Search found 39 matches

by Algonquin
Fri May 16, 2008 10:16 am
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21435

Hello all, It has been two years since the last post in this very important (and helpful) thread regarding slippage estimates. And during those intervening years the markets have gotten progressively more volatile and noisy. However, commission costs have dropped dramatically, and electronic trading...
by Algonquin
Tue Apr 29, 2008 4:00 pm
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10875

Here's a thought: does smoothness of trends equate to smoothness of equity curves? If, because of your market selection rules, you are only trading five "smooth" instruments, I would think not. In fact, I would go so far as to say that five highly noisy instruments would provide a better risk adjust...
by Algonquin
Sun Apr 20, 2008 8:37 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10744

Thanks, Sluggo. For those interested, some trading commentary from myfuturesblog.com (no affiliation, just stumbled across it) regarding MOC orders. Not sure if others would agree, but thought it was worth sharing nonetheless. ***** ——————————————————————â...
by Algonquin
Sun Apr 20, 2008 7:50 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10744

Duh..I think I just figured it out. My trailing stops are just that -- stops. So that is where the slippage is occurring. Not on the entries, but on the exits.

Thanks again for the assistance.
by Algonquin
Sun Apr 20, 2008 7:44 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10744

Thanks, Sluggo. So I load your system on my computer, and as stated -- no slippage regardless of the slippage % setting. However, my system is extremely simple, and I have checked and double checked the code -- all orders are long or short on close. I am running version 2.2.9 on Vista, off my C: dri...
by Algonquin
Sat Apr 19, 2008 7:54 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 10744

MOC Slippage

Tim:

In a prior post, you stated that TB did not take slippage into account with MOC orders. However, when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account. Could you explain? Thanks.

Algonquin
by Algonquin
Fri Apr 11, 2008 9:37 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8940

Given the mammoth moves we have experienced recently in so many instruments, I would be concerned about the system's seeming inability to turn a profit, especially if it is designed to be trend friendly. Just my $.02.
by Algonquin
Thu Apr 10, 2008 6:57 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 18663

Incidentally, there is no "right way" to trend trade. The key is to develop a system that is consistent with your emotional makeup, and minimizes the potential for emotional drama in your trading. Many successful and notable trend traders utilize profit taking, such as Jerry Parker and Ed Seykota.
by Algonquin
Thu Apr 10, 2008 6:46 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 18663

If you have stong feelings about taking money off the table, or lightening up, these positively intended feelings (which are intended to get you focused on your risk control) will find a way to express themselves, probably through some unplanned drama. I think you have two options: work through your...
by Algonquin
Sun Mar 30, 2008 12:12 pm
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4170

Not really. If anything, geared slightly higher (CAGR=20%+).
by Algonquin
Sat Mar 29, 2008 10:53 pm
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4170

Yes, roll overs included.
by Algonquin
Sat Mar 29, 2008 3:21 pm
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4170

Rounds Turns Per Million -- How Low Can You Go?

I have developed a few very long term trend following systems, with solid performance characteristics. I developed the systems using 50% slippage assumptions, and thus gravitated toward systems with extremely low trading frequencies. Most of the systems trade between 200-250 round turns per million....
by Algonquin
Tue Mar 18, 2008 8:11 pm
Forum: Testing and Simulation
Topic: Data Problem: GC -- CSI Data?
Replies: 4
Views: 3176

Great comments. Many thanks to all!
by Algonquin
Sat Mar 15, 2008 8:21 pm
Forum: Testing and Simulation
Topic: Data Problem: GC -- CSI Data?
Replies: 4
Views: 3176

Data Problem: GC -- CSI Data?

I am using CSI data with the standard default settings. I was examining historical gold prices, and noticed that the high historical price is being shown as $1644 on 01/21/80. Even given the price distortions which occur with continuous back-adjusted data, this number seems way off, especially when ...
by Algonquin
Wed May 09, 2007 9:07 pm
Forum: Testing and Simulation
Topic: TradingBlox Roll Over Specifications
Replies: 3
Views: 3934

Thanks.
by Algonquin
Mon May 07, 2007 6:47 pm
Forum: Testing and Simulation
Topic: TradingBlox Roll Over Specifications
Replies: 3
Views: 3934

TradingBlox Roll Over Specifications

OK. So I searched the forum, using both the native search tool as well as Google, and was unable to locate a (the) post which specifies the roll over methodology used in calculating the sample data for TradingBlox. As I can only assume such a post exists, I was hoping a kind soul could point me to t...
by Algonquin
Tue Apr 03, 2007 10:07 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30654

From Ed Seykota: "As trading frequency increases, the profit potential per trade decreases, while the transaction costs remain the same . . . You can find optimize your system for trading frequencies by back-testing. You are likely to get fairly severe profit roll-off for frequencies above once / mo...
by Algonquin
Tue Mar 27, 2007 12:10 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35441

To be more precise, my intention in raising this issue is not to resurrect the tired debate surrounding back adjusted contracts. Instead, I am attempting to draw attention to some potentially more subtle issues that may arise as tested data series become more elongated. Specifically, over very lengt...
by Algonquin
Sun Mar 25, 2007 12:17 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 35441

Very Long Term Trend Following: The Data Implications

As many systematic trend followers migrate to very long term trend following systems, do the problems inherent in backadjusted data become more manifest and problematic? Thus, for example, if a trader is using a moving average system based on 300+ days, or a channel breakout system predicated on a 2...