Search found 51 matches

by painless
Thu Dec 07, 2006 11:04 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 15930

In my case. Rollover:I pick up the phone I buy and I sell. Slippage = 0; The price I am filled at is the price in my data and the price I use to roll with. Orders: I place them a long way in advance. The most slippage I have ever had was one point. I have also had positive slippage, I don't know how...
by painless
Wed Dec 06, 2006 1:12 pm
Forum: Custom C++ or Java Platforms
Topic: releasing NEW cross-platform JAVA charting app. for IB
Replies: 3
Views: 4979

Nice work! Just a little off track question that you might help me with. I have IB on my wish list for that Java socket when I have my app ready to run on my Apple. Why more vendors don't use a java socket instead of dde junk or DLL is beyond me. Anyway I have no plans to sell it and it is just a de...
by painless
Fri Dec 01, 2006 8:26 pm
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

That should be 90% cagr but my point remains the same and I have not added contracts to the positions if I did then it would be higher still of course.

corrected spreadsheet attached
by painless
Fri Dec 01, 2006 10:41 am
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

spreadsheet attached here
by painless
Fri Dec 01, 2006 10:35 am
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

"after all you didn't adopt theirs" Ok Sluggo! I'll bite. I assume you mean cagr which is what I referred to. This is because unlike others I do not have 100000 starting capital so cagr is dreamtime stuff. I have to live in the real world where I am starting from next to nothing and thus testing mus...
by painless
Thu Nov 30, 2006 12:19 pm
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

Due to my impetuous nature I have decided to use a yearly open to high to low to close as the basis for the perfect value. Given the duration of my trades (longest about 9 months to date) that sounds plausible. What do you think Sluggo?
by painless
Thu Nov 30, 2006 11:47 am
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

All my aspirations of redeeming myself for past posts are once again shot down in flames by the venerable Sluggo. I remain forever in Sluggo's debt as a most humbled, unworthy contributor. Don't anyone ever let me forget this or I might stray off the path again. Damn! No matter what I think somebody...
by painless
Thu Nov 30, 2006 10:00 am
Forum: Market Psychology
Topic: A cyborg Trader? (Half Man, Half Machine)
Replies: 18
Views: 23291

I think something is missing in this topic. I believe the more understanding that you have of the problem the more intuitive CAN be your solutions. Lets say you knock yourself out testing and retesting and you are always thwarted by the same problem. So you seek an answer that is not readily availab...
by painless
Wed Nov 29, 2006 12:46 pm
Forum: Testing and Simulation
Topic: margin in testing
Replies: 3
Views: 3301

This was the sort of difficulty I was having. See my post "My performance is ? no idea". I don't use Blox so I wanted to be able to make a comparison. So far I have come to understand that most use a margin to equity ratio of varying degrees. Unfortunately margin changes with volatility so it is a l...
by painless
Fri Nov 24, 2006 11:11 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9028

thanks sluggo, I think I get that. I did a few cagr numbers on my output and I can aproximate my results enough to make a quick and dirty comparison. I don't have to be the best in the world so long as I making a bit. When it is all said and done I look at the buys and sells on my chart and if I fee...
by painless
Thu Nov 23, 2006 12:53 pm
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9028

Hi all, Looks like I am still wrong, oh well. I took a good look at the figures on that IASG website. Assuming that the margin/equity ratio is maintained then the results that are shown are compounded. Whereas my margin/equity ratio when testing only one contract becomes ever smaller. Sorry for taki...
by painless
Tue Nov 21, 2006 9:38 pm
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 21970

While we are are the subject I think that TB should port their software to Mac. Specifically the 64 bit Power Macs. I have not used the product but it seems that many of the users are satisfied with it. This is software written for a niche market, market research and testing, and as such it needs as...
by painless
Tue Nov 21, 2006 9:40 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 21970

As you are no doubt aware there is not the range of packaged software available for OS X as there is for windows. So unless you can find what you need or write it yourself then your choice may be limited. Having said that a 64bit Mac Pro is a nice machine to crunch numbers on and OS X, being freebsd...
by painless
Sun Nov 19, 2006 1:39 pm
Forum: Testing and Simulation
Topic: Smoothest currency?
Replies: 2
Views: 2435

Smoothest currency?

I am looking for a new market to test and I would appreciate any advice. A currency or perhaps something else? I am trading one index now and will add another soon so I would like to diversify. I am a fairly long term trend trader so months between trades is fine by me.
Thanks
Blair
by painless
Sat Nov 18, 2006 12:24 pm
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9028

Now to answer my own question so I look completely stupid. I did not notice the margin/Equity Ratio on the iasg site ... oops! so on my current USDX test which varies a little from the previous post. Margin/Equity would be 8.5% Drawdown is 41% Annualised return is 39.5% on the market I currently tra...
by painless
Fri Nov 17, 2006 12:24 pm
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 9648

Well since I wanted to start with a weekly one I used the last (n) minutes of Friday or the first (n) minutes of Monday. The results showed a success rate greater than would be acceptable if that period was not significant. then I tried reading back (Friday) or forward (Monday) if the range was too ...
by painless
Fri Nov 17, 2006 12:04 pm
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 9648

Excellent! Thanks a lot :) I just took a quick look at the idea. I have a tool I tested recently based on a similar idea but I was just using time and/or range and not factoring in volatility (that was on weekly bars), so I was having trouble pegging the size of the opening range. It won't be too di...
by painless
Fri Nov 17, 2006 11:37 am
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 9648

Barli,
That is the dream system for me, something just based on a simple pattern. All my efforts at coming up with something have not been too good. But you give me hope. Do you think that is a good book to buy then and can you suggest any others in that specific field?
Thanks
Blair
by painless
Fri Nov 17, 2006 11:09 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9028

Gee I am just a minion. I started with $10000 because that was the minimum the broker would accept. A $200 drawdown won't get me very far.
javascript:emoticon(':lol:')
by painless
Fri Nov 17, 2006 11:05 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9028

an example

Ok let me give an example. I am currently testing USDX futures. This is what is turning up so far without using any stops. Just trading off the tool. From = 02/11/1987 To = 14/03/2000 One Contract only - no compounding Net = $66140 Max DD = -$6185 So how can one calculate anything in % terms. It is ...