Search found 20 matches

by -w.
Thu Oct 22, 2009 4:57 am
Forum: Testing and Simulation
Topic: Ladies & Gentlemen: Please prepare your responses.
Replies: 8
Views: 3317

... historical performance of well known mechanical system traders ... I think it's important to not equal mechanical systems trading to technical analysis. While systems traders obviously do make use of TA, many if not most users of TA do not trade systematically. In my opinion, performance comes ...
by -w.
Tue Oct 20, 2009 7:22 am
Forum: Testing and Simulation
Topic: Ladies & Gentlemen: Please prepare your responses.
Replies: 8
Views: 3317

We cannot rule out the possibility that technical analysis can be used to compliment other investment techniques, or that trading rules other than the ones we examine are profitable. "Investment techniques" such as position sizing and portfolio allocation maybe? As long as most people still focus o...
by -w.
Wed Mar 18, 2009 12:13 pm
Forum: Testing and Simulation
Topic: Open Old Positions When Starting to Trade a System?
Replies: 6
Views: 4145

I'm totally with sluggo's Method 1, however there are some pitfalls you might want to consider. I've been working with moving average (crossovers) as well and so have had the same problem but not only in the starting phase of the system. I also use filters, so it happens that trades in some markets ...
by -w.
Wed Jun 20, 2007 8:41 am
Forum: Testing and Simulation
Topic: The Robustness of MAR and CAGR
Replies: 6
Views: 4692

zentrader, you're mixing up two different things here I think. The usefulness/non-usefulness of scrambling up data has been discussed here before. Whatever your preference, that would still leave you with the question of what kind of measure of goodness to use. That said, personally MAR is still my ...
by -w.
Tue Sep 12, 2006 10:28 am
Forum: Data Providers and other non testing software
Topic: Data Manager Software?
Replies: 4
Views: 4899

I'm not sure if that's what you're looking for: http://www.mechtrading.com/index.htm

If it is I'd appreciate your feedback. I'm considering to purchase it for transferring eSignal-data for use with TBB.
by -w.
Tue Jan 25, 2005 6:18 am
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10799

So for NYSE stocks, does an MOO order means one will either get filled at the opening price or not get filled at all? I always got filled. If I did not get the Opening price I would phone the broker and they would adjust the price because with a MOO order you're supposed to be entitled to the Openi...
by -w.
Mon Jan 24, 2005 6:44 am
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10799

I can only speak from anecdotal experience as I didn't actually systems trade stocks at that time: Usually I got filled at the official opening price on Amex and NYSE without a problem. Sometimes I would be off a couple of cents but phoning in to the broker always got me the right price in the end. ...
by -w.
Tue Jan 04, 2005 1:41 pm
Forum: Brokers
Topic: Stop Order Acceptance
Replies: 17
Views: 14656

However, in the case of an OMS for spot forex, it might make sense to reject stop orders to sell below the current bid, since trading is live 24/7 and such an order is more likely to represent an error on the part of the trader or the platform generating the order. Exactly. Also, many traders are n...
by -w.
Tue Jan 04, 2005 8:13 am
Forum: Brokers
Topic: Stop Order Acceptance
Replies: 17
Views: 14656

If the market closed the previous day at 44.90 the broker can and should still take an order to sell at 45.00 stop the following day. If the market opens at or below 45.00 the broker will sell the contracts. [...] The same is true for a gap opening - if for example, the market closed at 45.20 - you...
by -w.
Wed Dec 22, 2004 5:31 am
Forum: Stocks
Topic: LTTF and Volume, Volatility and RS.
Replies: 2
Views: 4715

Personally I have found that designing LTTF-Systems for Stocks can be quite challenging if you use too much input/experience from "traditional" approaches. Usually, TF buys/sells breakouts (price and/or volatility). One way I have used RSI (and Momentum) in traditional stock trading was to try ident...
by -w.
Thu Nov 25, 2004 3:47 am
Forum: Forex
Topic: OHLC in the 24h Forex Markets
Replies: 2
Views: 5388

I suggest using an approach in testing that you can replicate in real life. Yes, that's exactly the point. At this time, I'm testing a couple of strategies on VT 1.6 and - believe it or not - I actually identified a performing Bollinger CT L/S system. But so far my testing was based on the included...
by -w.
Wed Nov 24, 2004 7:40 am
Forum: Forex
Topic: OHLC in the 24h Forex Markets
Replies: 2
Views: 5388

OHLC in the 24h Forex Markets

As many trading systems use the Close of a market as a reference whether to enter at Open, I'm finding myself challenged to actually convert a back-tested trading strategy into live trading. I don't have any other idea than to apply very high slippage assumptions for the time lag from the system gen...
by -w.
Tue Dec 23, 2003 3:41 am
Forum: Brokers
Topic: ;-)
Replies: 6
Views: 5604

If you buy US assets, but have no USD you'll borrow the money from IB. If you make a profit when you close out the trade, your USD balance will be positive. Likewise if you've got a loss, it'll be negative. Bernd, but be aware of the fact that while you hold the position, USD interest charges for t...
by -w.
Fri Dec 19, 2003 8:07 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11964

[...] and they are non correlated over 10 years but for the last 6 months they have moved in tandom for whatever reason .. then I would suggest you have a 95 % chance of having a position on with double the risk you think you have . I beg to differ strongly on this one :) I have exactly the risk I ...
by -w.
Fri Dec 19, 2003 6:53 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11964

Very interesting topic, Chris. [...] if you take the original turtle observations on what is strongly and loosely correlated u may find many of these relationships dont hold true anymore. Some may hold true over a look at 10 years but be completely wrong for a 6 month duration .. therefore by not ca...
by -w.
Wed Dec 17, 2003 9:17 am
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21814

** KEY QUESTION = what is my re-entry position size based upon???** It really is the key question, isn't it? While I find the algorithm you're using interesting, what it basically boils down to is it's second-guessing the trend, IMHO. You're describing the typical trendfollower's dilemma: If you re...
by -w.
Wed Dec 10, 2003 9:35 am
Forum: Stocks
Topic: ETFs
Replies: 2
Views: 4535

I'm testing a breakout system for stocks similar to the Turtle System. One observation I have made is that closing prices in the long run seem to have better significance as breakouts than intraday hi/lo's. So I figured that buying/selling the open would make sense, for pyramiding positions I use th...
by -w.
Tue Dec 09, 2003 9:10 am
Forum: Stocks
Topic: ETFs
Replies: 2
Views: 4535

ETFs

Considering that ETFs are a fast growing and increasingly liquid market segment it might make sense to trade them in a LT trend following system. However, some of the more interesting stocks only have a rather short history, further distorted by huge intraday spikes (illiquidity or false data?). Als...
by -w.
Wed Nov 26, 2003 7:24 am
Forum: Forex
Topic: FOREX vrs. Stocks
Replies: 13
Views: 17071

Re: Forex - The New Scam

Forex trading is the "new, new thing". And as such it will proliferate and blow up much like retail daytrading shops burned brightly them Flamed Out during the great Bubble Burst of the late 90's, early 2000. Forex trading for individual speculators might not be such a "new, new thing" as it now ap...
by -w.
Mon Nov 24, 2003 10:20 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 19092

Re: Backtesting and Accounting for Carry

Has anyone here tested forex while accounting for the interest rate differential? Is it as significant as it appears it might be? Does anyone know a good source for historical interest rates as used by forex brokers to determine the cost of carry? Is this something we should be spending our time on...