Search found 203 matches

by rhc
Sat Jul 23, 2011 4:40 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9935

where are you seeing these spreads traded with volume of some desription or are you synthetocally designing your own ? c Chris, Hi, IB has a tool called Spread trader which trades, well, . . . spreads. (I'm sure most online brokers would do the same) It seems quite an active market with better bid ...
by rhc
Sat Jul 23, 2011 4:34 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9935

This is not really answering the question but . . . . . . , When I’m getting near to the date where I roll a contract from one delivery month to the next delivery month I always like to plot a chart of the spread. (i.e calendar spread) just to see what I can see. I notice that, depending on the tr...
by rhc
Tue Jul 19, 2011 5:15 pm
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9683

With that long introduction, my question is, what types of systems would one trade along with a long term trend following system to smooth the equity curve? I’ve found, (through research not direct experience . .yet!) that blending 2 slightly different versions of the system that I’m currently ...
by rhc
Mon Jul 18, 2011 1:49 am
Forum: Brokers
Topic: Brokers and Disaster Safeguards
Replies: 2
Views: 2900

. . . . . . physical incapacity (for any reason). . . . . . . . . . . there is the nightmare scenario of being stuck in open positions whilst unable to get in contact to issue instructions. One way to minimise this risk is to have fixed stops that are IN the market on all open positions. Another, i...
by rhc
Tue Jul 05, 2011 3:10 am
Forum: Money Management
Topic: How to determine the optimial risk levels?
Replies: 3
Views: 3178

. . . does anyone have any suggestions on how to determine the optimial risk levels for portifolio Ed Seykota, on his website discusses the topic of risk and calculates the optimal risk for a coin toss game with various payoffs. Perhaps you can find some useful information there. Here is the link; ...
by rhc
Sun Jul 03, 2011 10:16 pm
Forum: Money Management
Topic: Causes of Drawdown
Replies: 3
Views: 3116

Please help me understand why a seemingly good system would go through a prolonged 50% drawdown.

Having never personally lived through one of these, I am trying to envision the circumstances that would drive such a downturn in performance.
Since you have said it’s a “goodâ€
by rhc
Sat Jun 04, 2011 10:19 am
Forum: Testing and Simulation
Topic: Robust Optimization Question
Replies: 7
Views: 3558

Further to the above excellent suggestions, I also like to perform rolling test windows using the "start date stepping" feature in TB You have defined your prefered parameters over a nice long slice of time but how do those perform in (say) 5 year rolling blocs? i.e. from 1981-1986, then from 1982-1...
by rhc
Fri Mar 18, 2011 3:13 am
Forum: Data Providers and other non testing software
Topic: Data for the SPI200
Replies: 2
Views: 2132

Hi Aaron, I just did a quick Google search using the search phrase, "SFE intraday data" Quite a few interesting tidbits came up. One of which was this tickdata link; http://www.tickdata.com/products/futures/available-futures-data/ As you can see from this link, they do supply data for the ASX SPI 20...
by rhc
Fri Feb 18, 2011 8:59 pm
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 7638

Sluggo says; I'm curious to know, what tradeoffs have YOU made, what stunts / tricks / speed governors have you installed, that hurt your performance but you did it anyway? I like to use the Weekly timeframe for trading both stocks and futures. (download data over the weekend, review orders over the...
by rhc
Wed Feb 16, 2011 10:21 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30050

Hi Sluggo, I finally found some spare time and read your contribution above. Yet another thought provoking thread. This is great stuff Thanks ever so kindly for sharing this. In fact thanks for sharing all your posts & comments including this classic which is very much related to the above and has b...
by rhc
Wed Feb 16, 2011 5:39 am
Forum: Trader Psychology
Topic: A strong argument FOR systematic trading.
Replies: 1
Views: 3374

A strong argument FOR systematic trading.

Excerpt from a Washington Post article on 6th Feb. 2011 titled “Why politics and investing don’t mixâ€
by rhc
Mon Jan 31, 2011 5:23 pm
Forum: Brokers
Topic: Backup trading account
Replies: 2
Views: 2866

I suppose the ideal situation would be to have;
1) a backup trading account (as IB suggests)
2) a backup computer/laptop
3) a backup copy of Blox on the backup computer/laptop
4) a backup internet service provider

Personally, all I have is item 2)
by rhc
Mon Jan 31, 2011 4:57 pm
Forum: Data Providers and other non testing software
Topic: Trading Record Keeping Software
Replies: 8
Views: 4900

Trendcatcher, Hi,
After you've had a chance to use & become familiar with the Stator software perhaps you could post your thoughts on it.
I (and perhaps others) would be interested to hear your opinions.
by rhc
Sat Jan 29, 2011 7:14 am
Forum: Data Providers and other non testing software
Topic: Trading Record Keeping Software
Replies: 8
Views: 4900

There is a not-for-free software product called 'Stator' which bills itself as the "new standard in portfolio management" and allows you to "manage all your trading and investment activities" I don't use it , therefore I don't really know too much about it but it might be able to do what you want (i...
by rhc
Wed Dec 22, 2010 2:08 pm
Forum: Data Providers and other non testing software
Topic: NORGATE data
Replies: 21
Views: 11533

From the Premium data website;
http://www.premiumdata.net/products/datatools/

Under the heading “Data Formatâ€
by rhc
Mon Dec 13, 2010 12:21 am
Forum: Testing and Simulation
Topic: Longest Drawdown
Replies: 1
Views: 1697

Here (**LINK**) is one long term trend following system that had a drawdown length of 11.7 months. It was then reduced to 7.8 months by employing an additional simple exit rule.
This represents a 33.33% reduction in drawdown length (for THAT particular system)
by rhc
Thu Nov 04, 2010 10:03 pm
Forum: Testing and Simulation
Topic: Four systems, One small portfolio and Cotton trading
Replies: 6
Views: 3925

@alp;

In your actual trading account are you long the Dec.2010 Cotton Contract or have you already rolled into Mar.2011?
Thanks,
by rhc
Wed Oct 27, 2010 12:57 am
Forum: Testing and Simulation
Topic: How to trade a "Blow-Off Top" chart pattern?
Replies: 3
Views: 2944

How to trade a "Blow-Off Top" chart pattern?

The Cotton ‘rubber-band’ seems quite stretched & ripe for a snap back. . . . but then it also seemed that way back in mid-late September. So, how does one handle a ‘blow off’ top like this one? One thing you might do is gradually scale-out (exit the position in pieces), at higher and higher ...
by rhc
Thu Oct 21, 2010 9:26 am
Forum: Testing and Simulation
Topic: One system, two portfolios, 24000 parameter settings
Replies: 9
Views: 6510

For the past 5 years or so, I've consistently noticed a trend in my research results: diversifying the portfolio of traded futures markets, beyond the boundaries of the United States, has been very profitable Since 2002 the US dollar Index has generally been down, therefore investments made by Amer...
by rhc
Tue Jun 22, 2010 3:22 am
Forum: Data Providers and other non testing software
Topic: NORGATE data
Replies: 21
Views: 11533

Tokido, Hi, You might like to look at this link below which details how to set up Trading Blox to 'work' with Norgate data http://www.premiumdata.net/support/trading-blox.php If you don't get your answer there, you might then like to send the Norgate people a message at; support@premiumdata.net I've...