Search found 28 matches

by lperepol
Fri Nov 19, 2010 11:17 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7931

michaelt, I do not know if there is an issue or not. If there is an issue it would be with price. There is chatter on the web about rolling and contango. ETF's tracking commodities have to roll at some point. The CL contract has also been sighted as being sensitive to contango. Creating continuous c...
by lperepol
Thu Nov 18, 2010 7:33 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7931

Excellent ideas Sluggo,

In addition, I would also like a metric that measures the sensitivity of an instrument that is subjected to an adjustable roll trigger/strategy. Another project to put on the books.
by lperepol
Thu Nov 18, 2010 11:43 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7931

Contango and Back Adjusting

I ran into this post on http://www.bigmiketrading.com. This is the link: http://www.bigmiketrading.com/commodities-futures-trading/5213-accurate-cl-crude-oil-futures-contract-continuous-back-adjusted-chart.html#post77686 This is the content of the post: This is an article showing the real problem of...
by lperepol
Tue Nov 16, 2010 9:57 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 8031

Portfolio Construct

I was wondering if anyone has tried to construct a portfolio using pairs? For example: Say System A has optimal parameters X and Say System B has optimal parameters Y To keep things simple let System A, System B be single instrument systems. Combine both systems A and B into one system AB a (two ins...
by lperepol
Tue Nov 16, 2010 1:11 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7931

What source are others using for individual contracts?

I have both CRB and CSI feeds. I did not like Unfair Advantage when I first started using it, but have been able to tolerate it. It works OK, has some extra functions. CRB is more to my liking but does not have all the bells and whistles as CSI. Using CSI's Unfair Advantage I manage to shoot myself ...
by lperepol
Sun Nov 14, 2010 11:55 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7931

Generating Continous Contracts

Hi, I am just starting out in generating continuous contracts. I am writing in C++ and QT. So far, I have reversed engineered a few of CSI's back adjusting methods. I am using CRB and CSI data. I can replicate one of ED's methods. Ed's continuous gold contract is a bit strange in the way it generate...
by lperepol
Mon May 28, 2007 8:09 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78557

Dividend Adjustment Lag?

ecritt

How many days lag are there in CSI data when they adjust for dividends?

You raise a good point!! HMMM I may be acting on a few false sell siganls when dividends are being paid out.
by lperepol
Sun May 27, 2007 7:10 am
Forum: Custom C++ or Java Platforms
Topic: charting component for your engine
Replies: 7
Views: 9164

R has good charting. Its free too.

I use R for visualization. Let the simulator spit out the data and load it into R. R also has very good data manipulation capabilities and a quant lib.

http://www.r-project.org/
by lperepol
Sun May 27, 2007 12:19 am
Forum: Stocks
Topic: Trend Following with EMA + CANSLIM
Replies: 7
Views: 15322

Results From a Simple EMA Crossover System

I noticed that most of the stocks the simulator picks are in the IBD 100 or end up in the IBD 100. The IBD 100 are the best stocks according William O'Niel's picking criteria.
by lperepol
Wed Mar 24, 2004 9:21 am
Forum: Testing and Simulation
Topic: Is anyone Using R?
Replies: 0
Views: 2997

Is anyone using R?

I was wondering if anyone is using R for testing mechanical systems?

http://www.r-project.org/


Lawrence
by lperepol
Tue Mar 23, 2004 10:59 pm
Forum: Testing and Simulation
Topic: Monte Carlo analysis of trading systems
Replies: 17
Views: 16842

One industry source said: "There have been rumours for several years about a device that could compute the rate at which the speed of a roulette wheel and the ball degrade. Black Swan or fat tail !?! best regards, as ever I think Edward Thorpe developed the first wearable computer to do this in the...
by lperepol
Tue Mar 23, 2004 8:41 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21904

Thanks Hiramhon, your spreadsheet cleared things up for me. Eck, I do not see why Hiramhon's example would not work for short or longs. If one looks at his spread sheet, it considers returns from an equity regardless of position. From this perspective longs and shorts trend in the same direction (no...
by lperepol
Tue Mar 23, 2004 2:28 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21904

After shooting my self in the foot, Kevin eloquently described what I would a call desirable objective function for correlation: In other words, adding equal slope to a negative correlated series resulted in a highly correlated pair. Wait, but I actually want a portfolio behavior that's smooth and g...
by lperepol
Tue Mar 23, 2004 8:14 am
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21904

Omit this is message , it is erroeneous beyond repair!!!

Omit this is message , it is erroeneous beyond repair!!! I looking for comments on alternative objective functions of correlation and diversification. Here is some of my reasoning. (Omit this is faliciuos) Take two instruments A and B. such that correlation(A, B) = 0 We now have zero risk and a zero...
by lperepol
Mon Mar 22, 2004 10:04 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21904

I am not sure if it would be that simple if you look at a portfolio. I am thinking in terms of combinations of n distinct instruments of one unit. C(n,r) = n!/(r!(n-r)! For arbitrary r the combinations increase and increase more if one allows pyramiding of instrument units. In addition, the resultan...
by lperepol
Mon Mar 22, 2004 10:31 am
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21904

Puzzling Correlation

I have been kicking the can around about correlation. My concern is that correlation is backward looking and thus is use for trading in the “now “is limited. Any type of diversification is a good thing.

Say we have two time series A and B.

Then we construct a table

<table ALIGN=â€
by lperepol
Wed Mar 17, 2004 1:34 am
Forum: Trend Indicators and Signals
Topic: Wavelets
Replies: 4
Views: 4889

Re: Wavelets

Does anyone have Wavelet experience. I am wanting to reproduce a wavelt filter, specifically Symlet4, level 5. I have the specicifcation from Matlab but wish to reproduce this filter outside the Matlab environment. Has anyone worked on this type of issue before. Bruce you might want to look at R ht...
by lperepol
Tue Mar 09, 2004 1:28 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 118544

Kevin What leads me to say this is that markets (i.e. unique symbols) trade differently. ... assigning a fixed stop amount to different markets Do the original turtle rules distinguish stops and entries for different markets? I am also puzzling over this idea. A stock like MU trades at lower entry a...
by lperepol
Sat Mar 06, 2004 11:42 am
Forum: Stocks
Topic: Why don't these guys trade stocks?
Replies: 11
Views: 12490

This is not a completely mechanical trend following approach. I am talking about something that can be backtested. If you choose your signals at random, how can you backtest this? How do you know your results will be the same in the future? How do you know that buying 52 week highs with loose stops...
by lperepol
Sat Mar 06, 2004 9:14 am
Forum: Stocks
Topic: Why don't these guys trade stocks?
Replies: 11
Views: 12490

trendguy, Try using larger time frames for moving averages and breakouts. Trade small portions -- diversify. Separate longs from shorts. Long side usually does better. When you get multiple signals choose siganls at random and create a baseline. Then implement a chooser later. Trends are hard to pre...