Search found 51 matches

by painless
Fri Nov 17, 2006 9:56 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9030

Ok my fault. I don't want to know your account balance. I need to know how much equity is allocated per whatever is being quoted. So if someone says there drawdown is 30% on JY then it would have meaning if they quantified the starting capital per contract. eg: exchange margin * 2 or some such When ...
by painless
Fri Nov 17, 2006 9:23 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9030

I only want to know how to relate my performance not how much money others have. That was a nice link you gave me but I am no wiser and I checked the FAQ and statistics definitions link but still no joy.
YTD return on what? I cannot measure percentages on anything without a nominated start capital.
by painless
Fri Nov 17, 2006 8:47 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9030

My performance is ? no idea

I can find no reference to what anyone is using as an initial account balance. Without knowing this you can quote all sorts of statistics but it is apples and oranges unless we are all using the same initial amount. Is there some secret number that I don't know about? I have enjoyed reading the post...
by painless
Thu Nov 16, 2006 12:13 pm
Forum: Custom C++ or Java Platforms
Topic: Memory, Floating Point Representation, and Tradeoffs
Replies: 7
Views: 8641

That is my problem. I use tick data. I am switching all my code to my Apple, which is FreeBSD anyway. When I have my code finished I will buy one of the new 64 bit jobbies. I started my analysis programming on Unix and I am really looking forward to getting back onto it. To be honest I loathe windows.
by painless
Wed Nov 15, 2006 5:34 pm
Forum: Testing and Simulation
Topic: Correlation
Replies: 4
Views: 3520

Oh ok!
If I wanted to do that with say coffee vs cocoa then I would use the cash market data. No doubt there are correlations there but trying to use the futures would give me a headache. I think if you can unravel all that then you deserve a medal.
by painless
Wed Nov 15, 2006 5:28 pm
Forum: Testing and Simulation
Topic: How Do You Test?
Replies: 18
Views: 13731

Hi Turtle40, I guess I should try to answer your post, the polite thing to do. I think that the markets have a band of noise and sometimes it breaks out of this band and goes somewhere else to make noise. I am a trend follower type so I don't want to trade the noise. It doesn't take much to capture ...
by painless
Wed Nov 15, 2006 4:47 pm
Forum: Testing and Simulation
Topic: How Do You Test?
Replies: 18
Views: 13731

Oh now I see. Blox is a software package. I came upon this site via a google link. It seemed to have traders like me rather than pip traders at forex sites and the reference to turtle traders is a good thing I think. So does blox have a standard that you use to determine starting capital or somebody...
by painless
Wed Nov 15, 2006 6:07 am
Forum: Testing and Simulation
Topic: Correlation
Replies: 4
Views: 3520

I assume by correlation that you are comparing a cash market to a futures market. If you test futures markets using a period based indicator then the data must be adjusted for the difference that occurs at the time when the new contract is concatenated to the previous one. If not then your chart and...
by painless
Tue Nov 14, 2006 11:26 pm
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 9649

robustness - just my idea

Just for a giigle I made up Blair's Law. It goes like this: Since almost everything increase at a square. The robustness of a tool decreases at the square of the number of its parameters. So a tool with one parameter(p) = (p)^2 = 1 The holy grail has no parameters and thus = 0. So a tool with 3 para...
by painless
Tue Nov 14, 2006 9:06 pm
Forum: Testing and Simulation
Topic: How Do You Test?
Replies: 18
Views: 13731

Well that would be about 3 weeks to 2 months. Depends on the market but I like to mix up the trading periods. If I go for the shorter time frame then it just means smaller losses and more of them but the drawdown is about the same. I like being hundreds of points in profit coz I don't have to stress...
by painless
Tue Nov 14, 2006 1:31 pm
Forum: Testing and Simulation
Topic: How Do You Test?
Replies: 18
Views: 13731

comparisons are difficult

I look for low deviation from optimum and as few parameters as possible. I do not understand the basis by which % figures are quoted on this forum. You say MAR, for example, but what is the initial capital? D/D above 30%? Is there some standard that is used? I trade futures and do all my testing bas...