Search found 28 matches
- Mon Sep 05, 2011 11:01 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19565
- Mon May 23, 2011 4:42 pm
- Forum: Testing and Simulation
- Topic: tracking intraday sequences (time stamps) on daily bars
- Replies: 14
- Views: 10592
If the ONLY information you have is the daily Open, High, Low, Close then the Shortest Path Heuristic is one of your (very few) options: Choose the piecewise linear price trajectory of shortest total length. You can work out the arithmetic yourself; there are only two cases to consider. The conclusi...
- Mon Mar 31, 2008 5:58 am
- Forum: Testing and Simulation
- Topic: Rounds Turns Per Million -- How Low Can You Go?
- Replies: 8
- Views: 6807
You could put high-leverage and low-leverage trading plans on an equal footing by calculating (RTPM / Margin_to_Equity_Ratio) since the ME Ratio is usually published in professional manager's track records. A word of caution, very low RTPM means your stops are very wide. This means your DollarRisk p...
- Sun Apr 15, 2007 4:10 pm
- Forum: Testing and Simulation
- Topic: Log normal returns of financial instruments and lack of...
- Replies: 2
- Views: 3352
Try to avoid the mental constraint of only thinking about one system trading one stock. Real hedge funds / CTAs / professional traders have multiple systems trading large portfolios of stocks (or futures, or forex pairs, or options, or ...), all at once. These traders have many simultaneous position...
- Mon Apr 09, 2007 4:42 pm
- Forum: Futures Markets
- Topic: coffee
- Replies: 11
- Views: 11180
- Sat Apr 07, 2007 12:33 pm
- Forum: Futures Markets
- Topic: coffee
- Replies: 11
- Views: 11180
- Thu Apr 05, 2007 6:58 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 41016
- Wed Nov 15, 2006 2:24 pm
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39889
Re: Dynamic Portfolio Selelction
... approach could swap out existing positions for the tighter (better) positions. ... actively managing existing open positions by changing them on the fly. Leapfrog, that idea is presented in Mike Covel's Turtle course, what he calls Switches. However I don't think Dean is doing Switches in the t...
- Thu Oct 05, 2006 10:15 am
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 41016
- Tue Sep 12, 2006 7:06 pm
- Forum: Data Providers and other non testing software
- Topic: Data Manager Software?
- Replies: 4
- Views: 6548
Way back in the misty past, when the preferred TA software vendor was Omega Research and their preferred data vendor was Dial/Data (get it? You tell your modem to Dial in order to download price Data), I wrote a rollover package. For some stupid reason I've still got it on my disk, with source code ...
- Thu May 11, 2006 9:59 am
- Forum: Trend Indicators and Signals
- Topic: people on this forum were rude and are fake traders
- Replies: 34
- Views: 37456
- Mon Apr 17, 2006 2:12 pm
- Forum: Money Management
- Topic: A method to monitor and adjust system's risk?
- Replies: 5
- Views: 7819
Trading Recipes lets you do this with one statement. Supposing you want to reduce each position by 10% if the total risk across all positions ever becomes more than 30%, you would add this line to your system: IF (TOTALRISK > 0.30) THEN MULTIPLIER = 0.90 I'm sure it's equally simple to do in other s...
- Fri May 06, 2005 9:05 am
- Forum: Testing and Simulation
- Topic: the relationship between slippage and volume & volatilit
- Replies: 2
- Views: 3267
- Sun Feb 06, 2005 10:51 am
- Forum: Money Management
- Topic: plz help me with my math: probability of N losses in a row
- Replies: 3
- Views: 5636
- Fri Feb 04, 2005 8:33 am
- Forum: Money Management
- Topic: plz help me with my math: probability of N losses in a row
- Replies: 3
- Views: 5636
Our old reliable friend the Omega List contains an interesting answer that comes in the form of a table and a formula. It's 2 years old, but I don't think the mathematics of probability has changed very much since then.
http://www.purebytes.com/archives/omega ... 04142.html
http://www.purebytes.com/archives/omega ... 04142.html
- Tue Dec 28, 2004 5:53 pm
- Forum: Testing and Simulation
- Topic: Console.Writeline("How Do YOU Simulate?:Part II");
- Replies: 8
- Views: 7974
It's PERL without the "a". Check www.perl.org for more info.
- Mon Nov 29, 2004 8:52 am
- Forum: Stocks
- Topic: stock historical database
- Replies: 3
- Views: 6983
- Wed Nov 10, 2004 8:24 pm
- Forum: Testing and Simulation
- Topic: How to pick the most suitable values among three parameters?
- Replies: 4
- Views: 6303
- Tue Sep 28, 2004 12:37 pm
- Forum: Data Providers and other non testing software
- Topic: John Hill and backadjusting
- Replies: 7
- Views: 8095
Maybe you are not aware that John Hill has discarded Excalibur and now uses Tradestation. He even writes books about how to use Tradestation: http://www.amazon.com/exec/obidos/tg/detail/-/0471215694?tag=tradingblox-20 I happen to own a copy of the Excalibur software (Hill used to sell it). Written i...
- Tue Sep 28, 2004 12:28 pm
- Forum: Money Management
- Topic: Position Sizing in Options
- Replies: 19
- Views: 20524
I had avoided options because I'm a mechanical systems trader and I found it difficult-to-impossible to obtain and organize options pricing historical data for backtesting. Then a friend made a remark that I consider brilliant: Maybe you can't backtest options systems but you can backtest managers w...