Search found 367 matches

by Forum Mgmnt
Thu May 11, 2006 2:26 pm
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29799

I wasn't trying to be harsh or to imply that you were guessing only that charts and chart formations are fuzzier than specific rules that can be described in language. You probably have some very specific rules in mind when you described your ideas above. What I see is a chart with a bunch of lines ...
by Forum Mgmnt
Thu May 11, 2006 10:22 am
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29799

Yes, most of us have come to the conclusion that if we have some specific understanding of what it is that we do to make money then we can describe that in terms of algorithms that we can specifically define. If we are sufficiently skilled and have the appropriate tools we can run simulations or "wh...
by Forum Mgmnt
Tue May 09, 2006 11:21 am
Forum: Futures Markets
Topic: Futures Market Data Pitfalls - Newbies Beware
Replies: 18
Views: 10292

I should add that CSI users need to be especially careful. The meaning of the "portfile.adm" which CSI uses internally to define the settings for a portfolio, including months and rolling algorithm file can change as CSI releases new versions of Unfair Advantage. So sometimes even having the same "p...
by Forum Mgmnt
Tue May 09, 2006 11:15 am
Forum: Futures Markets
Topic: S&P CNX Nifty CSI#742 "NFI"
Replies: 4
Views: 3580

Several posts that followed were split into a new topic:

Futures Market Data Pitfalls - Newbies Beware

as they were of more general interest than the topic here might imply.

- Forum Mgmnt[/url]
by Forum Mgmnt
Tue May 09, 2006 10:54 am
Forum: Testing and Simulation
Topic: Reoptimization( Model Shelf Life )
Replies: 2
Views: 3668

I'm sure that there is something to this idea. Markets go through phases (smooth trending, consolidating, range bound, volatile but trending, etc.) and strategies that are dependent on a market being in a certain phase will not last as long as strategies that work independent of that phase. I don't ...
by Forum Mgmnt
Tue May 09, 2006 10:09 am
Forum: Futures Markets
Topic: Futures Market Data Pitfalls - Newbies Beware
Replies: 18
Views: 10292

I looked at the CSI contract information a few years ago and found it so riddled with errors for the Big Point Value that I decided not to use their data as the basis for our starting numbers. Instead, I went to the exchange web sites and looked at the contract specifications and then manually deter...
by Forum Mgmnt
Thu Apr 20, 2006 1:12 am
Forum: Trend Indicators and Signals
Topic: Adaptive systems vs. curve fitting
Replies: 18
Views: 21107

Barli, I've made these sorts of mistakes myself, however, the type of peeking you refer to is not possible in TradingBlox because unlike with products like WealthLab, with TradingBlox you can only see the data at any point in the simulation that you would actually be able to see in real life. We won...
by Forum Mgmnt
Wed Apr 19, 2006 7:59 pm
Forum: Trend Indicators and Signals
Topic: Adaptive systems vs. curve fitting
Replies: 18
Views: 21107

It shouldn't really be possible to "peek" as in use postdictive data with TBB. However, I've often seen this problem with very small stops and the "Entry Day Retracement (%)" parameter set to 0%. If you change the value of the Global Parameter "Entry Day Retracement (%)" to 100%, how does this affec...
by Forum Mgmnt
Tue Apr 18, 2006 4:49 pm
Forum: Money Management
Topic: A method to monitor and adjust system's risk?
Replies: 5
Views: 5975

Paul's definition matches TradingBlox internal notion of risk. TradingBlox will graph risk over the duration of the test. You can access the risk at the system, group or correlated market level if you are using the TradingBlox Builder. You can easily do the same sorts of things as you can with Tradi...
by Forum Mgmnt
Fri Apr 14, 2006 10:07 am
Forum: Testing and Simulation
Topic: MAR Ratio, etc.
Replies: 12
Views: 12908

