Search found 5 matches
- Sat Jul 05, 2008 4:27 pm
- Forum: Testing Software
- Topic: Sorting Custom Arrays
- Replies: 6
- Views: 8985
- Fri Jul 04, 2008 5:36 pm
- Forum: Testing Software
- Topic: Sorting Custom Arrays
- Replies: 6
- Views: 8985
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...
- Mon Jun 23, 2008 12:34 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30073
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...
- Mon Jun 23, 2008 6:09 am
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30073
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...
- 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: 52543