Search found 33 matches

by Macro
Wed May 23, 2012 12:36 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9464

by Macro
Wed May 16, 2012 3:13 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9464

Chris67, while I do agree that human behavioral biases haven't really changed, I must admit that I'm under the notion that markets may have altered from their steady state of persistence, possibly due to increasing intervention but I may be irrationally pointing fingers here. As a result, I hope to ...
by Macro
Mon May 14, 2012 1:42 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9464

Blood on the streets...

=
Best,
Macro
by Macro
Mon May 14, 2012 1:20 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33993

Jason wrote:Sign at the local drycleaner:

Cheap, Fast or Good - pick any two.


Trend trader's version:

Return, Robustness, Low Risk - pick any two.

:D
By far one of the most thought provoking posts I've read.
by Macro
Tue Mar 20, 2012 6:51 pm
Forum: Testing and Simulation
Topic: Seeking advice: Next Steps in Implementation.
Replies: 2
Views: 1487

Thanks for the help, moto moto. The IB VBA API seems awesome and I will certainly look into it.
by Macro
Sun Feb 05, 2012 6:42 am
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35682

adamant wrote:Good article. I'll copy it to the "article" thread as well.
There's an article thread?

For anyone who is interested in reading the aforementioned FT article (great read, btw), simply Google "A fierce battle for brain power" and click on the first result.
by Macro
Sun Feb 05, 2012 4:30 am
Forum: Trend Indicators and Signals
Topic: Transtrend way of measuring market "trendiness": T
Replies: 8
Views: 8190

Seems interesting, however, why would they give away such a 'measure' for free?
by Macro
Sun Feb 05, 2012 2:50 am
Forum: Testing and Simulation
Topic: Perils of economic (apply to trading?) models
Replies: 1
Views: 1160

"If you remember nothing else about models, remember this: their weakness is they are built on a host of assumptions, and therefore are only as good as the assumptions on which they are built. Some assumptions are obviously unrealistic and couldn't possibly hold; some happen to be overtaken by event...
by Macro
Wed Feb 01, 2012 4:01 am
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7797

Octave seems interesting and I'll certainly look into it- I'm currently learning R with the goal of being able to construct a basic statarb strategy. Does Octave have libraries to run co-integration tests using the augmented dickey fuller method? Also, this may sound rather naive, but this question ...
by Macro
Wed Dec 28, 2011 3:55 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30504

I'm new to TB and this is by far the most interesting thread I've read till now- I must take my hat off to Sluggo.
by Macro
Wed Dec 28, 2011 1:36 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7797

Hat tip to blueberrycake and CyTrend for recommending Python. Aside from the 'Think Like a Computer Scientist' book recommended by CyTrader, 'Dive Into Python' (http://diveintopython3.ep.io/) is also a great way to get started along with Google's Python class ("http://code.google.com/edu/languages/g...
by Macro
Wed Dec 28, 2011 4:59 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 30972

Tim, Tim, Tim. I keep trying to gently suggest that you include non-US futures in your testing portfolio, but it appears I still haven't succeeded. I find that when I run the 3MA system for CY2005 using the same number of markets ( 28 ) as you ran, but employing an international portfolio of future...