They are both valid acronyms. Since M, A, and R are all common letters; it does not surprise me that we have two acronyms using the same letters; acronyms being what they are, just shorthand representations. So we have to pull their meaning from context. If you see the word "ratio" after MAR, MAR re...
by Forum Mgmnt
Sun Apr 09, 2006 10:38 am
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21531

As I mentioned in the turtle rules document, slippage can be controlled. As turtles we never used stop orders. We had prices we used as mental stops but we almost always used limit orders. Occasionally, if I knew the floor broker who would be handling the order personally, I would use a market order...
by Forum Mgmnt
Sun Mar 26, 2006 7:39 am
Forum: Testing and Simulation
Topic: Is Monte Carlo Analysis Useful?
Replies: 6
Views: 5600

I had the same gut reaction to Monte Carlo analysis of Trading Systems when I first examined the idea. However, I now see it and its output like any other statistic from any simulation, more information useful for some things but with limitations or shortcomings; If we examined any statistic: MAR, S...
by Forum Mgmnt
Sun Mar 26, 2006 7:06 am
Forum: Testing and Simulation
Topic: Is Monte Carlo Analysis Useful?
Replies: 6
Views: 5600

Is Monte Carlo Analysis Useful?

[MODERATOR'S NOTE: This topic was split from one in the Trading Blox Support Area discussing the new Monte Carlo feature in Trading Blox.] I first want to say that I'm convinced that c.f. (and sluggo) is doing a great job in implementing Monte Carlo in TBB. The graphs presented so far look really re...
by Forum Mgmnt
Sat Mar 04, 2006 1:15 pm
Forum: Custom C++ or Java Platforms
Topic: Custom Java system, Plus self intro
Replies: 5
Views: 10162

Java will always lose relative to C++. C++ will always lose relative to C. Most of the time I have seen significant performance differences, they have been due to design inefficiencies rather than compiled vs. interpreted issues. This is especially true with modern JIT Java Virtual Machines. - Foru...
by Forum Mgmnt
Sun Feb 26, 2006 9:34 am
Forum: Testing Software
Topic: Margins in Foreign Markets
Replies: 6
Views: 5606

Any exit, including contract rolls, partial exits, etc. converts back to $USD.

Even the open equity calculations at the close of each day account for the conversion back to $USD.

-c.f.
by Forum Mgmnt
Sat Feb 25, 2006 8:38 am
Forum: Testing Software
Topic: Margins in Foreign Markets
Replies: 6
Views: 5606

TBB assumes that the USD are converted to the futures' base currency when entering and then converted back upon exiting the position.

As pointed out in the other thread, this number can be different because of currency conversion losses or gains.

- Forum Mgmnt
by Forum Mgmnt
Sun May 01, 2005 7:47 am
Forum: Testing and Simulation
Topic: Continuous Reliability
Replies: 1
Views: 1977

Continuous contracts are not inherently unreliable, however, you should take into account the costs of doing a contract roll if you do any backtesting using continuous contracts. I wouldn't let this aspect of futures trading scare you away. A much more difficult problem for most people is the amount...
by Forum Mgmnt
Tue Feb 22, 2005 5:51 pm
Forum: Brokers
Topic: Asian Brokers and Trading Centers
Replies: 2
Views: 3958

We are tentatively thinking of going to Hong Kong and Singapore, and perhaps Syndey while we are on this trip and may schedule some meetings, free seminars, and/or demonstrations while we are there. Are there other cities we should seriously consider? Asia's pretty far from the Virgins Islands so we...
by Forum Mgmnt
Sun Feb 13, 2005 9:40 am
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 5300

This is just one of the issues that confronts those who are trying to test using insufficient information. As discussed, end-of-day data (actually anything but actual tick data) is insufficient to determine the order of events within the day (or bar for intraday data). The specific problem of trade ...
by Forum Mgmnt
Wed Jan 05, 2005 10:45 am
Forum: Testing Software
Topic: Just my experiences so far..
Replies: 1
Views: 3221

Search for the word whipsaw and you'll find several discussions on this.

- Forum Mgmnt