Search found 5 matches

by PruBear
Sat Feb 12, 2005 12:01 am
Forum: Trend Indicators and Signals
Topic: Richard Donchian 5MA - 20MA question
Replies: 9
Views: 24301

I'm also interested learning more about Donchian's theorys. I remember reading somewhere a quote from Daniel Dunn where he said Dunn Capital had run a bunch of tests on Donchians weekly rules and they had yielded interesting results. I seem to remember seeing some other references to them over the y...
by PruBear
Fri Jan 07, 2005 6:41 am
Forum: Testing and Simulation
Topic: Continuous Contracts for futures
Replies: 4
Views: 5584

How did this work out? I am interested in programs that can back-adjust raw data. I recently purchased a bunch of raw historical data that is not back adjusted (and therefore of little value for testing). Does anybody know of a program (the above mentioned or another) that can reliably back adjust r...
by PruBear
Sun Dec 19, 2004 4:12 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100533

Thanks to all for responding, I'm not trying to harp on this point but there is something still bothering me: Looking through the data on http://www.iasg.com there really is no CTA with a 20+ year record that supports a MAR ratio >2. All of the big boys (Campbell, Dunn, JWH, Eckhardt, etc.) have max...
by PruBear
Fri Dec 17, 2004 6:07 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100533

- Drawdowns < 40% - MAR Ratio > 2.0 - Returns > 50% for futures, 30% unleveraged stocks Re: this standard of system performance, I have two questions: 1) Is this for a single system or a portfolio of systems designed to work together? Using VT to test, I have had a hard time getting my MAR ratio ne...
by PruBear
Sat Nov 20, 2004 6:11 am
Forum: Testing and Simulation
Topic: reuters datalink
Replies: 3
Views: 4850

Reuters EOD data is crappola imho. It only rolls on expiration. There's no way that I know of around this with continuous contracts b/c there is no data for the next contract until exp so you can't write a script to manually roll it on OI or some other trigger. If you want to invest some time, I thi...