Search found 20 matches
- Thu Oct 22, 2009 4:57 am
- Forum: Testing and Simulation
- Topic: Ladies & Gentlemen: Please prepare your responses.
- Replies: 8
- Views: 5388
... 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 ...
- Tue Oct 20, 2009 7:22 am
- Forum: Testing and Simulation
- Topic: Ladies & Gentlemen: Please prepare your responses.
- Replies: 8
- Views: 5388
- Wed Mar 18, 2009 12:13 pm
- Forum: Testing and Simulation
- Topic: Open Old Positions When Starting to Trade a System?
- Replies: 6
- Views: 6376
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 ...
- Wed Jun 20, 2007 8:41 am
- Forum: Testing and Simulation
- Topic: The Robustness of MAR and CAGR
- Replies: 6
- Views: 6266
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 ...
- Tue Sep 12, 2006 10:28 am
- Forum: Data Providers and other non testing software
- Topic: Data Manager Software?
- Replies: 4
- Views: 6543
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.
If it is I'd appreciate your feedback. I'm considering to purchase it for transferring eSignal-data for use with TBB.
- Tue Jan 25, 2005 6:18 am
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14887
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...
- Mon Jan 24, 2005 6:44 am
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14887
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. ...
- Tue Jan 04, 2005 1:41 pm
- Forum: Brokers
- Topic: Stop Order Acceptance
- Replies: 17
- Views: 19102
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...
- Tue Jan 04, 2005 8:13 am
- Forum: Brokers
- Topic: Stop Order Acceptance
- Replies: 17
- Views: 19102
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...
- Wed Dec 22, 2004 5:31 am
- Forum: Stocks
- Topic: LTTF and Volume, Volatility and RS.
- Replies: 2
- Views: 5873
- Thu Nov 25, 2004 3:47 am
- Forum: Forex
- Topic: OHLC in the 24h Forex Markets
- Replies: 2
- Views: 6470
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...
- Wed Nov 24, 2004 7:40 am
- Forum: Forex
- Topic: OHLC in the 24h Forex Markets
- Replies: 2
- Views: 6470
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...
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...
- Fri Dec 19, 2003 8:07 am
- Forum: Money Management
- Topic: Correlation
- Replies: 19
- Views: 16459
[...] 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 ...
- Fri Dec 19, 2003 6:53 am
- Forum: Money Management
- Topic: Correlation
- Replies: 19
- Views: 16459
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...
- Wed Dec 17, 2003 9:17 am
- Forum: Money Management
- Topic: Portfolio heat
- Replies: 27
- Views: 29267
** 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...
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...
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...
- Wed Nov 26, 2003 7:24 am
- Forum: Forex
- Topic: FOREX vrs. Stocks
- Replies: 13
- Views: 21175
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 thin...
- Mon Nov 24, 2003 10:20 am
- Forum: Forex
- Topic: Backtesting and Accounting for Carry
- Replies: 17
- Views: 24828
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...