Search found 126 matches

by rabidric
Tue Aug 30, 2011 11:01 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5362

7432, you are correct, this is what kaufman is alluding to in his "bias" arguement, i am sure.
by rabidric
Tue Aug 30, 2011 3:15 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5362

I think the issue is not about bias towards certain lengths when searching for an "optimal" set per se; it is one of variable precision, which gets more distorted at the extremes. We live in a noisy world. When dealing with a parameter that cannot be negative (e.g. length), using fixed stepping over...
by rabidric
Mon Aug 29, 2011 3:21 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5362

sluggos points aside, bobsyd, i think you are correct. I have for many years tried to stucture my parameter selection around the idea of percentage stepping. given that a dedicated %step feature has not been available( in this or many other backtest software), there is not a huge penalty to just "fu...
by rabidric
Mon Aug 01, 2011 10:48 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9908

your 2 cents are good, and agree with what i found over the years too. In the end , for me, i just decided to stay away from them, as i am happier with outrights and the often clearer momentums observed.
by rabidric
Fri Jul 29, 2011 12:19 pm
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9679

hey sv, it wasn't a personal slight on you. I am just too cynical it seems.
by rabidric
Fri Jul 29, 2011 3:24 am
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9679

If you are really interested in correlations of trading strategies then look up the works by Emmanuel Acar and Pierre Lequeux where they derive what the correlations between trading rules (MA) based on length should be under various time series properties and then look at some of the empirical data...
by rabidric
Mon Jul 25, 2011 3:24 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9908

that joe ross advice is terrible, just terrible. imho ofc. Years ago i used to trade various yield curve spreads and butterflies, and some index spreads too. Whilst legging in and out of spreads is ok for a scalper who is using microstructure to his advantage, legging longer term positions was gener...
by rabidric
Fri Jul 22, 2011 3:07 am
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9679

i have looked at diversified multiple n-day breakouts(i.e. 4+ per product, not 1-2) in the past. My conclusion was that it was horribly inefficient in terms of capital usage, and the diversification was not as spectacular as i would have hoped for.. i.e. it is diversified most of the time and makes ...
by rabidric
Wed Jul 13, 2011 7:56 am
Forum: Testing and Simulation
Topic: Curve Fitting
Replies: 6
Views: 2740

but if you are trying to maximize bang for the buck when it comes to something like returns on margin invested, then you are onto something jgh2020. If you believe there are persistent and sound fundamental and structural reasons why your "black sheep" markets may not suit the particular trading alg...
by rabidric
Thu Jul 07, 2011 7:18 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30515

good first post liaojing, welcome to the forums. The thing with your idea, is that it basically acts like a "pseudo tgt" anyway. i.e. by tightening the trailing stop, you end up tripping over the typical volatility at a small pullback, which often turns out to be a poor location. It sounds nice in t...
by rabidric
Tue Jul 05, 2011 2:37 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30515

which is why shorts after blowouts are so depressing-> the declining volatility works against you and the slow collapse inevitably lasts so long you end up with pathetic delta exposure compared to newer positions in vega growth contracts. one would think therefore that playing around with position-s...
by rabidric
Fri May 27, 2011 11:53 am
Forum: Trend Indicators and Signals
Topic: On Heuristics
Replies: 2
Views: 3316

there was a problem with one link(edit2) , which i have now corrected. the other works ok and the original one is simply an attachment as normal.

added by Moderator - the pdf files are attached below
by rabidric
Fri May 27, 2011 6:13 am
Forum: Trend Indicators and Signals
Topic: On Heuristics
Replies: 2
Views: 3316

On Heuristics

For the last few years this field has been one of my favourite areas for inspiration w.r.t. trading rule creation and logic structuring. I strongly recommended a book about it a few years ago on this forum but the post went largely unnoticed I think. Here is a pdf which is a broad brush overview for...
by rabidric
Tue May 24, 2011 8:30 am
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5425

given the perversity of markets and their tendency to take an indirect route from A to B, I would start with assuming the market will take the LONGEST route! :wink: i.e. O>C then assume O->L->H->C !!!! of course this isn't the case with trend days etc. in the end it is probably a 60/40 - 50/50 chanc...
by rabidric
Mon May 23, 2011 4:00 pm
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5425

don't underestimate the market's ability to touch at/near the high and low multiple times. It happens more often than you would think. e.g. a 0.5-1 ATR stop if coupled with a re-entry might get whipsawed 2,3 or more times. this is especially the case on days with major figures where the market can't...
by rabidric
Fri May 13, 2011 8:43 am
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 3754

Easy Tiger, i'm sure Chuck wasn't making a personal slight on what you do with your time. 8) Besides, if an exercise that generates research ideas takes up lots of time and yields very low informational gain, then that time could probably be spent on another exercise that generated BETTER, USEABLE i...
by rabidric
Fri May 13, 2011 8:20 am
Forum: Testing and Simulation
Topic: How to realise the system is obsolete
Replies: 7
Views: 3314

Yes. I refrained from saying it earlier, as I wasn't sure if it might come across too strong and personal, but for what it is worth, ALL of the methods outlined in longmemory's post are some of the worst ways to approach this kind of problem that you can find. The more arcane and obtuse the method ,...
by rabidric
Fri May 13, 2011 7:57 am
Forum: Testing and Simulation
Topic: Trading a large number of systems without a large account
Replies: 9
Views: 8956

I looked into this idea a few years ago actually. The conclusion I came to was that digital position(1,0,-1) derived from aggregated votes was noticeably inferior to a analogue position of their cumulative position. In the long run. I accept that it is a way of hedging multiple inputs into a single ...
by rabidric
Mon Apr 18, 2011 4:12 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70074

Chris67 wrote: its a bugger that some groups like meat
carnivores eh?! :roll: :D

but to paraphrase the well known australian natural philosopher Michael Dundee:

"You can live off it , but it trades like shit!" :)
by rabidric
Fri Apr 01, 2011 3:54 am
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3038

:D lets not forget the butterfly effect! your 1 lot triggers a snowball of orders that , while not giving any slippage to that order itself, triggers a black swan blow out of a 25ATR multiple consecutive limit days price spike, which results in your other 3 strategies/units all getting filled at obs...