Search found 68 matches

by Eventhorizon
Thu Jan 13, 2011 3:56 pm
Forum: Money Management
Topic: Positive Trade Ratio
Replies: 2
Views: 2296

I may be wrong here but ... Sortino uses a different numerator AND a different denominator. The denominator is different in two ways from Gardner's statistic: Sortino numerator: cumulative average return (geometric return) less target return Gardner Numerator: average (arithmetic) trade return. Sort...
by Eventhorizon
Wed Jan 12, 2011 1:44 pm
Forum: Testing and Simulation
Topic: Tests using only closing data
Replies: 2
Views: 1498

Hmmm ... would O=H=L=C be interpreted as a lock limit day? If so, one would have to permit trading on lock limit days. To avoid the issue, you could put L 1 tick below close and O / H at one tick above.
by Eventhorizon
Mon Jan 03, 2011 1:29 pm
Forum: Testing and Simulation
Topic: counter trend systems
Replies: 13
Views: 5447

LTTF systems suffer at the end of a trend. I found that adding a system that attempts to pick potential trend reversals (I used momentum divergences) enhanced returns EVEN THOUGH the top-picking system barely has a positive mathematical expectation. This idea enhances overall return because, even th...
by Eventhorizon
Fri Dec 31, 2010 6:31 pm
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27320

Thanks Cordura, Typical delphic response from Bloomberg. As for whether there is money to be made from Price-volume charts, I don't know except to say that IF the volume data contains information THEN one ought to be able to exploit it! I remember a chap named Steve Woods who invented (or at least p...
by Eventhorizon
Fri Dec 31, 2010 10:45 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27320

Cordura21 That's an interesting chart. Which service provided it - or do you roll your own? I am curious as to the data used to construct the chart. I assume the histograms represent the cumulative trades that executed at a given price divided into those that went at the bid and those at the ask. Bu...
by Eventhorizon
Sat Dec 18, 2010 10:08 am
Forum: Futures Markets
Topic: Transtrend: trading pork bellies
Replies: 18
Views: 8312

fib21: Another thing that I'm sure many of the larger firms do is assign a trader to a market or a sector and when there's a signal they spend the entire trading day (or days) buying or selling as many contracts as needed and this could at times equal 100% or more of the average daily liquidity for ...
by Eventhorizon
Wed Nov 03, 2010 9:12 pm
Forum: Testing and Simulation
Topic: Cotton / Blow offs and nasty odours
Replies: 6
Views: 2606

I believe Didier Sornette has done some interesting work on blow-off tops - I attempted to read "Why Stock Markets Crash", but got lost about half way! Anyway, he seems to simply build a model of typical bubbles involving an exponentially rising curve with ripples in it - when the ripples disappear,...
by Eventhorizon
Wed Nov 03, 2010 9:02 pm
Forum: Testing and Simulation
Topic: ODD Data in DX
Replies: 7
Views: 3246

I use the free CSI data made available on the TBB site. I use an R script to roll my own ratio-adjusted contracts rather than using the Panama-style contracts included in the files. As part of the process I go through a data-validation step checking various characteristics of the raw closes, then I ...