Search found 40 matches
- Mon Feb 14, 2011 3:59 pm
- Forum: Testing and Simulation
- Topic: Don't know what to do when account < $40 million
- Replies: 4
- Views: 4118
- Thu Jul 10, 2008 12:06 am
- Forum: Testing and Simulation
- Topic: Measuring most active contract months
- Replies: 7
- Views: 8054
- Fri May 02, 2008 1:32 pm
- Forum: Testing and Simulation
- Topic: Estimating Volume Limits & Trading Capacity
- Replies: 2
- Views: 3556
- Fri Jan 25, 2008 10:14 am
- Forum: Testing and Simulation
- Topic: Trading Systems Robustness & Market Structure
- Replies: 1
- Views: 2958
- Fri Jul 13, 2007 6:40 am
- Forum: Futures Markets
- Topic: A good day to be trading with the trends
- Replies: 0
- Views: 3855
A good day to be trading with the trends
Yesterday, 12 July 2007, was a heck of a nice day for diversified trend followers. Among my loosely organized clan of futures buddies (we're not the Incline Village tribal sorts), yesterday's return ranged from +3.0% to +7.2%. Quite nice for one single day. If you could just put 252 of those togethe...
- Wed Jul 04, 2007 8:00 pm
- Forum: Money Management
- Topic: Position Sizing & DMAC
- Replies: 4
- Views: 7086
- Tue May 22, 2007 7:42 am
- Forum: Testing and Simulation
- Topic: Trading System Efficiency
- Replies: 4
- Views: 4946
- Sun Dec 31, 2006 12:56 pm
- Forum: Testing and Simulation
- Topic: Who made money in 2006?
- Replies: 10
- Views: 11081
- Thu Oct 05, 2006 2:24 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40556
... if I wanted to put together a pair of systems with low correlation, green and blue might be an excellent choice. They can't possibly be more than 35% alike, long term, because blue is in only 35% of the same markets at the same time as green. (And sometimes blue might be long while green is sho...
- Tue Oct 03, 2006 5:52 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40556
- Sat Sep 30, 2006 10:51 am
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40556
- Fri Sep 29, 2006 2:34 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40556
- Fri Sep 22, 2006 9:17 am
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40556
- Thu Aug 17, 2006 10:27 am
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 46769
- Thu Aug 17, 2006 10:25 am
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 46769
For what it's worth, here is the procedure I would use if I were you: Choose a range pf parameter values for #days(fastEMA) and #days(slowEMA) Choose a stoploss Choose a portfolio Choose settings for slippage and commissions Run backtest simulations of the above Export the simulation results to Exce...
- Thu Jul 27, 2006 5:06 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 46769
- Fri Jul 21, 2006 12:04 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 46769
There are a few well-known, standard procedures for avoiding the Scary Monster that rabidric describes: Backtest over many many years of past history Test (and trade) a large portfolio having at least five markets from each of the eight commodity sectors Use an optimization criterion that prizes smo...
- Mon Jun 05, 2006 10:40 pm
- Forum: Brokers
- Topic: Costly Robobroker Errors
- Replies: 21
- Views: 28370
I have tested for fixed dates quite a lot in the past. In my case I have been able to satisfy myself that in the longer term different roll dates or algorithms do not make too much difference to my system's profitability. So I will be happy to use fixed dates. Today is a specially good day to talk ...
- Wed Mar 08, 2006 9:54 am
- Forum: Testing and Simulation
- Topic: Difference Between Exponential and Simple Moving Averages
- Replies: 7
- Views: 9200
Re: Difference Between Exponential and Simple Moving Average
I have also found that the more traditional exponential moving average, which uses a smoothing factor equal to 2/n, provides better results Oh come on. This is only a problem because people are too lazy to talk about exponential moving averages in terms of the smoothing constant (alpha). Instead, e...
- Wed Aug 17, 2005 3:55 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Eurodollar data
- Replies: 11
- Views: 12445
If you're saying that large Open Interest means high liquidity, I don't agree. Volume is the number of contracts that traded on a certain day. Open Interest measures the number of contracts that didn't trade on a certain day. If volume=100 and open interest = one million, there were 999,900 contract...