Search found 7 matches

by cyphrograph
Mon Dec 27, 2004 12:33 pm
Forum: Testing and Simulation
Topic: How Do YOU Simulate?
Replies: 7
Views: 5295

It would be interesting to compare speed and reliability of the most popular backtesting engines. WLD, VT, TS, etc. users could you run a simple test on your machines? Let's optimize EMA cross system EMA fast length 300 to 490, step 10 EMA slow length 1500 to 1980, step 20 on 1-minute EURUSD bars st...
by cyphrograph
Fri Apr 02, 2004 8:34 am
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 5773

Good points, TK.
I'd also like to have a feature which calculates slippage based on
-position size
-position size in relation to volume
Constant slippage is not realistic.
by cyphrograph
Wed Jan 21, 2004 5:45 am
Forum: Testing and Simulation
Topic: Stationarity
Replies: 9
Views: 9328

The system trades on 15 min bars. Again, commissions and slippage are not included. Look at the attached equity curve. The system made little profit for the first 4 years, to 13 Nov 1997. From that date - stable returns. There was 1216 trades for the whole 10 year period. Since 13 Nov '97 to 17 Oct ...
by cyphrograph
Wed Jan 21, 2004 4:47 am
Forum: Testing and Simulation
Topic: Stationarity
Replies: 9
Views: 9328

Stationarity is one of the most important issues in trading, IMO. You mention roulette as a perfect generator of stationary process. This is a good example. If there're 50/50 chance that current event will be continued - you can't apply any succesful trading or gambling system even if the process IS...
by cyphrograph
Fri Jan 16, 2004 2:17 pm
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 23765

Ami Pro? What is it?
by cyphrograph
Sun Jan 11, 2004 4:10 pm
Forum: Testing and Simulation
Topic: Optimizing with Veritrader? 19billion!
Replies: 9
Views: 4522

So the reason to use many years of data is not so much to get a certain number of trades , but because we want to have the best chance that our tests include a sufficient variety of market conditions that they are representative of what is likely to occur in the future . Precisely. This is exactly ...
by cyphrograph
Thu Jan 08, 2004 3:35 am
Forum: Custom C++ or Java Platforms
Topic: C-TRADER Toolkit, N-TRAIN?
Replies: 5
Views: 10458

C-TRADER Toolkit, N-TRAIN?

Did anyone tried these software packages offered by J. Katz and D. McCormick, authors of the book "The Encyclopedia of Trading Strategies (McGraw-Hill, 2000) ? Please share your experiences... Are they easy to use for someone without programing skills?
Thanks