Search found 154 matches

by LeapFrog
Fri May 01, 2009 9:20 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16614

Keith Fitschen (of Abberation fame) gave a presentation a few years back where he presented a study on trend versus countertrend trading approaches. He used over 7,000 equities from 1980 to 2002 and concluded that trend following worked better on commodites and counter trend worked better on equitie...
by LeapFrog
Thu Apr 23, 2009 2:49 pm
Forum: Testing and Simulation
Topic: Futures global settings
Replies: 2
Views: 1909

You might want to add "entry day retracement (%)" to your list, if you use systems with entry day stops (like the Donchian). For this, I'm currently using 50 percent.
by LeapFrog
Fri Apr 17, 2009 10:37 am
Forum: Futures Markets
Topic: London Sugar?
Replies: 10
Views: 5714

I saw that London Sugar down spike too - oh the humanity as Sluggo amusingly put it. Good for Sluggo to still be in his long trades on this one but those stopped out shouldn't feel so bad IMHO (you can always put your positions back on at the market if you believe it is an abberation). As Sluggo has...
by LeapFrog
Thu Mar 12, 2009 10:13 am
Forum: Testing and Simulation
Topic: Shorter term mean reversion system for ETFs
Replies: 7
Views: 4880

Re: Shorter term mean reversion system for ETFs

The system is in the Jan 2009 issue of Stocks and Commodities magazine. The (article) is on their website today; I don't know whether they'll keep it on the site forever, or take it down and urge you to buy a reprint for $9.95. I used to subscribe to this rag some years ago. I stopped and they kept...
by LeapFrog
Fri Mar 06, 2009 9:28 am
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

levijean, just saw your post, have you checked out discussions on this topic from a year ago or so? Although that applied to futures, maybe you can glean something from it for FX. I like the way you think on this one since I also believe in maximizing my margin usage - I see no sense in having my ri...
by LeapFrog
Thu Feb 26, 2009 11:56 am
Forum: Testing and Simulation
Topic: Filtering Trade Signals
Replies: 3
Views: 2063

The second part of your question reminds me of the "parking lot" discussion that can be found elsewhere on the forum. Forum member and hedge fund manager Dean Hoffman seems to have developed a system doing just as you say, although the details are black boxed. Still, his fund performance would sugge...
by LeapFrog
Tue Feb 24, 2009 12:05 pm
Forum: Futures Markets
Topic: List of ~300 Futures contracts retail customers can trade
Replies: 5
Views: 3886

Definitely a few there that my brokers do not offer like Japanese Raw Slik (sic) Futures, Spanish 10 Year Bonds, Non Fat Dry Milk, etc. What would be critical to me is, what sort of quotes does your broker offer? Is it a "live" feed (as are ALL my broker's offerings) or are they delayed? Delayed wou...
by LeapFrog
Mon Feb 23, 2009 12:06 pm
Forum: Data Providers and other non testing software
Topic: CSI vs Pinnacle data ?
Replies: 26
Views: 20526

Just as a follow up to my previous post here, I have since subscribed to CSI data (Fall of 08) and continue to subscribe to Pinnacle Data as well. Have been meaning to do a review and comparison of both but have not found the time. If anyone wants to PM me please do so. In a nutshell, both have pros...
by LeapFrog
Sun Jan 25, 2009 12:58 pm
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10665

Keep 'em coming Adamant - I like your choices. May I add this old chestnut from Yale Uni:-

http://papers.ssrn.com/sol3/papers.cfm? ... _id=560042

Jim Rogers was quoting this study for awhile. I'm reminded of it everytime I try to trade equities and fail miserably...I find futures much safer.
by LeapFrog
Fri Jan 16, 2009 10:45 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10665

adamant wrote:Interview with Jim Simons from 2000.

http://chinese-school.netfirms.com/abac ... imons.html
Thanks for sharing this link - I hadn't seen that one. Anyone contemplating the idea of winning at trading would do well to read this article to know what we are all up against.
by LeapFrog
Wed Dec 31, 2008 11:17 am
Forum: Testing and Simulation
Topic: Testing on Electronic data v Pit data
Replies: 3
Views: 2037

