Search found 729 matches

by AFJ Garner
Fri Jun 13, 2014 11:26 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5623

Thanks Roger, I'll give that a try. Oddly enough, as it is CSI's fact sheets is supposed to append A for listed and I for inactive to the stocksinfo.txt file........but in the cases where I have used the appropriate procedure to write files for an entire market, this feature seem to have gone by the...
by AFJ Garner
Fri Jun 13, 2014 4:02 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5623

CSI Stocks: Active/Inactive

I recently built text files for the entire 26,000 US mutual funds in CSI's database and ran a test on the entire universe in a single test. TB just about coped with it: well done Trading Blox. The bad news is that it is vital to know which are current and which are inactive and the disappointment is...
by AFJ Garner
Wed Jun 11, 2014 10:31 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 2977

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by AFJ Garner
Wed Jun 11, 2014 10:31 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 2977

Backtesting current S&P 500 constituents is not a great idea. A better idea would be to test all constituents past and present, listed or de-listed. And as Sluggo says decide if you add and then drop stocks as they come in and then drop out of the index. Another point to consider is position sizing....
by AFJ Garner
Mon May 12, 2014 4:09 pm
Forum: Stocks
Topic: Round Lots - US markets
Replies: 2
Views: 2830

Round Lots - US markets

Are most people testing and or trading in round or odd lots in the US? Obviously much trading in Google is in odd lots but...

Are people using 100 or 1 as a round lot in testing? How are odd lot fills these days in reality?
by AFJ Garner
Thu Feb 27, 2014 3:57 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70154

As Sluggo says, all the information and even the Blox are here for you to test it out for yourself. In general you can expect higher profits, a bigger drawdown and increased volatility.
by AFJ Garner
Fri Jan 10, 2014 5:17 am
Forum: Data Providers and other non testing software
Topic: Yahoo Stocks - free Downloaders
Replies: 3
Views: 2648

One other point - I believe Yahoo, Google etc have some limits on downloads and updating which need to be considered. If you want to daily update a few thousand stocks, you may need something like CSI.
by AFJ Garner
Fri Jan 10, 2014 5:16 am
Forum: Data Providers and other non testing software
Topic: Yahoo Stocks - free Downloaders
Replies: 3
Views: 2648

Chris, sorry, I'm not sure which of the various methods you are referring to. The stand alone solution without code I assume? If that does not do what you want it to then you will have to look at the various versions which come with source code which can of course be amended to suit your purposes.
by AFJ Garner
Mon Jan 06, 2014 3:58 am
Forum: Data Providers and other non testing software
Topic: Yahoo Stocks - free Downloaders
Replies: 3
Views: 2648

Yahoo Stocks - free Downloaders

http://tradersplace.net/forum/thread/299/yahoo-stock-data-free-downloader/ I have recently been looking at free stock downloaders for Yahoo, Google. If you want to write your own I have found a couple of excellent samples. Equally, there is one free standalone and ready written application which se...
by AFJ Garner
Sat Sep 28, 2013 9:51 am
Forum: Trend Indicators and Signals
Topic: Why is MACD different on different site?
Replies: 1
Views: 2096

How long is a piece of string? What is the sound of one hand clapping?
by AFJ Garner
Sat Sep 28, 2013 4:58 am
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18244

I second Eric and Sluggo's post. I also highly recommend TB users take a look in the Blox Market Place and down load the excellent random portfolio plug in. I recently ran a couple of thousand random portfolio tests using a balanced 25 instrument portfolio with no overall or sector risk constraints....
by AFJ Garner
Thu Sep 26, 2013 4:14 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18244

Which is why people should keep their allocation low, their leverage low or both. Then they will survive till the good times roll.....
by AFJ Garner
Sat Aug 24, 2013 3:49 am
Forum: Testing and Simulation
Topic: Trading a large number of systems without a large account
Replies: 9
Views: 8963

The more complex a system or concept, the more random the outcome seems to become.
by AFJ Garner
Fri Aug 02, 2013 10:44 am
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3670

Anthony as I understand it random fluctuations (eg coin flips) do not mean revert. The expected average *absolute* deviation from zero is proportional to the square root of the time. This, even though the expected value at any time is 0. Actually they do revert in that you can show that the value p...
by AFJ Garner
Fri Aug 02, 2013 10:20 am
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18244

Agreed on lack of ability to control, fate. Either there exist enough strong, long trends; or not. I talked to the head honcho at Transtrend a couple of years ago about an investment I had there for a FoF: he said exactly the same thing.
by AFJ Garner
Wed Jul 24, 2013 12:41 pm
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16141

Mother Nature (e.g. evolution) and complex adaptive systems (e.g. Lawmaking) works this way too. True but don't let's forget that Mother's Nature is a very severe parent and that 99% of all species ever evolved are now extinct. Which is why some say it's best to emulate the long surviving cockroach...
by AFJ Garner
Thu Jul 11, 2013 8:45 am
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3670

Below you will find a screenshot of the latest version of my random data generator. At some stage I will explain the GUI in greater detail - but it is probably pretty obvious. I have randomised pretty well every element except for “driftâ€
by AFJ Garner
Thu Jun 27, 2013 1:35 pm
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3670

Sorry for the confusion (the result of clumsy copy and pasting). The "other" post can be seen here: http://tradersplace.net/forum/thread/15 ... s-markets/

It gives some charts of rolling period volatility on various real data series.
by AFJ Garner
Thu Jun 27, 2013 9:33 am
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3670

Synthetic Stock Data: how to "correctly" simulate

Synthetic Stock Data: how to "correctly" simulate volatility Now take a look at a chart of the volatility of daily returns for the same rolling periods on a synthetic data series created using GBM and (in the GBM calculations) a fixed, static figure for volatility. Take a look also at the chart of t...
by AFJ Garner
Fri May 31, 2013 3:35 am
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18487

1) How long is a piece of string? Boils down to experimentation: interest rates, PE Ratio, debt to equity, you name it.
2) No, I only trade on price.
3) St Louis Fed, Bank of England, Central Banks in general.