Search found 143 matches

by Roscoe
Thu Jan 06, 2011 8:27 pm
Forum: Testing Software
Topic: Hard Disk Backups
Replies: 5
Views: 3201

Hi PaulZ! I am starting to think that having a backup to the cloud makes a lot of sense. I manually encrypt and upload my trading systems and tools to some space on my ISP's server as well as a free Yahoo e-mail account, but that is only when I think that I need to do it. My only reservation with th...
by Roscoe
Sun Oct 17, 2010 11:48 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7828

Bump.

C'mon guys, no serious answers at all? Nobody seen anything that might be worth a look at? No C++ coders looking far a small job? Maybe this will have to go onto the back burner again.
by Roscoe
Fri Oct 15, 2010 3:33 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7828

But perhaps we can start a Roll-over Tribe on this forum; we have illuminated :idea: :idea: :idea: members I'm in. But who shall lead us? Brother AFJ is a sage-like figure, while Brother Sluggo speaks oft times in parables. Perhaps you Brother Kianti? Or the venerable Brother RedRock? We will need ...
by Roscoe
Fri Oct 15, 2010 2:04 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7828

Thanks kianti, but I was hoping for something that doesn't require face paint and a trance state to operate (sorry Ed).
by Roscoe
Thu Oct 14, 2010 5:47 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7828

Continuous Data Building Software

Every once in a while I come back to this topic - I get sidetracked onto something else and lose myself in that and then I come up for air and look at my TODO list and think "Damn, forgot about that". So here I am again - I want to acquire or build software that would allow me to construct my own co...
by Roscoe
Sun Sep 12, 2010 9:32 pm
Forum: Money Management
Topic: Ralph Vinces new Leverage Space Model?
Replies: 6
Views: 5114

White Cube wrote:Hi Roscoe
Did you manage to implement Vince leverage space model ?
Yes I did. Worth the effort IMO.
by Roscoe
Wed May 12, 2010 7:42 pm
Forum: Money Management
Topic: Ralph Vinces new Leverage Space Model?
Replies: 6
Views: 5114

babelproofreader wrote:Collaborate with these people?
http://r-forge.r-project.org/projects/lspm/
Indeed I am, and have been for some time in fact.
by Roscoe
Wed Jan 13, 2010 7:15 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7867

N00b question here if I may: I have no idea about Octave or MatLab but I can do things in C++ - is there any chance that the code would be relatively transportable to C++ or is that unlikely? TIA. Edit: I do use R a bit if that helps. On the surface it seems to do some of what Octave does.
by Roscoe
Sun Dec 27, 2009 9:40 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7867

I would absolutely LOVE to have software that does that!! These would be some options that I would want: Standalone stitching application (maybe in C++?) Specify input files location and naming convention Specify output files location and naming with an option to change the output filename (this is ...
by Roscoe
Mon Nov 09, 2009 10:27 pm
Forum: Testing and Simulation
Topic: Backtesting alone, or all in (things that make you go, hmm)
Replies: 8
Views: 2895

My personal take on this owes a lot to the work of Ralph Vince, and can be briefly summarized as follows: 1) use simple robust systems that have a positive mathematical expectation and exhibit a low variance between trades then 2) use a money management strategy to leverage the results . I have post...
by Roscoe
Wed Aug 26, 2009 7:08 pm
Forum: Testing and Simulation
Topic: portfolio question
Replies: 12
Views: 4829

My $0.02 worth: correlation is essentially meaningless for all practical purposes. And when there is a major move all markets become correlated anyway. I can see (and find) no way to make use of correlation information.
by Roscoe
Tue Jun 23, 2009 7:16 pm
Forum: Money Management
Topic: Ralph Vinces new Leverage Space Model?
Replies: 6
Views: 5114

I am working on it at the moment. Could take a while though, don't wait up.
by Roscoe
Wed Jun 17, 2009 3:20 am
Forum: Data Providers and other non testing software
Topic: pinnacledata.com is down
Replies: 4
Views: 2956

Good to hear. Stick with them, you will not be disappointed!
by Roscoe
Tue Jun 16, 2009 7:33 pm
Forum: Data Providers and other non testing software
Topic: pinnacledata.com is down
Replies: 4
Views: 2956

Site works just fine and I just downloaded my data. Maybe it is something at your end? FWIW I have used Pinnacle for years and never had any issues with them or their service.
by Roscoe
Mon Mar 23, 2009 8:21 pm
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

I would paraphrase the original question as: given the results I have, obtained from testing in a specific market environment, how confident can I be that draw down of 12% is normal, or is over or understated for these market conditions? IMO and given the limited information available my confidence...
by Roscoe
Sat Mar 21, 2009 10:24 pm
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

Hi maildigger, and welcome aboard. You have just asked the BIG question. I found my answer in the book Mathematics of Money Management by Ralph Vince, specifically the Weighted Geometric Mean. That, along with quite a few statistical checks, can get you a handle on the goodness (or otherwise) of a g...
by Roscoe
Sun Mar 08, 2009 3:49 am
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 3995

Re: Portfolio size

What 's an optimal portfolio size for such a system? I seem to recall Ralph Vince giving the math to find the optimal portfolio size, and the optimal number was actually quite small. Try his most recent book for detail. In my testing with starting account size of $1M I came up at 12 MarketSystems a...
by Roscoe
Sun Feb 22, 2009 10:01 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Common stocks, so can I assume long only? And what length is the ATR entry stop?
by Roscoe
Sun Feb 22, 2009 7:19 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

The Question: What other performance stats would you look at to diagnose a "fix" or improve this system? I would be willing to pay someone who knows how to address this. My $0.02 worth: separate the system from the portfolio/money management - let's call this the system's raw state - then apply a f...
by Roscoe
Mon Feb 16, 2009 10:39 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10476

alp wrote:did you test the drawndown reduction threshold rule or instead only the relationship between bet size and return?
Just the relationship in the chart shown. I agree with Gunter.