Search found 121 matches

by ksberg
Thu Jul 15, 2004 3:22 pm
Forum: Testing and Simulation
Topic: ATR Channel B/o System
Replies: 12
Views: 9300

Bondtrader ... my setup, markets and periods should be pretty close to what you indicate (funny, your results are in the same ballpark). Also, I am not using VeriTrader, and am not cherry picking. The comment on portolio was more for YMMV.

Kevin
by ksberg
Thu Jul 15, 2004 1:43 pm
Forum: Testing and Simulation
Topic: ATR Channel B/o System
Replies: 12
Views: 9300

CBO or Turtle?

If you are talking about straight ATR/CBO, that's probably correct. If you are talking Turtle, then other rules significantly enhance the MAR ratio (last trade rule, correlation rules, scaling rules, risk mgmt rules). I've seen as high as 1.8, depending on portfolio selection.

Cheers,

Kevin
by ksberg
Mon Jul 12, 2004 9:20 pm
Forum: Futures Markets
Topic: Which commodity is good for beginner trader?
Replies: 18
Views: 10385

I made a serious mistake which makes all my questions irrelevant, I know I'll laugh my head off about this a year down the road, but you guys go ahead first. I misread the prices for the futures I was testing on. The prices were in ASCII format and came like "230.50" or "242.25". This means $2.30-1...
by ksberg
Sat Jul 10, 2004 11:56 am
Forum: Futures Markets
Topic: Which commodity is good for beginner trader?
Replies: 18
Views: 10385

"Safer" commodity

I agree with Richard: stick with one-lots and look for liquidity. It probably is also easier to also start by focusing on one market. I would shy away from highly volatile markets. But, just like a Volvo might be safer than a Ferrari, it's the guy behind the wheel that ultimately makes the biggest d...
by ksberg
Wed Jun 30, 2004 10:47 pm
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 11751

Re: Further thoughts on Backtesting

I still dont see how walk forward testing can be too heavily criticised. If you take a 10 year stretch of data to be tested , for example , 1990 - 2000 .. you then design a system that seems to work well .. perhaps an MAR of 2. You then roll it forward and test it on 2000-2004 and you get an mar of...
by ksberg
Wed Jun 30, 2004 7:31 pm
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 11751

Time Periods

One could also counter that if you write self-adapting systems, then any timeframe is fair game. I think the question of period has to be seen in context of which markets. The S&P made a significant change in 1997 (outside the scope of 80-89). Bonds characteristics have also undergone change. At a r...
by ksberg
Wed Jun 23, 2004 12:29 pm
Forum: Money Management
Topic: Total Capital Requirements
Replies: 5
Views: 5860

Getting Started

Asterix, It's been said that you want to match a trading system to personal characteristics, but I would add that you need to also match personal constraints. I believe there are a whole range of options (I employ several of the ones mentioned). I've found that many traders have a desire to focus on...
by ksberg
Mon Jun 21, 2004 12:31 am
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7725

Martinizing

Stephen: Here here! We now return to our regularly scheduled forum on mechanical systems trading :-)

Kevin
by ksberg
Sat Jun 19, 2004 5:26 pm
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7725

Martingale

Forum Mgmnt, Thanks. Those are the posts I refer to. I was beginning to wonder if it was all a hallucination. I think the hallucinations are coming from a different direction. I would ask Mr. HarryTrader just how martingale and anti-martingale are the same mathematically. It's a little like saying ...
by ksberg
Fri Jun 11, 2004 2:49 am
Forum: Custom C++ or Java Platforms
Topic: Advice for gaining ATS experience through real trading
Replies: 5
Views: 6966

War Stories

Hi Karl, I'm sure there are probably a few war stories around to be shared on this topic. I'll share what I know and remember, but your mileage may vary. There's a huge class of errors around real-time trading aspects. Is the network active? Is the feed active? Is the order routing channel active? D...
by ksberg
Fri Jun 04, 2004 3:17 am
Forum: Testing and Simulation
Topic: Parameter Search Algorithms
Replies: 3
Views: 2845

