Search found 5 matches

by Solong
Sat Jul 05, 2008 4:27 pm
Forum: Testing Software
Topic: Sorting Custom Arrays
Replies: 6
Views: 5497

OK. How many elements approximately and how often do you intend to sort?
by Solong
Fri Jul 04, 2008 5:36 pm
Forum: Testing Software
Topic: Sorting Custom Arrays
Replies: 6
Views: 5497

It is a good question. If the list to be sorted is numeric and not strings, and the number of elements do not exceed the number of instruments, there is another possibility involving the functions SortInstruments and SetLongRankingValue (or -Short-). This use may not be official or recommended but I...
by Solong
Mon Jun 23, 2008 12:34 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20597

Those are important considerations. I did not think of it when I saw your $4.6bn simulation. Returning to your first post, one could also recognize that some markets have an upward drift, like the stock markets and commodities, whereas others are mean reverting such as interest rates and foreign exc...
by Solong
Mon Jun 23, 2008 6:09 am
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20597

Eric, thanks for posting your conclusions. Don't abandon your search for short-only systems. You are on to something here which sluggo raised: the correlation between portfolios and diversification benefits. Granted, the Trade Short system in your example was not attractive with a 50% drawdown. It s...
by Solong
Sun Jun 22, 2008 6:29 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33229

Check out the book "What Works On Wall Street" by O'Shaunessey if you haven't already studied it. It is full of test results of strategies based on various fundamental and technical stock factors that can be used as filters. It is all empirical research from computerized back-testing so the approach...