Search found 408 matches

by LeviF
Mon Jun 27, 2011 8:36 pm
Forum: Forex
Topic: Best FX Brokers
Replies: 19
Views: 10780

rossb34 wrote:LeviF, have you looked int FXManager with oanda?
You have to be a CTA to use it, so if i'm going to go the CTA route then I might as well go with a platform that has some back office support.
by LeviF
Mon Jun 27, 2011 12:02 pm
Forum: Forex
Topic: Best FX Brokers
Replies: 19
Views: 10780

I hold positions for a long time, so a pip here or there doesnt matter much to me.

Their variable unit sizes allow you to trade a $1,000 account exactly the same as a $1,000,000 account.
by LeviF
Mon Jun 27, 2011 11:38 am
Forum: Forex
Topic: Best FX Brokers
Replies: 19
Views: 10780

I have been with OANDA for 3 yrs and have been very pleased. But I have been considering getting registering as a CTA and they are not set up for dealing with professionals. I have been looking at citifxpro.com as an alternative.
by LeviF
Fri Jun 17, 2011 3:49 pm
Forum: Testing and Simulation
Topic: Portfolio Filter inflection point and trades
Replies: 6
Views: 2485

Maybe another case of change in the data? What happens now if you set test end date to 6/15 and generate orders?
by LeviF
Thu Jun 16, 2011 2:08 pm
Forum: Futures Markets
Topic: Dutch fund among hardest hit by commodities rout
Replies: 13
Views: 4810

Nevermind, I see its just an S&P DTI index tracker.
by LeviF
Thu Jun 16, 2011 1:30 pm
Forum: Futures Markets
Topic: Dutch fund among hardest hit by commodities rout
Replies: 13
Views: 4810

This just appeared on my radar.

http://www.wisdomtree.com/etfs/fund-det ... p?etfid=76

I'm sure there are other companies doing the same?...
by LeviF
Sun Jun 12, 2011 9:40 am
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 23800

I doubt there will be a time that long term fails and short term prevails. And if long term fails most of us are going to have to find another line of work.
by LeviF
Sat Jun 04, 2011 12:59 am
Forum: Testing and Simulation
Topic: Robust Optimization Question
Replies: 7
Views: 3582

I dont like to partition the data much because there are never enough years to go around. And if it performs good or bad on a couple of years of out of sample data, what does that really tell you? I think a good alternative is changing up the portfolio/instruments. Optimize on half, then add or swap...
by LeviF
Fri May 13, 2011 8:09 am
Forum: Testing and Simulation
Topic: Trading a large number of systems without a large account
Replies: 9
Views: 9036

Yeah, I trade 3 systems and just add up long quantity, subtract short quantity and viola, that is my net position. I do this by hand with 3 systems, but I suppose I could have Blox do it if I was trading 200 systems.
by LeviF
Fri May 06, 2011 12:29 pm
Forum: Futures Markets
Topic: Do you allow order executions outside of hours?
Replies: 1
Views: 1444

I do not leave any orders in the market and try to only trade during peak liquidity. Good/bad fills are probably a wash, but I know by trading during active hours slippage as a whole is reduced.
by LeviF
Thu May 05, 2011 8:33 pm
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16385

Chelonia wrote:Who made money today?

After today´s sell-off our equity was unchanged at close of business compared to yesterday´s closing equity.
Ha, getting killed so far this month.
by LeviF
Thu Apr 21, 2011 12:19 pm
Forum: Testing and Simulation
Topic: Swapping entry day stops to trailing after entry
Replies: 4
Views: 2058

What is the purpose of the different entry day stops? Cant you just use the trailing stops?
by LeviF
Mon Apr 04, 2011 2:20 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 11235

I cant imagine how excruciating it would be to try to do something like this on a spreadsheet.
by LeviF
Fri Mar 18, 2011 2:10 pm
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12271

A couple of my systems have been long yen for like 3 yrs. I've scaled out over time and my equity base is a lot larger today, so these big price swings dont have much impact.
by LeviF
Fri Mar 18, 2011 11:27 am
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12271

LeviF wrote:Rough couple of days. I was up almost 20% for the year, now up 4%.
Been quite the ride - back to where I was.
by LeviF
Thu Mar 17, 2011 12:46 am
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12271

Rough couple of days. I was up almost 20% for the year, now up 4%.
by LeviF
Tue Mar 15, 2011 10:42 am
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12271

I got crushed overnight with my exposure to AUD. Nothing atypical though.
by LeviF
Fri Mar 11, 2011 11:57 am
Forum: Testing and Simulation
Topic: Another new Goodness Measure; also, walking it forward
Replies: 18
Views: 6681

Interesting. This is related to my recent post here.

viewtopic.php?t=8225&highlight=leverage
by LeviF
Thu Mar 10, 2011 11:33 am
Forum: Testing and Simulation
Topic: Choosing between system signals
Replies: 2
Views: 1528

Something along the lines of this in the Can Add Unit script should do the trick.

Code: Select all

FOR index = 1 to test.systemCount STEP 1
tempinst.loadSymbol(instrument.symbol , index)
if tempinst.position <> out then order.reject
NEXT