Search found 66 matches

by TK
Sat Jun 09, 2012 6:25 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20063

These are: (1) betting strategy – while it is extremely difficult to improve upon the standard fixed-fractional betting strategy, it can be done provided you’re a private trader and don’t trade OPM – ironically, you have to have guts to do the reverse of what Eckhardt taught the Turtles.......
by TK
Sat Jun 09, 2012 5:53 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20063

On 1 October 2010... What do you do with your existing positions at the end of each month? I am practical -- I keep them open and I exit them based on updated exit parameters. Example 1 Let's say I trade a classic channel breakout system with 20-day entry and 10-day exit channels. I have an open po...
by TK
Fri Jun 08, 2012 3:28 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20063

On 1 October 2010, I started trading a tiny forex account. After lots of back- and walk-forward testing, I decided to set up a small account and go after absolute returns of 50%+ annual returns with occasional 80%+ drawdowns. I figured out it would be psychologically easier for me to start with a sm...
by TK
Fri Jun 08, 2012 3:21 pm
Forum: Data Providers and other non testing software
Topic: images to be included
Replies: 0
Views: 2281

images to be included

images
by TK
Wed Nov 30, 2011 5:49 pm
Forum: Trader Psychology
Topic: Serious Question to Forum Traders
Replies: 15
Views: 8609

One of my thoughts is that much of the data that we point to has been collected since the gold standard died during the Nixon administration. That is exactly my point. That all great trend-followers (Dunn, Turtles, Eckhardt, Winton, AHL, John Henry, David Druz, etc., etc.) have produced their track...
by TK
Wed Nov 30, 2011 4:47 pm
Forum: Trader Psychology
Topic: Serious Question to Forum Traders
Replies: 15
Views: 8609

For my two cents, I believe that markets are changing and let me explain why I believe it is so: Historically, markets have existed to provide price discovery and allocate scarce resources. At the current juncture, markets are being prevented from performing their historic purposes because governme...
by TK
Wed Dec 22, 2010 4:36 pm
Forum: Data Providers and other non testing software
Topic: NORGATE data
Replies: 21
Views: 11609

I used Norgate data in the past and found it to be clean and accurate. They provide individual months in the usual O,H,L,C,V,OI format and their software allows you to build your own continuous point-based back-adjusted data (and continuous non-adjusted, if you find it useful), also in the O,H,L,C,V...
by TK
Tue Oct 12, 2010 10:29 am
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 10229

I havent been able to duplicate Sluggo's run. But I can get a MAR of about 2 during that time frame, that drops to about 0.7 after adding the last five years. This book from the TBB Trading Library can help avoid such overfitting. It's a lot of work with many pitfalls along the way but the results ...
by TK
Wed Sep 29, 2010 4:54 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23560

Chris67 wrote:A great example is mulvaney Capital in London - an awsome TF program - 10 year track record of about 20% CAGR - but stuck at 100 Mill give or take for many years - I m not sure by choice - but investors wont take the draw dwons
As of now, their CAGR is closer to 13%.
by TK
Wed Mar 24, 2010 12:31 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 5648

On topic, how would one have felt about Turtle 20/10 in 1990? Pretty optimistic I imagine. How would one have felt about Turtle 20/10 in 1991? And in 1992? And then in 1993, 1994, 1995, 1996, etc.? If one had asked this question year by year or month by month, one would probably have discarded or m...
by TK
Thu Feb 25, 2010 3:30 pm
Forum: Futures Markets
Topic: Wick in June Ten Year Note
Replies: 7
Views: 3771

It is visible on a 30-minute chart at barchart.com.
by TK
Fri Nov 13, 2009 3:23 am
Forum: Testing and Simulation
Topic: Does TBB support walk-forward tests?
Replies: 10
Views: 6318

Performance Tables

Look at the tables below. Please also note that John W Henry first and flagship program was Original Investment. I think it was closed in mid-2005 after 23 years in operation. At the time it was terminated, over these 20+ years, it had returned less than "Buy and Hold S&P500" over the same period. I...
by TK
Tue Nov 10, 2009 5:51 pm
Forum: Testing and Simulation
Topic: Does TBB support walk-forward tests?
Replies: 10
Views: 6318

I am with bobsyd on this one. I consider walk-forward tests the closest thing to real-life trading and the final check on the validity of my backtests. If done properly, walk-forward testing is a much better indicator of a real-time performance than back testing. The latter tends to be curve-fitted ...
by TK
Tue Nov 10, 2009 1:59 pm
Forum: Testing and Simulation
Topic: Does TBB support walk-forward tests?
Replies: 10
Views: 6318

Does TBB support walk-forward tests?

Does/Will TBB support fully automated walk-forward tests?
by TK
Wed Apr 04, 2007 4:17 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30749

The reason I brought up the topic of slippage determination for MOO/MOC orders is that some traders compare their fills for these types of orders to the actual open/close of the day. I contend that this approach is incorrect - especially when trading in size and/or in illiquid markets. When a trade...
by TK
Mon May 15, 2006 6:38 am
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21471

I often wonder if the market opening price would have been the same without me placing an order and thus participating in the opening price discovery. Can you call this also slippage? Attain Capital calls it "hidden slippage" and I'm afraid it is very difficult to account for it in backtesting. Wha...
by TK
Sat Feb 25, 2006 8:46 am
Forum: Testing Software
Topic: Margins in Foreign Markets
Replies: 6
Views: 5584

Thank you, sluggo and c.f..
by TK
Fri Feb 24, 2006 7:03 pm
Forum: Testing Software
Topic: Margins in Foreign Markets
Replies: 6
Views: 5584

Margins in Foreign Markets

Tim or TBB users, How does TBB handle margins for positions held in foreign markets? (1) It assumes that the equivalent amount in USD is actually converted into a local currency when the position is opened and then converted back into USD when the position is closed. OR (2) It puts up the equivalent...
by TK
Wed Feb 22, 2006 2:05 pm
Forum: Testing and Simulation
Topic: Recent Trend-following system performance
Replies: 11
Views: 9168

Very close stops can not be tested accurately on daily data as many times on entry day the tight stop would have been hit intraday. Yet the bar may close in the direction of the position and the software has no way to know what happened intraday. One simple solution that allows one to test systems ...