Search found 41 matches

by MarkS
Wed Jan 11, 2012 10:01 am
Forum: Testing and Simulation
Topic: This is good
Replies: 7
Views: 3123

Marriot, a few passing thoughts: --If this is a short-term system, the slippage being used by the model becomes extremely important. --How does the system test over other timeframes? Might it be overfit to the current environment? --If you would achieve that kind of compounding, you will find the ac...
by MarkS
Wed Sep 21, 2011 7:16 pm
Forum: Trader Psychology
Topic: Beware the outside investor with the iron stomach...
Replies: 5
Views: 4114

Thanks svquant. I was being somewhat facetious about the legal clause, and like you said, it would be pretty futile, but one can always fantasize! As part of the whole spirit of transparency post-Madoff, I allowed my investors access to my trade execution emails figuring it would put them at more ea...
by MarkS
Wed Sep 21, 2011 3:29 pm
Forum: Trader Psychology
Topic: Beware the outside investor with the iron stomach...
Replies: 5
Views: 4114

Beware the outside investor with the iron stomach...

As I've mentioned before, I recently launched a small exempt fund to test the Donchian system with a few colleagues of mine. Of course, they all assured me that drawdowns of 35-40% were fine, and that they were putting in money that they didn't need. "If it takes 15 years to average out with a great...
by MarkS
Wed Jul 20, 2011 7:35 pm
Forum: Testing and Simulation
Topic: My research says: the markets haven't changed in 31 years
Replies: 14
Views: 5533

This is simply speculation on my part, watching my own "actual" results versus historical back-testing: If you start with the assumption that "trend" = "price instability" or "prices seeking a new stable level (sideways)", then I believe that due to information, computers, the internet, and the vast...
by MarkS
Tue Jul 19, 2011 2:31 pm
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9789

Sluggo -- does it count if a different person (me) sends the person above (author of question) a link to a thread written by you? :) Seriously, I consider your post in the link below to be a great, succinct summary on the four ways systems can vary (under the assumption one wants to use systems that...
by MarkS
Mon Jul 18, 2011 9:24 am
Forum: Futures Markets
Topic: Pork Bellies to be delisted Friday
Replies: 0
Views: 1748

Pork Bellies to be delisted Friday

Not that anyone on this forum was probably trading these anymore over the past couple of years given lack of volume, but still sad in a sentimental way. One of the first futures contracts I ever bought: http://www.washingtonpost.com/business/markets/after-50-years-the-chicago-mercantile-exchange-dro...
by MarkS
Fri Jun 17, 2011 8:08 pm
Forum: Testing and Simulation
Topic: Portfolio Filter inflection point and trades
Replies: 6
Views: 2485

Thank you gentlemen. Tim -- That is exactly what I had done to test the order, and everything else across all markets was fine, thus it must be a data issue. The contract in particular is the Rough Rice, July. Disturbing to see how data can "change" after the fact. Now the decision becomes to chase ...
by MarkS
Fri Jun 17, 2011 3:23 pm
Forum: Testing and Simulation
Topic: Portfolio Filter inflection point and trades
Replies: 6
Views: 2485

Portfolio Filter inflection point and trades

I noticed the last few days that my MACD filter on the Donchian system is at an inflection point on one commodity I trade. So it will show long trade entries for a few days, then the next day the long disappears (it is rejected) and the order list shows a short trade entry point as the MACD flips ab...
by MarkS
Mon Jun 13, 2011 8:54 pm
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4574

Eric -- very novel (to me) way of approaching it. Almost like going long the cash or spot and storing it versus playing different crops/delivery dates. Sluggo, you make a great point of effort versus contracts. The majority of contracts I trade are financial. And for some, I have no idea on differen...
by MarkS
Sun Jun 12, 2011 3:20 pm
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4574

Thanks guys. My issue isn't on how to do the rollovers but on whether I should over-ride my system this one instance due to unique fundamental issues as opposed to technical ones; fundamental issues which may continue to drive a bull market in July/Sept contracts but not in the December into which I...
by MarkS
Sat Jun 11, 2011 8:22 pm
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4574

