 pm
- Forum: Testing and Simulation
- Topic: Optimizing correlation limits
- Replies: 2
- Views: 3492
- Fri Aug 31, 2007 9:56 am
- Forum: Money Management
- Topic: How the different kind of Risks relate to each other
- Replies: 0
- Views: 4586
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...
- Fri Aug 31, 2007 9:15 am
- Forum: Testing and Simulation
- Topic: Optimizing correlation limits
- Replies: 2
- Views: 3492
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€
- Tue Aug 28, 2007 1:56 pm
- Forum: Testing and Simulation
- Topic: Leverage for Spreadbetting
- Replies: 17
- Views: 10595
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...
- Sat Aug 25, 2007 12:56 pm
- Forum: Testing and Simulation
- Topic: Leverage for Spreadbetting
- Replies: 17
- Views: 10595
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...
- Wed Aug 22, 2007 3:30 pm
- Forum: Money Management
- Topic: Pooling our research and money
- Replies: 8
- Views: 11595
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...
- Wed Aug 22, 2007 12:16 pm
- Forum: Testing and Simulation
- Topic: Leverage for Spreadbetting
- Replies: 17
- Views: 10595
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...
- Tue Aug 14, 2007 9:01 am
- Forum: Brokers
- Topic: Wisdom Financial
- Replies: 11
- Views: 20471
- Fri Aug 10, 2007 11:50 am
- Forum: Brokers
- Topic: Wisdom Financial
- Replies: 11
- Views: 20471
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...