Search found 42 matches

by trackstar
Mon Apr 23, 2012 5:55 pm
Forum: Testing and Simulation
Topic: Testing Methods of Ranking Opportunities
Replies: 4
Views: 2165

Testing Methods of Ranking Opportunities

Over the past few days I have been gathering data on ranking opportunities. So far I would say that I have been unsuccessful in finding a solid method. I present my data to see if anyone has done similar simulations. I ran 7 methods of ranking over 2 different trading systems to see if I could find ...
by trackstar
Wed Mar 28, 2012 5:55 pm
Forum: Trend Indicators and Signals
Topic: Transtrend way of measuring market "trendiness": T
Replies: 8
Views: 8186

I went ahead and programmed this as well. After I analyzed it for a bit I think there are some modifications that could be made to do more of what Roger described in his post. "When Jez published his module of the TrendPot idea, I found it interesting because the measurement of Trendiness is somethi...
by trackstar
Tue Mar 27, 2012 5:40 pm
Forum: Testing and Simulation
Topic: High win %
Replies: 5
Views: 2300

well, I just wasted the afternoon trying to get an 80% win rate system....I can't get above 67%. Win:Loss is 1.7:1, not bad.

It seems I would need another input besides a moving average to achieve a higher win rate....
by trackstar
Tue Mar 27, 2012 4:05 pm
Forum: Testing and Simulation
Topic: High win %
Replies: 5
Views: 2300

would you call this system trendfollowing?
by trackstar
Thu Mar 15, 2012 11:50 am
Forum: Money Management
Topic: Margin To Equity - Futures portfolios
Replies: 14
Views: 14660

thanks for that Dean!
by trackstar
Thu Mar 15, 2012 11:49 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6323

I am adding a bump, very interested in his reply!
by trackstar
Thu Feb 09, 2012 4:19 pm
Forum: Futures Markets
Topic: The improvement of commissions over time
Replies: 2
Views: 1690

Re: The improvement of commissions over time

Alexander Elder writes in his 1993 book "Trading for a Living": "You can expected to pay a ... commission of anywhere from $12 to $100 for every futures contract you trade. Big traders ... pay less; small traders ... pay more. ... For example, you may pay $30 to trade a single contract of corn ..."...
by trackstar
Thu Feb 02, 2012 1:37 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34629

totally agree with you Dean, I closed my FB account years ago.....
by trackstar
Tue Jan 31, 2012 11:59 am
Forum: Futures Markets
Topic: Eurodollar (ED) - limited upside - PART 2
Replies: 8
Views: 2551

Re: Eurodollar (ED) - limited upside - PART 2

June Eurodollar (ED) futures close Fri 27 Jan 2012 at 99.5150 ‘System1b’ says go long these futures. My understanding is that ED’s are capped at 100 (which implies a nominal interest rate of zero percent) They cannot trade above 100. (or so says conventional wisdom) A calculation reveals that...
by trackstar
Mon Jan 30, 2012 1:40 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21533

Here is an exercise I have for you. I will send you all the historical data of all the CTAs including those who blew out and are no longer in today’s survivorship bias results. I will remove their names so you have no way to peak into the future to know how they would have performed. THEN tell me...
by trackstar
Tue Jan 17, 2012 4:07 pm
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7443

probably didnt trade short much.....


Hopefully this is more than the sell the open and buy the close......taking advantage of the so-called "manipulation".
by trackstar
Tue Jan 17, 2012 10:24 am
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7797

hmmm, VBA may not be as fast as C++ but in many cases you can fix its weak spots with other programs, such as SQL Server. In any case, if you are already comfortable with VBA I would venture to say you should stick with it rather than starting fresh with a new language.
by trackstar
Wed Jan 11, 2012 10:54 am
Forum: Testing and Simulation
Topic: This is good
Replies: 7
Views: 3122

There is no way anyone can make a meaningful assessment without more data than is provided. "How many trades over this timeframe?" would be a starting point question I would have. "How much is being bet per trade?" would be the next.
by trackstar
Wed Dec 28, 2011 3:24 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7797

Great topic. I recently was at a crossroads of moving over to Trading Blox from various other platforms. I did a trial and found out that it was mainly a closed environment in which I would have little access to code new pieces to test (although still the best option around). I then decided to keep ...
by trackstar
Fri Dec 16, 2011 11:36 am
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12336

[quote="DPH"]Clearly this is the wrong forum for this discussion. The typical superficial responses abound. Yes, I agree that the “weed smokinâ€
by trackstar
Sat Dec 10, 2011 11:25 am
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 19400

Thanks for posting RHC and Moto!
by trackstar
Thu Dec 01, 2011 1:14 pm
Forum: Trader Psychology
Topic: Serious Question to Forum Traders
Replies: 15
Views: 8642

Well the dollar has tanked during that time and Gold has gone up about 300%. How could the account value be less with Gold as the base asset? Is there any interest being earned on the account during the timeframe of this test?
by trackstar
Mon Nov 14, 2011 1:39 pm
Forum: Testing and Simulation
Topic: Technical Paper on Monte Carlo Simulation by Mark Johnson
Replies: 4
Views: 5223

has this file been re-hosted in another location on the server or is it gone forever?
by trackstar
Fri Nov 04, 2011 12:29 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11309

I would argue that not much has changed. I think its likely that the volatility of volatility has increased. But it could be a function of more participation in general. I'm not sure I agree much with the statement that Trendfollowers are becoming so common that the edge is wearing down. Central ban...
by trackstar
Wed Nov 02, 2011 6:07 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5420

my guess would be that b-cat hit the nail on the head......

thanks for posting that data!