Q on when others roll new old crop to new crop

Just got a roll alert based on my settings to go from July corn to Dec. But there is almost an 80 cent disparity in prices, and I think there is a potential for the trend to split along new/old crops.... Should I override the system and force the CSI data to stay in July or roll to Sept, or should I...
by MarkS
Sat May 28, 2011 4:11 pm
Forum: Testing and Simulation
Topic: Would I enter this "Order Generated" trade at mark
Replies: 1
Views: 1322

Would I enter this "Order Generated" trade at mark

One of the systems I am running with live money since May 1st is a Donchian variation, and noticed that inn Oats, my entry price was leaped over. Meaning, 20+ days ago, the price of Oats collapsed, so there were several large range bars. Say for simplicity, my buy point was 400. When the 20-day roll...
by MarkS
Fri May 06, 2011 12:13 pm
Forum: Futures Markets
Topic: Do you allow order executions outside of hours?
Replies: 1
Views: 1444

Do you allow order executions outside of hours?

Interesting the issues one runs into when one starts to trade money with a partner (either GP or noisy LPs!) Here is one issue: I use GTC orders that are always live. Around 2:00AM this morning, I was filled in one market. My partner in my fund called up this am and was yelling that we are down beca...
by MarkS
Thu Apr 21, 2011 11:43 am
Forum: Testing and Simulation
Topic: Swapping entry day stops to trailing after entry
Replies: 4
Views: 2058

Thanks Sluggo.

I've always like the "half" approach, and it didn't even occur to me, so will look at both #3 and #4. Appreciated!
by MarkS
Wed Apr 20, 2011 4:43 pm
Forum: Testing and Simulation
Topic: Swapping entry day stops to trailing after entry
Replies: 4
Views: 2058

Swapping entry day stops to trailing after entry

I am curious how people handle the changing of stops if one's system uses a particular stop on entry day, and then switches to a trailing or reversal exit on all following days (I believe the Donchian system provided with TB uses this type of logic). Currently I just leave the original stop in while...
by MarkS
Sat Feb 26, 2011 3:54 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30505

I hope you realize that we are measuring the correlation of Equity Curves Yes, I did read your original post. Therefore the correlation of their outputs (equity curves) is very different than the correlation of their inputs (price data). This is a second, underappreciated, free lunch on Wall Street...
by MarkS
Fri Feb 25, 2011 7:44 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30505

I am a fan of research like this, and having run smaller variations of this for a grad school project, I can appreciate the computing power necessary to do it! Thank you sluggo. As is mentioned by drm7, rabidric, and AFJ Garner, it is also good to take such research and keep an eye towards the marke...
by MarkS
Fri Feb 18, 2011 2:22 pm
Forum: Futures Markets
Topic: Cotton Lock Limit Day
Replies: 9
Views: 3712

As stated above, you can most definitely sell on lock limit up days, and buy on lock limit down days. But just because something is locked limit does not mean it cannot unlock. Today is a perfect example, where CT was lock limit up, and now has reversed and gone lock limit down! So just because some...
by MarkS
Thu Jan 06, 2011 11:46 am
Forum: Testing and Simulation
Topic: Choosing between two similar systems
Replies: 4
Views: 2083

Paul, thank you for the suggestion. I haven't thought of doing that because in essence they are the same system; not in the logic or mechanics, but in taking the same trends. For example, an ATR-based entry vs a Bollinger vs an RSI: all these systems will go long and short the same trends, just at d...
by MarkS
Thu Jan 06, 2011 11:19 am
Forum: Testing and Simulation
Topic: Choosing between two similar systems
Replies: 4
Views: 2083

Choosing between two similar systems

I wanted to see what people's thoughts are on the following: I have two systems that I have been backtesting for a long time, as well as running them "on paper" for over a year. Having recently bought TB, I've re-run the backtests and walk-forwards as I find this technology much easier to use than m...