Search found 139 matches

by marriot
Wed Jun 13, 2012 5:28 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11656

>CAGR ranged from 7.84 to 19.99%
MAR ranged from 0.13 to 0.57
Max DD ranged from 29.3% to 65.8%

Now i would take the 65.8 %DD portfolio and i would try to play
on with parameters, stops or whatever.

But would not be easier do these test on all 160 futures ?
( i do not count Lme)
by marriot
Wed Jun 13, 2012 1:19 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11656

>If, therefore, you are running a system from 1965 to date with static parameters using a portfolio of (say) 190 instruments, it is hardly surprising if max DD increases as more instruments come on stream. :roll: So,also a portfolio with fixed instrument traded well before 2000 is not the answer. If...
by marriot
Sun Jun 10, 2012 4:21 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19886

We do not have Data from preihstoric men sending messages with smoke.
But with what we have, we can find best parameters from 1965 to 2008, from 1990 to 2008, from 2000 to 2008 and finally see what set is robust.
It is my opinion that "More" is not always better.
by marriot
Sun Jun 10, 2012 4:10 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19886

Whatever system you test, starting from 2000, DD begin to be bigger.
For what is worth, i think that changes are related to Internet.
Trading made easy for everyone plus automated trades for the most skilled people.
by marriot
Sun Jun 10, 2012 3:52 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19886

But if you have all the possibile instrument in portfolio, for sure you are not cheathing.
by marriot
Wed May 30, 2012 6:50 am
Forum: Testing and Simulation
Topic: How many years in back testing?
Replies: 3
Views: 1762

How many years in back testing?

Is it true that is better test using all data ?
Is it true that would be better have more ?
Is ti true that markets have not changed ?
A test based on last 10, 20, 40 years of data, for how long will be in sinc with future?

:D
by marriot
Wed May 23, 2012 4:49 am
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 2956

What ever i try i need at least 15.000 usd starting and never get less then
70% DD.
And i still do not belive he was already using heat control at that time.
Could it be that he was just a "lucky bastard" ?
:D

well,at least at the begining.
by marriot
Tue May 22, 2012 7:21 am
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 2956

On 1977 there were 27 futures available. W,C,S,O,BO,SM,SI,PL,LC,SB,CC,HG,LH,KW,OJ,CT,LB,FC,JY,CD,BP,SF,KC,GC, PA,US. I don't know if Ed was trading all markets and if i he was trading more then one sistem. I don't think he was too much sophisticated at that time. We can assume he was trading a simpl...
by marriot
Mon May 21, 2012 3:26 pm
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 2956

Exercise N° 1

Reproduce known Ed Seykota's results.

Starting equity on 1972, five thousand dollars.
Ending equity on 1988: fifteen millons.
by marriot
Mon Mar 05, 2012 2:10 pm
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 5846

Really amazing Ian.
We agree that Winton has cut volatility.
Compare results with Mulvaney.
So i ask again: in your opinion Mr Winton has cut DD or Targets ?
I still suspect it was a kind of " Oh my dear" annual & global results profit targets.
Do you think it is possible?
by marriot
Sun Mar 04, 2012 2:38 pm
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 5846

annual profit target

Attached is Winton performance.
Looking at 2008 / 2010 i wonder if they have some kind of proifit target whose code is something like "oh my dear, we are up 20 per cent this year, let us exit almost all".
Do you think it is possible code this?
by marriot
Tue Feb 28, 2012 4:42 am
Forum: Futures Markets
Topic: Finessing MOO orders
Replies: 5
Views: 2590

Having intraday data test should be something like : buy today at limit, then if not executed buy on close.
But i wonder if it is not " easier" just trade with stop order.
by marriot
Mon Feb 27, 2012 12:18 pm
Forum: Futures Markets
Topic: Finessing MOO orders
Replies: 5
Views: 2590

RedRock wrote:Chose to move towards less tuning and greater robustness. And in the process, eliminating an issue re complicated execution sequence and position monitoring requirements.... ie Simplified my life.
by marriot
Thu Feb 23, 2012 2:26 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 8627

Time to time there are magic moments. Tulips, railroads, airplane, telephones, internet...what would be the next? The one from Leonardo was the perfect unusual time. A never seen before low for a commodities. I think this is the best you can ask from the life. I have seen, but not profit from, telep...
by marriot
Wed Feb 22, 2012 3:26 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27167

Kfx

Is it dead? :(
by marriot
Sun Feb 19, 2012 12:52 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21169

Dean started this thread on past Cta performances. Then we drifted to test and simulations. Now it is not clear if last numbers are related to results after 2/20 fee. There will be a huge difference. Going back to test. Done have everything one think smart for minimize curvefitting what else we can ...
by marriot
Fri Feb 10, 2012 1:53 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21169

Well, Ray is trading stocks with some kind of fundamental filter. This sound very different from what we usually discuss here. Then he said: "How can you work 3000 trades every year? I try to keep down numbers of trades at a max of 500 per year." So, he his using Stop and Limist orders. The simulati...
by marriot
Mon Feb 06, 2012 6:50 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21169

No complain Anthony, you know i love you : ) > Your biggest draw down is always in the future. Sluggo does not agree with you. Toc, toc " hi Sluggo, have you change your mind in the last year?" >reduced leverage may be the only way to survive long term. Yes, but is not easy balance risk with differe...
by marriot
Sun Feb 05, 2012 1:48 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21169

Hi Ray,
your test is amazing and more if looking at starting equity.
Would you mind to say something more about Portfolio used?
Thank you.
by marriot
Wed Feb 01, 2012 10:53 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21169

Thanks to Corziine, i do not have problems with orders.
Simply i do not.