Search found 99 matches

by fab1usa1
Mon Aug 08, 2011 6:04 pm
Forum: Data Providers and other non testing software
Topic: CSI Futures data comparison
Replies: 6
Views: 3926

Thank you for all your help, rhc. I don't know what I would do without you. I can only hope that one day I can help a newbie "learn the ropes" like you have helped me. Thanks again!
by fab1usa1
Mon Aug 08, 2011 10:14 am
Forum: Data Providers and other non testing software
Topic: CSI Futures data comparison
Replies: 6
Views: 3926

Thanks, rhc, that's brilliant! I altered my back-adjust rule to roll 5 days from the end of the month 1 month prior to expiry, and now I can duplicate your price data from 4/1 to 4/6. Do you use that rule for all markets? For corn that rule rolls 3 weeks prior to expiry. From what I have read they s...
by fab1usa1
Sun Aug 07, 2011 9:11 pm
Forum: Data Providers and other non testing software
Topic: CSI Futures data comparison
Replies: 6
Views: 3926

Thanks, rhc, that article at PremiumData explained back-adjusting perfectly. Can you please take a look at the attached screenshot and compare my UA to yours. One thing that I find very interesting is that the back-adjuster skipped the September contract. It went directly from July to December! That...
by fab1usa1
Sat Aug 06, 2011 1:09 pm
Forum: Data Providers and other non testing software
Topic: CSI Futures data comparison
Replies: 6
Views: 3926

CSI Futures data comparison

Hi everyone, Yesterday I added North American Futures plus 10 years history to my existing subscription at CSI. After several stumbles I am now 90% certain that I am doing everything correctly. I followed the directions on the Trading Blox site for Adding a New Market to CSI UA When I compare the re...
by fab1usa1
Thu Aug 04, 2011 10:03 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

Purchased and downloaded Mr. Garner's book to my Kindle this past weekend. Gave it a first read; going back for seconds and thirds!
by fab1usa1
Thu Aug 04, 2011 7:56 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

I will look into that, babelproofreader. I know that I can trade debit and credit spreads on equity options.
by fab1usa1
Wed Aug 03, 2011 10:41 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

Sluggo, Those are superb ideas! Sounds to me like the basis of a new Portfolio Manager block. I am certain that I can code your second idea (i.e. ranking by average daily ATR). I am less certain how to approach the ranking by the average-of-3-biggest-losses. No worries, I'm resourceful, I'll figure ...
by fab1usa1
Wed Aug 03, 2011 6:24 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

rhc, Just reread your post where you mentioned the CME e-micro currencies. I unintentionally skipped them by since the name did not have 'mini' or 'micro' in it. I will update my spreadsheet. What rule-of-thumb should I use to find "affordable" futures? Is it simply a function of Initial Margin? Tha...
by fab1usa1
Wed Aug 03, 2011 6:07 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

Hi rhc, As you suggested I navigated to my brokers website (IB) to see what they had to offer. I clicked through each of the US market centers and scanned for all contracts of the type 'mini' or 'micro'. The attached spreadsheet is the result of my effort. I haven't yet looked into the ETFs/ETNs as ...
by fab1usa1
Wed Aug 03, 2011 10:59 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

Thank you, rhc. Lot's of great information to chew on! I so dislike being the "newbie". I try avoiding asking questions on the forum but sometimes I just need to. I've spent several hundred dollars on books at Amazon. With that added knowledge I feel confident with the theory behind futures markets ...
by fab1usa1
Tue Aug 02, 2011 11:48 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16788

Newbie asks: How to trade futures with only $100K?

Moderators note: split off from parent thread I read with great interest the old thread entitled: How to begin trading futures with account < $100K ? and all of the great contributions by members of this forum. I certainly see the advantage of having a large portfolio of 100+ markets and $1,000,000...
by fab1usa1
Mon Aug 01, 2011 6:02 pm
Forum: Futures Markets
Topic: Authorized to trade futures at IB
Replies: 0
Views: 1631

Authorized to trade futures at IB

Stocks ... been berry berry good ... to me, but now is the time to take on a new asset class.

I am 99% giddy with excitement and 1% trembling with fear. At least with stocks I never worried about taking delivery of 5000 bushels of wheat!

Thanks in advance for any words of caution or encouragement.
by fab1usa1
Mon Jul 18, 2011 9:16 am
Forum: Testing and Simulation
Topic: How to interpret Monte Carlo results
Replies: 6
Views: 2435

Very interesting but definately NOT stupid. So the math suggests that in order to make MC CAGR approximately equal to Backtest CAGR, that a system should have: 1. Zero maximum drawdown. 2. A constant-slope equity curve, logarithmically speaking. One of the things I really like about TB are the stepp...
by fab1usa1
Sun Jul 17, 2011 8:50 pm
Forum: Testing and Simulation
Topic: How to interpret Monte Carlo results
Replies: 6
Views: 2435

Thank you, EventHorizon, I understand better now. Is it typical to have your "actual" CAGR greater than the 90% MC CAGR, as in my case where 21.55% > 11.00% ? Should the objective of my trading system be to make the MC CAGR approximately equal to the actual CAGR? Is that the sign of a good design? T...
by fab1usa1
Sat Jul 16, 2011 4:46 pm
Forum: Testing and Simulation
Topic: How to interpret Monte Carlo results
Replies: 6
Views: 2435

Sorry, typo, that date range was misquoted. It should have read: 1/1/2000 to 6/30/2011.
by fab1usa1
Sat Jul 16, 2011 4:45 pm
Forum: Testing and Simulation
Topic: How to interpret Monte Carlo results
Replies: 6
Views: 2435

How to interpret Monte Carlo results

My apologies in advance if this is not the proper forum for this question... I am trying to understand the difference between the CAGR that is reported in the "Stepped Parameter Performance Summary" at the top of the report and the "90% Return" statistic report at the end of the report. I am backtes...
by fab1usa1
Tue Jul 05, 2011 9:57 pm
Forum: Money Management
Topic: How to determine the optimial risk levels?
Replies: 3
Views: 3207

I would suggest Van Tharp's "Definitive Guide to Position Sizing".
by fab1usa1
Sun Jul 03, 2011 10:51 pm
Forum: Money Management
Topic: Causes of Drawdown
Replies: 3
Views: 3136

Thanks for your reply, rhc. I have a VectorVest background (still use it for stock screening and backtesting occassionally). I learned to mitigate risk by exiting the market, or at least not replacing closed positions in my portfolio, when the market timing indicators turn against me. This has the e...
by fab1usa1
Sat Jul 02, 2011 9:16 pm
Forum: Money Management
Topic: Causes of Drawdown
Replies: 3
Views: 3136

Causes of Drawdown

Good People, 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. I can understand exogenous events like the burs...