Search found 19 matches

by tobbe
Sun Feb 11, 2007 4:33 am
Forum: Data Providers and other non testing software
Topic: CSI Stock Data - further dangers
Replies: 5
Views: 5627

I was under the impression that if you didn't pay professional fees you would be limited to some truncated time frame (like 10 years or so). For an annual subscription, there's 10 years of historical data, delisted stocks are not included. They are an additional $999. Then each extra year of histor...
by tobbe
Tue Oct 17, 2006 4:04 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29580

Re: What is an "Edge"?

Thanks for an interesting series of posts. I don't know if this is unique or not but it seemed to me like an obvious way to measure and compare the edge of an entry. I still think you are testing the efficiency of a complete system. It's just that it is a system that has a time based exit :wink:. I ...
by tobbe
Sun Oct 15, 2006 5:21 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33366

Re: When To Stop Trading

I've been reading this thread with interest. First I was also a bit surprised that the the original question only spawned discussions on MC metrics (centered on drawdowns), risk etc. But then, the discussions at this forum tend to have a bias towards strategies that are applicable for long term trad...
by tobbe
Fri Apr 14, 2006 2:24 pm
Forum: Testing and Simulation
Topic: MAR Ratio, etc.
Replies: 12
Views: 12902

Based on the "Managed Account Reports ratio defined by CAGR% / Maximum Drawdown" definition, exactly how is this ratio used in rating portfolio performance and how should we apply this ratio as a barometer to our own trading results? I don't think there's an answer that we could all agree upon :win...
by tobbe
Sat Apr 08, 2006 5:58 pm
Forum: Trend Indicators and Signals
Topic: Adaptive systems vs. curve fitting
Replies: 18
Views: 21100

Re: Adaptive systems vs. curve fitting

I am also testing for robustness: I show the GA only some thousands stocks and test the performance of the resulting system on several sets of other thousands stocks. Out of sample data easily becomes in sample data. As soon as a set of parameters have been discarded as a result of the system not p...
by tobbe
Sat Feb 25, 2006 4:42 pm
Forum: Trend Indicators and Signals
Topic: Adaptive systems vs. curve fitting
Replies: 18
Views: 21100

Re: Adaptive systems vs. curve fitting

Is this basically just as bad as curve-fitting in a static system whose parameters don't change? IMHO, it’s worse. An adaptive system has more degrees of freedom than a non-adaptive system and is by design more susceptible to curve fitting than a corresponding non-adaptive (static) system. Both t...
by tobbe
Sun Dec 11, 2005 6:35 pm
Forum: Custom C++ or Java Platforms
Topic: charting component for your engine
Replies: 7
Views: 9164

Check out ChartDirector :).

cheers,
tobbe
by tobbe
Sun Dec 11, 2005 5:25 pm
Forum: Custom C++ or Java Platforms
Topic: charting component for your engine
Replies: 7
Views: 9164

I fully agree, visualization does not form an integral part of the simulation engine (but it is still important). I'm even considering completely splitting the two and allow for different frontends to the simulation engine backend. I'd then be free to pick something more pleasant to code the front e...
by tobbe
Fri Dec 09, 2005 5:56 pm
Forum: Custom C++ or Java Platforms
Topic: charting component for your engine
Replies: 7
Views: 9164

Depending on the language you are using, there are many more packages available for more popular and easy accessible languages. I settled for TeeCharts and have been happy with that choice. I only use a small subset of the component and have no need for most of their "financial" support apart from p...
by tobbe
Sat Jul 23, 2005 4:25 pm
Forum: Custom C++ or Java Platforms
Topic: What trading simulator for C++ Trading Systems
Replies: 4
Views: 6844

I'm sorry that I misunderstood your inital questions. If what you want to do is express your system(s) in C++ code (for performance reasons) and then have some other platform/toolkit execute this (compiled) code for you, you have to consider the speed of this other software because that's where most...
by tobbe
Fri Jul 22, 2005 4:19 pm
Forum: Custom C++ or Java Platforms
Topic: What trading simulator for C++ Trading Systems
Replies: 4
Views: 6844

Trading Simulator

Have a look at the thread C-Traders Toolkit . I would not recommend it as a base for your own simulation platform. If you are determined to roll your own platform, or build it on an existing toolkit, make sure to check out this thread , especially the posts by Bernd and Kevin (ksberg), before you be...
by tobbe
Wed Jan 12, 2005 1:30 pm
Forum: Trader Psychology
Topic: Meditation
Replies: 32
Views: 30603

Re: Meditation

I recently read a Jack Kornfield book and suspect that sadly he, for instance, has not attained the ultimate goal . His work The Path of Heart does not reflect an equanimity in the writer. I would be fascinated to meet someone who has. Has the Karmapa (16th or 17th)? The Dalai Lama? Has anyone? If ...
by tobbe
Wed Dec 01, 2004 4:01 pm
Forum: Data Providers and other non testing software
Topic: A New Consortium for a New Trading Data Standard
Replies: 10
Views: 10258

When you are looking at intraday or tick-level data the size of the representation is actually very important to the speed of the simulation since you can't really hold everything in memory without many gigabytes of RAM and a 64-bit operating system to support that much RAM. This might not be true ...
by tobbe
Tue Nov 30, 2004 4:49 pm
Forum: Data Providers and other non testing software
Topic: A New Consortium for a New Trading Data Standard
Replies: 10
Views: 10258

I would really like to see an XML based standard, being a real fan of it :) . On the other hand, it's not that obvious how to append data to an XML document in a clean way without parsing and rewriting the complete file (sure, it can be done in some not so clean ways). With thousands of files with p...
by tobbe
Sun Oct 17, 2004 1:37 pm
Forum: Testing and Simulation
Topic: Some puzzle about Walk Forward Optimization
Replies: 6
Views: 4458

"The step-forward process will usually select an inconsistent, fast-trading method over a better long-term system simply because the test window forces this result. Instead, use all the data in one long test to get continuous performance over as many changing patterns as possible." Quoted from the b...
by tobbe
Sun Aug 29, 2004 8:22 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78556

Re: Index emulation

ecritt wrote:5. Accuracy of your historical price database (if not proportionally adjusted for dividends then its worth less than zero)
I don't really understand this. Could you please elaborate?

thanks,
tobbe
by tobbe
Thu Mar 11, 2004 3:05 pm
Forum: Custom C++ or Java Platforms
Topic: WHY C++ ...
Replies: 17
Views: 20349

Java IDE

If you're new to java and need a good IDE, have a look at http://www.eclipse.org . Its free, its great and a true rival to the MS Visual Studio/C# .NET IDE when it comes to functionality. I wish MS would implement some of the features in Visual Studio soon (refactoring support, testing support). My ...
by tobbe
Tue Mar 02, 2004 3:24 pm
Forum: Trend Indicators and Signals
Topic: Fibonacci System
Replies: 7
Views: 9713

Does anyone have any experience with using the Fibonacci system? I have no experience using the systems on the websites you mentioned. But, if a "Fibonacci system" refers to the combination of the Fibonacci numbers and Elliot Wave Theory (EWT), or if the systems you are considering are based on EWT...
by tobbe
Thu Feb 26, 2004 5:21 pm
Forum: Custom C++ or Java Platforms
Topic: C-TRADER Toolkit, N-TRAIN?
Replies: 5
Views: 11273

I agree... C++ is not an easy language, and definitely not easy for a beginner. Also, the toolchain (making an executable program from code, using libraries etc) is hard to understand for a beginner. Especially if you don't have access to an "IDE" (Integrated Development Environment). The code that ...