Search found 32 matches

by Angelo
Wed Mar 28, 2007 7:29 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35613

Assuming you want to back test using actual contract data you still need to work out how to calculate your indicators. Or rather on what data series you will calculate your indicators. And that can lead to some very different and distorted results if you concatenate contracts without adjusting for ...
by Angelo
Tue Mar 27, 2007 11:50 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35613

Angelo, I don't want to seem rude but it appears to me that you did not actually go through the process of the test that sluggo outlined. Did you actually run the test or did you just make the assumption that you knew the answer without actually performing the steps of the test as sluggo outlined? ...
by Angelo
Tue Mar 27, 2007 11:27 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35613

However, my experience with very longterm trendfollowing (approx 0.4 round trip trades per year, in each market) on a 50 market portfolio, mirrors Tim Arnold's remarks. I test what I trade and trade what I test. I use CSI Unfair Advantage to generate my backadjusted continuous contracts and I run m...
by Angelo
Tue Mar 27, 2007 3:39 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35613

But I do recall Sluggo mentioning somewhere software that can test individual contracts - in such a way of course that the false profits and losses of "gaps" are eliminated. I missed this one. May I ask if this software is proprietary or commercially available? ............................. Look at...
by Angelo
Mon Mar 26, 2007 1:21 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35613

Re: Very Long Term Trend Following: The Data Implications

As many systematic trend followers migrate to very long term trend following systems, do the problems inherent in backadjusted data become more manifest and problematic? Thus, for example, if a trader is using a moving average system based on 300+ days, or a channel breakout system predicated on a ...
by Angelo
Fri Apr 14, 2006 9:40 am
Forum: Testing and Simulation
Topic: MAR Ratio, etc.
Replies: 12
Views: 12904

hmmm.... I had also just come across something on the web calling it "minimal acceptable return" (MAR). http://www.sortino.com/htm/Upside%20Potential.htm. Maybe we can get a consensus from some others? Thanks for your reply. Jim, I feel you don't really trust the answer. That's your choice and is n...
by Angelo
Thu Apr 13, 2006 12:18 pm
Forum: Testing and Simulation
Topic: MAR Ratio, etc.
Replies: 12
Views: 12904

I just dont know what "MAR" stands for! MAR stands for "managed account report", that is one of the oldest magazines (www.marhedge.com) about hedge funds and CTA's. A lot of years ago, they started to use this ratio when reviewing performance of money managers in their magazine, so it became common...
by Angelo
Wed Mar 08, 2006 3:57 pm
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 6792

Hi Christian, the long answer: you can find it at p. 108 of the Trading_Blox UserGuide.pdf, freely downloadable in the "support area". The short answer (from p. 108): " Trading Blox allows you to set the number of days to use when creating an Average True Range Indicator, and we use the Exponential ...
by Angelo
Fri Mar 03, 2006 4:36 am
Forum: Testing and Simulation
Topic: Has anyone tried "MetaServer RT" with IB data on T
Replies: 29
Views: 20778

Hi PTCM, I've been using Metaserver RT 2.0 Pro DDE (but with an Italian data source, I've never used IB data) to feed TS2000i in real time and have no problems with it. But to compare apples with apples, be aware that esignal has backfill functions, while Metaserver has not. Maybe you could check if...
by Angelo
Wed Mar 01, 2006 9:38 am
Forum: Testing and Simulation
Topic: Interest rates and historical testing
Replies: 5
Views: 4102

Hello everybody, About the margin amount, yes, that's a problem: just compare today's crude oil margin with those of 10 years ago. But the solution is pretty simple ( even if it requires some programming effort): as some other testing softwares, just allow the user to input margins both in absolute ...
by Angelo
Mon Feb 20, 2006 7:03 am
Forum: Testing and Simulation
Topic: Recent Trend-following system performance
Replies: 11
Views: 9201

Christian's helpful table above may help to answer a question which always tends to puzzle those newer to this game. Which goes something as follows: how come when my tests show that you can turn $50,000 into $10zillion in 20 years, the records of all the CTAs I have looked at suck? I hadn't a defi...
by Angelo
Thu Feb 02, 2006 11:14 am
Forum: Testing Software
Topic: Looking for the right platform
Replies: 7
Views: 7504

I appreciate your post. I guess I am wondering where to start. If both can provide what I need I would choose the cheaper one. I am most concerned with testing what I already have created as opposed to creating new stuff. I don't see why I would spend 25k if the trading blocks meets my needs for 3k...