We talked about this issue over a year ago...I know I posted about it as well and looked into various solutions along the lines of what Sluggo suggested above. I like the idea of parsing intraday data around volume and creating synthetic daily bars, effectively throwing out thin volume overnight typ...
by LeapFrog
Thu Oct 30, 2008 10:21 am
Forum: Data Providers and other non testing software
Topic: EOD Data with true electronic close
Replies: 3
Views: 2776

A worthy topic that gets raised again and again over time. My thought is that data is like a dog's breakfast - it's all over the place. Longer term traders prefer the settlement price. Shorter term traders like myself and maybe you, might prefer the "real" electronic session Close. The only solution...
by LeapFrog
Thu Oct 23, 2008 4:27 pm
Forum: Futures Markets
Topic: Trading markets that are electronic & pit
Replies: 13
Views: 7094

RR, I've done the custom symbol ploy - to no avail for the reason you cited - historic data is full of wildcards all over the place.

ladidalimey is talking about something different I thought?
by LeapFrog
Thu Oct 23, 2008 3:13 pm
Forum: Futures Markets
Topic: Trading markets that are electronic & pit
Replies: 13
Views: 7094

Just thought I'd add my thoughts so far. I've been playing around with Tradestation which I use for intra-day stuff. If any of you have TS you might try this. I brought up the electronic data, but within Pit RTH i.e. day session. I then set the number of minutes in each bar to slightly longer than ...
by LeapFrog
Tue Sep 02, 2008 4:03 pm
Forum: Data Providers and other non testing software
Topic: CSI Default screen?
Replies: 11
Views: 6745

CSI responded to my email about this issue and have identified a coding mistake which is causing the window squishing.

Next release will fix it (they have sent me a pre-release which I'm testing for them.)
by LeapFrog
Mon Aug 25, 2008 3:26 pm
Forum: Testing and Simulation
Topic: Robustness vrs New Markets
Replies: 9
Views: 5554

Sluggo - Yeah I like the thermal bbo and I like the idea of limiting heat per sector / group but as per my earlier postings I dont have the skills to program that and I cannot understand why the group risk manager is not working - the one that ships with TB Blox Builder - as I said before Ive got m...
by LeapFrog
Sat Aug 23, 2008 11:30 am
Forum: Testing Software
Topic: Trading system daily reports, an example
Replies: 2
Views: 4410

Golly Gee Willikers! Very impressive indeed - especially to someone like me who can barely find the "Generate Orders" button, let alone insert all the correct PRINT statements in the correct places within my Blox code, find or create the necessary post processing software and have the programming sk...
by LeapFrog
Sat Aug 16, 2008 8:19 pm
Forum: Data Providers and other non testing software
Topic: CSI Default screen?
Replies: 11
Views: 6745

Um, Leap, I don't think hedge funds use CSI Unfair Advantage. For two reasons: (1) Hedge funds generally prefer the institutional data providers and can afford to pay the (incredibly higher) price; (2) Unfair Advantage is not offered to professionals, see their license agreement (here) . CSI's prof...
by LeapFrog
Sat Aug 16, 2008 1:43 pm
Forum: Data Providers and other non testing software
Topic: CSI Default screen?
Replies: 11
Views: 6745

Same as Asamat here Tim - UA in its own directory folder under the C: prompt - XP Pro. Isn't it amazing that a product out for so long with presumably the lions share of the data vendor market for retail and probably a bunch of hedge funds, does something so stupid as not to remember the preferred s...
by LeapFrog
Fri Aug 15, 2008 1:48 pm
Forum: Data Providers and other non testing software
Topic: CSI Default screen?
Replies: 11
Views: 6745

Now we're getting somewhere - clearly this is the devil file. Well, I can open it, change DefaultWindowHeight and hey presto, the window height changes...save it, reopen it...same as when last closed...but, the PortfolioPanel width is a different story. When I change that setting manually, open UA, ...