Search found 49 matches

by Old European
Sat Dec 18, 2004 2:55 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75192

Roscoe,

I never ever perform tests without dynamic position sizing at the market portfolio level.

Cheers,

Old European
by Old European
Fri Dec 17, 2004 1:59 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75192

PruBear, It is definitively possible to come up with single systems with a MAR ratio of 2 or higher without optimizing too aggressively. The procedure I use is the following. I first define what I call a 'generic market universe'. It is simply the universe that consists of all the futures markets th...
by Old European
Mon Sep 06, 2004 2:06 am
Forum: Data Providers and other non testing software
Topic: Whats happened to Troy (oowdg)??
Replies: 25
Views: 19055

The OOWDG data updating service still isn't functioning this morning.

Indeed maybe it's hurricane Frances, but how about contingency planning, backup facilities, ...? :evil:
by Old European
Fri Sep 03, 2004 7:46 am
Forum: Data Providers and other non testing software
Topic: Whats happened to Troy (oowdg)??
Replies: 25
Views: 19055

... and for the first time since the beginning of my subscription the OOWDG data updating service isn't functioning this morning ...
by Old European
Fri Aug 13, 2004 6:58 am
Forum: Testing and Simulation
Topic: Ideal Timing for Large Lump Sum Investment
Replies: 8
Views: 5387

Shakyamuni, Thanks for bringing Tom Basso's paper to my attention. Seems to confirm my point. Sir G, Indeed 'buying death at a discount isn't really a deal'. In my previous life as a discretionary fund manager I always tried to avoid throwing good money after bad money and I considered 'averaging do...
by Old European
Fri Aug 13, 2004 5:16 am
Forum: Brokers
Topic: Lump Sum Investing
Replies: 2
Views: 3583

TC and Richard,

Thanks for your comments!

Old European
by Old European
Sat Aug 07, 2004 9:30 am
Forum: Testing and Simulation
Topic: Ideal Timing for Large Lump Sum Investment
Replies: 8
Views: 5387

Ideal Timing for Large Lump Sum Investment

I'd like to start up a small discussion on the ideal timing for an initial or additional large lump sum investment in mechanical systems. In my previous life as a discretionary fund manager, I always tried to minimize the risk of poor investment timing by spreading the initial investment of a newly ...
by Old European
Fri Jul 16, 2004 3:08 am
Forum: Testing and Simulation
Topic: ATR Channel B/o System
Replies: 12
Views: 9305

Chris, I've also been playing around with the ATR Channel Breakout system. It is certainly possible to come up with a quite robust system with a MAR of 1.75 or more in tests over more than 20 years, with a portfolio of approximately 30 futures markets and under very reasonable assumptions for e.g. e...
by Old European
Tue Jun 01, 2004 4:56 pm
Forum: Trader Psychology
Topic: Are You Suited to Trend Following
Replies: 42
Views: 54664

Reasonably low on N, reasonably low on O and reasonably high on C: 3 out of 3! Should therefore have the potential to make it as a mechanical trader :D . But I also know that I'll have to keep my feet on the ground :wink: : only reasonably low on N, reasonably low on O and reasonably high on C. Old ...