Search found 13 matches

by Jens Albrecht
Mon Mar 28, 2011 11:01 am
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 7635

This did for me: 1. Using rather simple but robust Donchian system instead fancy many-parameter systems. 2. Reduce portfolio to atm 16 markets. I use the systematic method I once have showed here: http://www.tradingblox.com/forum/viewtopic.php?t=4185&highlight= But note there is a flaw in the method...
by Jens Albrecht
Wed Jan 27, 2010 12:17 am
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14075

Sorry, short answer. Not much time. Matti: I simply haven't found a short term system which was profitable with $120 cost per contract and that was consistent (or say robust) over a long time. If you have tell me :D Jez, Excel was better and easier for this. I personally wouldn't have the confidence...
by Jens Albrecht
Sun Jan 24, 2010 6:05 am
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14075

Jens You mention your operate using a 6 ATR stop may I ask how much you risk per trade in terms of percentage of your account? If I adjust the stops on my simulation to 6 ATR I go from a simulated 29% CAGR to 10% and TE DD of from 22% down to 15%! Using data from 1996 to today. Regards Medius What ...
by Jens Albrecht
Thu Jan 21, 2010 12:30 pm
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14075

Matti, >>> With (very) long term systems you have the advantage that now TB's order generation calculates the distance to the stops. I ignore all markets where the distance proposes that the stop won't be hit. That saves much work'. <<< Sluggo explained completively what I wanted to say with the abo...
by Jens Albrecht
Fri Jan 15, 2010 5:49 pm
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14075

I am spreadbetting in the UK quite successful. The key is to use wiiide stops. IMHO don't try to trade systems with 0.5 ATR stop or the like with spreadbetting. I use 6 ATR and this works fine. The drawback is that you have to go really long term. These systems don't tend to depend on the wider spre...
by Jens Albrecht
Tue Apr 08, 2008 12:38 pm
Forum: Money Management
Topic: Pooling our research and money
Replies: 8
Views: 9114

Just a suggestion: Run the VLTTF system at Finspread or any other Spreadbetter you like. I've had no problems doing this for nearly a year now.

Only difficulty I can think of is the exclusion of US citizens I heard of.
by Jens Albrecht
Thu Aug 02, 2007 10:37 am
Forum: Data Providers and other non testing software
Topic: Change of BigPointValue in CSI:EBM datafeed
Replies: 1
Views: 2816

Change of BigPointValue in CSI:EBM datafeed

The CSI datafeed for EBM changed on 6th June. The decimal point shifted one right (see below). How can I cope with this in TB ? 20070605,10.64500000,10.65000000,10.63000000,10.63500000, 2296400, 1518147,200709,10.63500000 20070606,106.33000000,106.61000000,106.28000000,106.57000000, 2702273, 1812817...
by Jens Albrecht
Sat Jul 14, 2007 3:50 am
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6233

Ted, wouldn't everything be a distortion? If I set it 120$ I would have had a hard time just to care for the profitability of that Donchian system and hadn't focus on the task itself. Setting comssion to 0 seemed just logical to me to avoid that factor completely. I fully agree on the testing proced...
by Jens Albrecht
Thu Jul 12, 2007 1:17 pm
Forum: Testing and Simulation
Topic: Leverage for Spreadbetting
Replies: 17
Views: 6199

I can only give some experience from trading some months with Finspread. It is really easy and works good for me trading a long term system. Though there are some caveeats which will cost some money to learn. First thing, they raised the minimum bet to 1 euro (assume it's then 1 pound too) for inter...
by Jens Albrecht
Thu Jul 12, 2007 9:36 am
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6233

just more test results to add...
by Jens Albrecht
Thu Jul 12, 2007 9:32 am
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6233

A systematic way to portfolio optimzation

*** Warning: Written by a trading newbie, terrible english inside and just a leisure time researcher of trading systems. That said I hope you enjoy reading it *** One day I was struck by the post of Ted (see http://www.tradingblox.com/forum/viewtopic.php?t=3820) presenting an equity curve I've never...
by Jens Albrecht
Mon Jun 18, 2007 4:35 pm
Forum: Futures Markets
Topic: Low slippage
Replies: 0
Views: 3066

Low slippage

I'm searching the future markets with the lowest slippage available? I would expect them to be the most liquid (e.g. the "All liquid" set from TB) where volume is mostly electronic ?

I guess it's a bold attempt but maybe someone is willing to share his valuable measurements? :oops: :?:
by Jens Albrecht
Thu Mar 22, 2007 3:12 pm
Forum: Testing and Simulation
Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
Replies: 13
Views: 10034

I would like to see added:
Take entry, then given an exit chance x% roll each day wether to leave trade. Would be interesting stepping through x%.