Search found 63 matches

by Asamat
Mon Jun 15, 2009 12:29 pm
Forum: Testing and Simulation
Topic: Question for Trading Blox users
Replies: 14
Views: 6791

Adding capital in a DD assumes you have a way of identifying situations in advance, after which the systems return is exceptional. I don't think you are able to do that, any more than you are able to do that for any market. Look at your picture. Assume that the biggest DD, the initial one, would hav...
by Asamat
Sat Jun 13, 2009 1:46 pm
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8395

Also, how do you feel about the future viability of Trading Blox? Do you think it is hear to stay? Don't worry. More and bigger operations depend on it that you imagine. Even his use of other software based upon its perceived strengths according to its abilities. Thanks, good to hear that you agree...
by Asamat
Sat Jun 13, 2009 6:24 am
Forum: Data Providers and other non testing software
Topic: CSI UA 2.10.7
Replies: 6
Views: 3402

Dito:
I'm using 2.10.7.9 on vista since it came out, with not a single issue.
by Asamat
Sat Jun 13, 2009 6:18 am
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8395

I have another thought to add, having gone down a somewhat similar road. The thought is that the choice does not need to be one or the other. You can use TB for what it does best, use other software as well, and use your own code for what you need additionally, and to stitch it all together. In a co...
by Asamat
Mon Jun 08, 2009 7:00 am
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7139

I can picture an equity curve for which a regression fit gives a negative start value. Imagine your trading started flat for a few years, and then your system took off and you get a killer curve for the next 50 years.

If you fit that the begin of the fit will be in negative territory, wouldn't it?
by Asamat
Mon May 18, 2009 5:03 pm
Forum: Testing and Simulation
Topic: cfd's
Replies: 15
Views: 8397

Chris67 wrote:A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases
Why? Could you tell us more about what you mean with that sentence?
by Asamat
Sun May 03, 2009 5:43 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16644

I definitely agree that positive feedback loops drive trends - the big massive trends that make everything worth it. Can you elaborate on that? What does "positive feedback" mean when applied to a market? Let's take crude, going from 70 to 150 in 13 months, then from 150 to 50 in 5 months. I though...
by Asamat
Thu Mar 26, 2009 8:27 am
Forum: Data Providers and other non testing software
Topic: Setting up Pinnacle Futures Data to work with TradingBlox
Replies: 6
Views: 9532

Re: Bloomberg data

mpok8 wrote:Is it possible to create a similar sticky for bloomberg data?
Of course. Just go ahead als LeapFrog did for Pinnacle, write down anything you think useful for followers to know, and post it on the forum.

Regards,
Asamat
by Asamat
Tue Mar 24, 2009 9:38 am
Forum: Data Providers and other non testing software
Topic: Very Basic question about CSI
Replies: 1
Views: 2133

CSI is a data vendor. They sell EOD data, and so - yes, they charge you. Their software is named Unfair Advantage, abbreviated UA. When you are a CSI customer you can extract EOD data from their UA software in several formats, one of them being csv, which is then digested by TB. If you find CSI too ...
by Asamat
Tue Mar 24, 2009 5:07 am
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

His system does not include discretionary judgement, whether this situation is over and he should stop trading it. That's why he asks and is concerned. And if I look very closely at the right end of the chart where his biggest DD so far occurred, I say he is rightly concerned. It's possible that his...
by Asamat
Tue Mar 24, 2009 4:56 am
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

The original question was "Would you consider this a good system?" Your suggestion that back testing in other market conditions, while laudable, does not address the question at hand. I'm sorry, but I have to disagree again. His numbers come from a very specific situation, look at the S&P from the ...
by Asamat
Tue Mar 24, 2009 4:30 am
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 11394

I don't understand why Kelly is mentioned time and again in the context of money management. Let's make it totally clear: sizing according to Kelly is a guaranteed way to go broke. The Kelly formula gives a by far too big and optimistic results, and amplifies the tendencies of most private traders t...
by Asamat
Sun Mar 22, 2009 11:34 am
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

I would suggest that some serious Monte Carlo permutation and bootstrap testing of your actual results might give you the answers you're looking for. Sorry, I have to disagree. His problem is not about how to extract more information from the limited set of trades he has. His problem is that his sy...
by Asamat
Sat Mar 21, 2009 7:03 pm
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

I'm sorry to have to repeat: this information is not enough to know your risk. We could calculate a few things from these 11 months, but in reality that timespan is too short to give you sufficient confidence in your system to continue trading in case the 12% draw down go to 20% or 30%. Generally it...
by Asamat
Sat Mar 21, 2009 5:37 pm
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

With the data given so far it's not possible to know the risk. How do you know the win percentage and the other numbers? Do these numbers come from backtests, or from your real trades? If they come from real trades, how many trades over which timespan? If from backtests, how long back was your data?...
by Asamat
Sat Mar 21, 2009 2:01 pm
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

Hi Maildigger, return alone is not enough to rate a system. So the question whether a system making 70% a year is a good system does not have an answer. For example, if the expected draw down is 100%, then the answer is: no. At least you need to look at the risk together with the return. A 12% draw ...
by Asamat
Sat Mar 07, 2009 3:41 pm
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

In my opinion the information provided isn't nearly enough to give a meaningful answer. I'd say the acceptable DD depends, among other things, and not in this sequence of importance, on a) what fraction of the traders personal wealth does the account constitute, b) what is the expected gain, c) what...
by Asamat
Sat Mar 07, 2009 11:15 am
Forum: Data Providers and other non testing software
Topic: CSI Download Problems UA 2.9.3
Replies: 18
Views: 8271

It's working again.
by Asamat
Sat Mar 07, 2009 9:33 am
Forum: Data Providers and other non testing software
Topic: CSI Download Problems UA 2.9.3
Replies: 18
Views: 8271

Asamat wrote:No problems
Correction: downloading today I get the same message as you quoted. Switching servers doesn't help.

I didn't download yesterday, but it definitely worked all working days in the last few weeks prior to yesterday.
by Asamat
Sat Mar 07, 2009 9:24 am
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

alp wrote:How much does the kamikaze trader risk when the (1) starting capital or account balance is $ 5,000 and (2) if and when the account grows to, say, $ 5,000,000?
Sorry, I don't understand the question at all. Can you please rephrase, what the actual question is?

Thanks,
Asamat