Search found 84 matches

by verec
Wed Dec 24, 2003 6:24 am
Forum: Testing and Simulation
Topic: Validity of system
Replies: 19
Views: 11662

I'm wondering whether 5000 is enough, whatever your technique. Since you are talking of spread-betting, well-known firm "A" starts accepting bets as low as 50p per point (most other houses start at £2/point). Let's imagine you are using house A. Take the DOW as an example (for Money Management, I'm...
by verec
Fri Dec 19, 2003 7:31 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11951

To me this looks very much like over-optimization, just on the portfolio level. Tempting, as I said above. But I don't think it would hold. That's excatly what I think. BTW, the example given when the correlation went to +0.9 to -0.9 is probably a text book example, in that whether the two markets ...
by verec
Thu Dec 18, 2003 5:37 pm
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11951

This question about the valid time period of correlation leaves me a bit cold. There are two answers that spring to mind: - use back testing. You'll see whether your time frame for correlation has any impact on your results. - as far as I'm concerned, I compute the correlation for as long as I have ...
by verec
Thu Dec 18, 2003 4:41 pm
Forum: Custom C++ or Java Platforms
Topic: Metastock parsing ... in Java
Replies: 8
Views: 16750

Metastock parsing ... in Java

Since I needed this for my own trading system, I'm releasing the following in the public domain. You need to know Java, as I didn't go the full route of packaging this into a directly executable code, and BTW I can't predict what actual use you'd have for such a code :) The source: http://www.jfb-ci...