Search found 14 matches

by explorer
Mon Dec 03, 2007 3:22 pm
Forum: Testing and Simulation
Topic: Guidelines for system rules & degrees of freedom
Replies: 8
Views: 8203

Adrian77, I run across some answers for your question while I was searching for something else. According to this book: Beyond Technical Analysis, How to Develop and Implement a Winning Trading System Tushar S. Chande, PhD "The statistical theory of design of experiments says that even complex proce...
by explorer
Fri Nov 30, 2007 1:20 pm
Forum: Testing and Simulation
Topic: Guidelines for system rules & degrees of freedom
Replies: 8
Views: 8203

Adrian77, You already understand the concept, that simpler (but not too simple) system works more robustly than a more complex system. Unfortunately beyond that I don't know any numerical rules, that tells you exactly how many rules are too many. However Walk Forward testing will likely tell you, if...
by explorer
Fri Nov 30, 2007 12:52 pm
Forum: Testing Software
Topic: Any opinions on Wave59 (a pattern matching software)
Replies: 1
Views: 4260

Wave59

Christian, Wave59 and many other similar software gives you an ENTRY signal. Entry signals are 20% of a trading strategy. Unless all other part of your strategies are done to your satisfaction, I wouldn't spend $2500 on entry signals that TB and many websites provide free. If you care to know more a...
by explorer
Tue Sep 25, 2007 12:06 am
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 26108

I managed to create a sample chart that shows the typical a trendfollowing characteristics. The only thing that I didn't do, I didn't normalize all the trades to start from 0. It is a pain in the neck to create manually these chart, I wish it would be a built in feature of TB. Thanks again for the t...
by explorer
Mon Sep 24, 2007 11:49 pm
Forum: Testing and Simulation
Topic: Robust optimization for profit/risk/day
Replies: 4
Views: 3820

Thanks Sluggo, I don't feel that bad now that even your brilliant mind couldn't clarify it. I have c.f.' book, and I reasonably understand how he calculated it. (Reasonable means, I have yet to recreate the calculation in Excel.) Since it supposed to be a risk / reward calculation, and although it i...
by explorer
Sun Sep 23, 2007 9:29 am
Forum: Testing and Simulation
Topic: Robust optimization for profit/risk/day
Replies: 4
Views: 3820

Thanks Sluggo, I really appreciated your detailed answer. Based on your explanation if I understand: Expectation Ratio = expected profit per dollar risked = avg trade outcome / avg trade risk = (avg win – avg loss) / avg loss = ((Probability of Win * Avg. Win Size) - (Probability of Loss * Avg. Lo...
by explorer
Sun Sep 23, 2007 8:41 am
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 26108

Thanks, I will try to create one.

explorer
by explorer
Sat Sep 22, 2007 4:56 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 26108

Sluggo,

I would be very interested to know, how these types of charts are created?

Kind of thinking to create similar charts to track the development of a group of trades bar by bar.

Would you mind to share your chart expertise? Did these charts come from TB or Excel or ???

Thanks,
explorer
by explorer
Sat Sep 22, 2007 4:19 pm
Forum: Testing and Simulation
Topic: Robust optimization for profit/risk/day
Replies: 4
Views: 3820

Robust optimization for profit/risk/day

Hi, I am aware of this post (see below), but that was written before c.f. created more robust measurement methods. http://www.tradingblox.com/forum/viewtopic.php?t=17&postdays=0&postorder=asc&highlight=optimization&start=0 If I would like to find a more robust measurement to optimize for profit/risk...
by explorer
Thu Sep 06, 2007 12:25 pm
Forum: Testing and Simulation
Topic: How much edge do I need? (and other Edge-Ratio questions)
Replies: 9
Views: 7642

AgeKey, Thanks for your in depth reply. I will explore the MAE based stop settings to put the technique in bed one way or another. I agree with your research path. When I traded on shorter term, I only used tick charts. The MarketDelta based approach is working (I know someone who using it sucessful...
by explorer
Thu Sep 06, 2007 10:41 am
Forum: Testing and Simulation
Topic: How much edge do I need? (and other Edge-Ratio questions)
Replies: 9
Views: 7642

AgeKey, I am sorry that you lost interest, although by now, you obviously know that the "edge" has nothing to do with stops. It simply will tell you, do you have a statistical adventage at any given time. Of course shorter term system like I think you work with have to have stops, so it was natural ...
by explorer
Wed Sep 05, 2007 10:08 pm
Forum: Testing and Simulation
Topic: How much edge do I need? (and other Edge-Ratio questions)
Replies: 9
Views: 7642

AgeKay, Are you still monitoring this thread? If yes, I am ready to talk, but you asking so many questions, that I don't know where to start. So I start here: 1. How much edge should I be looking for? That is, what is the minimum edge ratio that I need to be able to trade profitably. Is 1.2 or 1.6 e...
by explorer
Fri Jul 06, 2007 10:07 pm
Forum: Testing and Simulation
Topic: How much edge do I need? (and other Edge-Ratio questions)
Replies: 9
Views: 7642

AgeKey,

c.f. and Tim generously helped me out with the installation in another post, so let me run a bunch of tests this weekend then get back to you to continue the discussion.

explorer
by explorer
Fri Jul 06, 2007 12:11 am
Forum: Testing and Simulation
Topic: How much edge do I need? (and other Edge-Ratio questions)
Replies: 9
Views: 7642

AgeKay, I would like to have an in-depth discussion, but unfortunately I am unable to run the system yet. (No trades) I have the MACD Reversable PM in the Portfolio Manager Donchian Entry in the Entry block Donchian Entry and Entry Edge Tester in the Exit block Multi Money Manager in the Money Mgr b...