Large Optimizations

Here are some questions that come to mind, and how I have approached similar situations. What characteristics do I want in an optimal solution? Is is nessecary to examine the entire problem space? Can I sample the problem space? What conclusions can I draw from the aggregate sample? When optimizing,...
by ksberg
Fri May 07, 2004 10:53 am
Forum: Trend Indicators and Signals
Topic: Mode Switching
Replies: 6
Views: 5641

Multiple Systems

Forum Mgmnt, Agreed, the "future mode" problem is precisely why ADX, VHF, and similar techniques work poorly: they let you know what you should have been trading in the recent past. Existing predictive modes in trading include Elliott wave, fibonacci retracements, cycles, and fourier/wavelet-related...
by ksberg
Thu May 06, 2004 9:50 pm
Forum: Trend Indicators and Signals
Topic: Mode Switching
Replies: 6
Views: 5641

Eternal Question

Ah Ross, the eternal question! If I only knew the mode :!: Lot's of people have tried, Wells Wilder with ADX, Adam White with Vertical Horizontal Filter (VHF), even Sweeney in Campaign Trading . I noted a link on the forum to papers by Charlie Wright, one of which bears some pertinence here Markets,...
by ksberg
Fri Apr 23, 2004 12:40 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75133

Re: By What Measure? - How do You Know if a System is Good?

A good system IMO is: Drawdown <20% Returns >25% I would prefer to use: Drawdown <15% Returns >35% For the most part, both returns and draw down can be controlled by the amount of risk allocated for position sizing. For example, a system with 35% return and 15% drawdown has a MAR ratio of 2.3. If y...
by ksberg
Wed Apr 14, 2004 2:45 pm
Forum: Testing Software
Topic: Keeping Track of Changed System Code
Replies: 5
Views: 4596

Keeping Track of Changed System Code

MODERATOR'S NOTE: This topic was split from the "Imagining the Dream Testing Software" topic. This particular post was in response to the request for a feature to keep track of changes made to systems. Ted Try using a version control system (like RCS, CVS or subversion). It actually helps on trackin...
by ksberg
Sun Apr 11, 2004 1:25 pm
Forum: Money Management
Topic: Thoughts on Pyramiding
Replies: 3
Views: 4660

More thoughts

BBC

I think the part that does make sense is looking at each scaled entry as a distinct system, doing analysis as appropriate, and choosing the strategy based on the results of that analysis. The aggregate systems and analysis reminds me of John Sweeney's Campaign Trading.

Cheers,

Kevin
by ksberg
Sat Apr 10, 2004 2:02 am
Forum: Money Management
Topic: Thoughts on Pyramiding
Replies: 3
Views: 4660

bbc, I've spent a lot of time recently thinking about pyramiding, and I've started to wonder whether the way people think about it really makes sense. The first danger is in thinking we know how other people are thinking ;-) I've seen many different perspectives on pyramiding/scaling. Your suppositi...
by ksberg
Thu Apr 08, 2004 4:07 pm
Forum: Trend Indicators and Signals
Topic: turtle rules for short selling equities?
Replies: 1
Views: 3117

Equities

Ok, I'll bite ... original Turtle rules didn't mention anything about equities. They were constructed for the futures markets. Some folks have adapted the original rules to other markets such as FOREX. Maybe someone can chime in who's successfully implemented them on equities (search the board for d...
by ksberg
Wed Apr 07, 2004 3:08 pm
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22827

Normal Distribution

RangeRover, Excellent point. We'd have to really examine the distribution of what is being measured; it may or may not have a normal distribution. In terms of variance between projected slippage and actual slippage, that may depend on how you're accounting for slippage. If, for instance, your fill f...
by ksberg
Wed Apr 07, 2004 3:30 am
Forum: Testing and Simulation
Topic: what system testers do you use?
Replies: 2
Views: 2814

Custom Software

dig1, I would encourage you to talk directly with people who have hired out to have custom systems built before you decide to embark on custom software. Ask about how they arrived at a shared understanding of what was to be built, and how the final product met their expectations. Ask if they needed ...