Search found 14 matches
- Mon Dec 03, 2007 3:22 pm
- Forum: Testing and Simulation
- Topic: Guidelines for system rules & degrees of freedom
- Replies: 8
- Views: 10314
- Fri Nov 30, 2007 1:20 pm
- Forum: Testing and Simulation
- Topic: Guidelines for system rules & degrees of freedom
- Replies: 8
- Views: 10314
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...
- Fri Nov 30, 2007 12:52 pm
- Forum: Testing Software
- Topic: Any opinions on Wave59 (a pattern matching software)
- Replies: 1
- Views: 7048
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...
- Tue Sep 25, 2007 12:06 am
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 40013
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...
- Mon Sep 24, 2007 11:49 pm
- Forum: Testing and Simulation
- Topic: Robust optimization for profit/risk/day
- Replies: 4
- Views: 5026
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...
- Sun Sep 23, 2007 9:29 am
- Forum: Testing and Simulation
- Topic: Robust optimization for profit/risk/day
- Replies: 4
- Views: 5026
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...
- Sun Sep 23, 2007 8:41 am
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 40013
- Sat Sep 22, 2007 4:56 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 40013
- Sat Sep 22, 2007 4:19 pm
- Forum: Testing and Simulation
- Topic: Robust optimization for profit/risk/day
- Replies: 4
- Views: 5026
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...
- 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: 10686
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...
- 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: 10686
- 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: 10686
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...
- 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: 10686
- 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: 10686
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...