Search found 367 matches

by Forum Mgmnt
Thu Jul 20, 2006 4:10 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

Leverage and asset-class issues aside, I think you'd be far better off trading sector ETFs, or two or three of the most liquid individual stocks as part of a trend-following portfolio rather than stock indices from a diversification perspective since they are much closer to speculative instruments. ...
by Forum Mgmnt
Thu Jul 20, 2006 9:59 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

This discussion is interesting because it revolves around one of the fundamental issues with backtesting in general: "the character of markets over time." Some believe that various markets are different and should be treated as such. While one could certainly find plenty of relatively short-term his...
by Forum Mgmnt
Wed Jul 19, 2006 11:01 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

How does WealthLab determine how much capital is required for futures trades? I assume it has some margin estimates on a per market basis somewhere. When trading stocks there will be problems running out of cash but futures are much more highly leveraged so you don't run into this problem unless you...
by Forum Mgmnt
Wed Jul 19, 2006 12:06 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

Section 6.4 of the WealthLab User's Guide 4.0 shows you how to do portfolio-level optimization BTW.

- Forum Mgmnt
by Forum Mgmnt
Wed Jul 19, 2006 10:10 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

BARLI, I still don't understand the WealthLab-specific issue. Does it not let you run optimizations of parameter values over an entire portfolio at the same time? I am attaching a simulation run from Trading Blox for the Dual MA system. This shows the results of running optimizations on a portfolio ...
by Forum Mgmnt
Tue Jul 18, 2006 5:27 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

BARLI,

I'm not sure what you mean by "taking trades according with the current signals generated and buying power left", or how this would not represent the truth.
by Forum Mgmnt
Mon Jul 17, 2006 4:06 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33642

Barli, I don't think optimizing on single markets is a good idea. It represents curve fitting. A method that works across many different markets over many years is much more likely to continue working across those markets. It is very easy to come up with excellent results when optimizing one market....
by Forum Mgmnt
Mon Jul 10, 2006 9:34 am
Forum: Testing Software
Topic: Trading Blox trial - interesting results
Replies: 3
Views: 4835

You can clearly see that the number of trades is lower with a smaller account so there is something about the trades being filtered which is not as profitable as the ones you are taking. Try examining the trade logs in each case. Check the preference item for logging trades and look at the file trad...
by Forum Mgmnt
Mon Jul 10, 2006 9:29 am
Forum: Testing Software
Topic: Trading Blox trial - questions
Replies: 3
Views: 4747

1) You can export test results using the right mouse button. You can also use PRINT statements to write out anything you want to a CSV file for excel. The list of trades is exported if you select the preference for it. 2) We recommend CSI. They give you access to the unadjusted price which lets you ...
by Forum Mgmnt
Fri Jul 07, 2006 10:04 am
Forum: Testing Software
Topic: Traders Studio vs. Trading Blox
Replies: 5
Views: 5655

Trading Blox version 2.1 allows time series variables which can be plotted and accessed just like other indicators. You can create as many of these as you would like.

- Forum Mgmnt
by Forum Mgmnt
Wed Jun 28, 2006 8:58 am
Forum: Futures Markets
Topic: Orange Juice Liquidity
Replies: 10
Views: 6307

I like it when OJ freezes.

My mom used to serve us popsicles made of the stuff :)

- Forum Mgmnt
by Forum Mgmnt
Mon Jun 26, 2006 10:20 am
Forum: Futures Markets
Topic: daily volume vs tick moves
Replies: 5
Views: 3545

True a limit order higher than the current market for buys is effectively a market order up until that price. I was referring to making limit orders no higher than the current bid (in the case of buys). Another effect is that insiders and market markers seeing a limit bid might move the market since...
by Forum Mgmnt
Thu Jun 22, 2006 1:03 pm
Forum: Futures Markets
Topic: daily volume vs tick moves
Replies: 5
Views: 3545

Depends on the order type.

A buy market order of one contract will move the market one tick if the last trade was at the bid and the ask is one tick higher.

A limit order of any size won't move the market.

- Forum Mgmnt
by Forum Mgmnt
Sat Jun 17, 2006 8:36 am
Forum: Testing and Simulation
Topic: Optimization question
Replies: 21
Views: 12855

RedRock,

What, if any, reporting do you have turned on for Large Tests?

- Forum Mgmnt
by Forum Mgmnt
Fri Jun 16, 2006 3:39 pm
Forum: Testing and Simulation
Topic: Optimization question
Replies: 21
Views: 12855

c.f. for people that might be interested in having/building a system specifically for testing, is the testing usually more CPU or RAM bound? Will tradingblox take full advantange of SMP or dual core processors? It depends on your testing and how efficiently your software uses the RAM that it has, a...
by Forum Mgmnt
Fri Jun 16, 2006 12:11 pm
Forum: Testing and Simulation
Topic: Optimization question
Replies: 21
Views: 12855

Oh, I should add that optimizing on one measure (e.g. profit like you did above) does not give you any indication that the parameters are optimal for others like Maximum Drawdown, Maximum Drawdown Length, etc. so you need to run other optimizations for these and come up with something that gives you...
by Forum Mgmnt
Fri Jun 16, 2006 11:42 am
Forum: Testing and Simulation
Topic: Optimization question
Replies: 21
Views: 12855

Barli, One of the reasons we spent so much time working on the performance of TradingBlox is because of the time it takes to run these sorts of optimizations. In the example you cite, there are 63,384 individual tests required to do a complete optimization. Even with Trading Blox (which is about 50 ...
by Forum Mgmnt
Wed Jun 14, 2006 11:00 pm
Forum: Testing and Simulation
Topic: Optimization question
Replies: 21
Views: 12855

Ideal Maximum CPU temperature depends on the specific CPU. Check with the manufacturer.

Just curious, how many different iterations are there that it takes 25 days to complete?

Are you running Wealth Lab?

- Forum Mgmnt
by Forum Mgmnt
Sun May 14, 2006 9:14 am
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29666

As one who has written software that analyzes trading systems for over 20 years and one who has also written the computer code that draws charts, lines, and indicators, I'll say to you that if you can get a computer to draw it, then there exists some internal representation that the computer underst...
by Forum Mgmnt
Fri May 12, 2006 5:11 pm
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29666

Uhm, don't you Brits mean "leverage"? :wink: