Search found 51 matches

by Mark Johnson
Wed Oct 01, 2003 9:16 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 10574

I modified your code to run through the Coffee data multiple times: # # Usage: perl base.pl <kch90.txt # $iterations = 3000000; $scale = 375; $nticks = 0; while(<STDIN>) { chop; ($date[$nticks],$time[$nticks],$price[$nticks]) = split(/\s/); $nticks++; } $total_profits = 0.0; $total_trades = 0.0; for...
by Mark Johnson
Sat Sep 13, 2003 9:05 am
Forum: Trader Psychology
Topic: How do you handle a huge drawdown?
Replies: 8
Views: 8026

The most popular mechanical trading system of all time is BUY AND HOLD . It's vigorously promoted by authors, TV talking heads, and Nobel Prize winning economists. Millions of people use the system for their trading, especially in their IRA and 401(k) accounts. Buy and hold has large drawdowns. Thos...
by Mark Johnson
Fri Sep 12, 2003 11:30 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40257

It seems to me you could formalize damian's suggestion and turn it into a new test of trading systems: Run system S on price dataset D, record entry/exit dates and per trade profits Create modified price dataset M: add 100.0 to all prices (O,H,L,C) in dataset D Run system S on price dataset M, recor...
by Mark Johnson
Wed Sep 10, 2003 8:51 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 10574

One way to visualize the rate of convergence of a Monte Carlo simulation
by Mark Johnson
Wed Sep 10, 2003 7:03 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 10574

I conclude that you don't yet have a good handle on the rate of convergence of your Monte Carlo approximation. The exercise of calculating an error estimate will be illuminating. Percentage wins minus percentage losses was 2.5% plus or minus what? I ran a test even simpler than yours, as it randomly...
by Mark Johnson
Mon Sep 08, 2003 6:46 pm
Forum: Testing and Simulation
Topic: Weight assignment to indicators
Replies: 7
Views: 4776

Pick an odd number, say, five. Imagine five variants of the Original Turtle System "OTS" which operate over different timeframes. For example: OTS(10,5) and OTS(20,5) and OTS(25,10) and OTS(40,15) and OTS(55,20). Treat these five different turtle systems as indicators which put out the number +1 if ...
by Mark Johnson
Thu Aug 21, 2003 4:18 pm
Forum: Custom C++ or Java Platforms
Topic: What Language to Learn ? (VB / VC / C# ... or ?
Replies: 26
Views: 32300

I've implemented my daily signal generation in PERL, mostly so I can format the reports exactly the way I prefer to see them, but secondarily for portability. There seems to be a PERL for just about every platform imaginable, including Palm handhelds.
by Mark Johnson
Mon Aug 11, 2003 5:30 pm
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10603

The future performance of a method is independent of the procedure used to discover the method. If Alan tests 500,000 different parameter value settings in order to find the "best performing" one, the markets don't know that. Performance is not a function of "how many different things did you try?",...
by Mark Johnson
Wed Jul 30, 2003 1:24 pm
Forum: Money Management
Topic: Trading several systems at the same time
Replies: 6
Views: 8637

Trading several systems at the same time

Using two or more different trading systems, each with positive expectancy, should provide a trader with more opportunities to trade and, thus, realize on the positive expectancy of the systems. Has anybody had any experiences they would like to share regarding the construction, testing and trading...
by Mark Johnson
Tue Jul 22, 2003 7:23 pm
Forum: Testing and Simulation
Topic: Risk Adjusted Returns
Replies: 7
Views: 13086

There's a reason why so many ratios have been invented: the human beings who use the ratios give different answers to the question "What is the definition of good?" Essentially these ratios try to quantify the goodness of a trading system. But different traders have different aims and thus define "g...
by Mark Johnson
Mon Jul 21, 2003 8:59 am
Forum: Testing and Simulation
Topic: Risk Adjusted Returns
Replies: 7
Views: 13086

It isn't a dimensionless quantity: (percent cubed) in the numerator and (percent squared) in the denominator means that the ratio has the dimensions (percent to the 1st power). This may or may not be acceptable to you. I prefer figures of merit that are dimensionless, like the Sharpe Ratio or the MA...
by Mark Johnson
Thu Jul 17, 2003 11:14 am
Forum: Trader Psychology
Topic: Please Understand Me: Character and Temperament Types
Replies: 21
Views: 20164

What is "rare"? That classification system defines sixteen types: 2 choices per category, 4 categories, (2 raised to the power 4) = 16 types. If you hate math, count up the items in this list and see whether you get sixteen: ESTJ, ESTP, ESFJ, ESFP, ENTJ, ENTP, ENFJ, ENFP, ISTJ, ISTP, ISFJ, ISFP, INT...
by Mark Johnson
Tue Jun 24, 2003 7:17 pm
Forum: Custom C++ or Java Platforms
Topic: What Language to Learn ? (VB / VC / C# ... or ?
Replies: 26
Views: 32300

Funny you should mention FORTRAN. By a startling coincidence there are two guys in my office who both started programming in 1974, both using FORTRAN, and are now both trading baskets of commodities using well known vendor systems (one in an IRA, the other in a cash account). Victor Niederhoffer cla...
by Mark Johnson
Tue Jun 24, 2003 1:40 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28244

Luke, thanks for sharing the results of your research! I hope and trust it will inspire many other Roundtable members to limber up their research muscles and put some "trading the equity curve" ideas to the test.

Mark Johnson
by Mark Johnson
Mon Jun 23, 2003 10:01 am
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28244

Trading the equity curve of I-Master, some test results

To stimulate your thinking and to encourage you to perform some research on your own, I'm attaching a graph of a little research experiment. I ran the vendor-sold system I-Master with and without "trading the equity curve". The first run (purple line) is I-Master trading a constant 2 contracts on ev...
by Mark Johnson
Fri Jun 13, 2003 2:06 pm
Forum: Futures Markets
Topic: Adding to your portfolio
Replies: 8
Views: 6371

I added the euro currency (CSI symbol "CU") to my trendfollowing portfolio for a mundane reason: because I wanted to continue trading the Deutsche Mark in a highly liquid instrument after Germany converted to the Euro. DM had been very good to me in the past, both in backtesting and in live trading ...
by Mark Johnson
Mon Jun 02, 2003 12:30 pm
Forum: Stocks
Topic: Untested System
Replies: 3
Views: 6148

I keypunched Value Line's data from their website to see if I could duplicate their plots. (Answer: yes). In case anybody else wants to fool around with this, let me save you the pain of typing: ,Group 1,Group 2,Group 3,Group 4,Group 5 1965,0.336,0.189,0.089,0.008,-0.012 1966,-0.031,-0.060,-0.097,-0...
by Mark Johnson
Sat May 24, 2003 8:00 am
Forum: Market Psychology
Topic: Concepts of behavioral finance ...
Replies: 11
Views: 19240

trading and behavioral finance

Just finished a book by Richard Thaler, one of the good ole Behavioral Finance boys, called The Winners Curse ( http://www.amazon.com/exec/obidos/tg/detail/-/0691019347?tag=tradingblox-20 ). He discusses several "anomalies", disagreements between economic theory and the real world. Traders may enjoy...
by Mark Johnson
Fri May 23, 2003 2:21 pm
Forum: Money Management
Topic: perplexed: Position Sizing
Replies: 10
Views: 12337

What Chuck said and when he said it and all other details, are contained within the original. It is located at http://traderclub.com/discus/messages/1 ... 20031022am

Here are a couple of plots I did at the time:

MODERATOR'S NOTE: Changed graphs to vertical format.
by Mark Johnson
Fri May 23, 2003 8:35 am
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52410

about the free system Thirteen

Thirteen was released about 2 years ago (5/28/01). The original discussion is found in http://traderclub.com/discus/messages/18/1464.html (scroll down to the bottom). Since people are asking about stops and so forth: Some folks like to look at summary statistics such as the table above. Others prefe...