Search found 143 matches

by Roscoe
Mon Feb 16, 2009 5:22 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10536

Surely you did inquire into the nature of those two bumps at 70 an 85 No, I was really just interested in the relationship between DD and return and a few other things (the chart in my post has been trimmed to show just DD and return) and I don't tend to dissect test data to any fine degree as I am...
by Roscoe
Sun Feb 15, 2009 6:44 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10536

I don't know if this helps any but I have observed a linear relationship between drawdown and return and that relationship has remained fairly consistent across many hours of testing. The attached chart shows the effect of increasing risk on return and drawdown in a test portfolio. It should be note...
by Roscoe
Thu Jan 29, 2009 10:27 pm
Forum: Custom C++ or Java Platforms
Topic: Hello / Extending Java code?
Replies: 6
Views: 5063

Hi RedRock! $25K is for the full application. The Calculation Engine Source Code option is there to cater for CTA's who need to own the complete source code as well for security/continuity reasons. I am not kidding when I say that this application is brilliant and well worth the price if you are rea...
by Roscoe
Wed Jan 28, 2009 4:08 am
Forum: Custom C++ or Java Platforms
Topic: Hello / Extending Java code?
Replies: 6
Views: 5063

Hello Steven and welcome. I faced the same decision some years back and I elected to spend a few months to research all the available applications. Only one application fully met my extensive list of requirements and so I purchased it ( PowerST ) and I have been very pleased with the result. I could...
by Roscoe
Mon Jan 12, 2009 8:07 pm
Forum: Testing and Simulation
Topic: Any software to test multi-system portfolio performance?
Replies: 7
Views: 3984

I use www.PowerST.com, which will do all that you ask and (and lot more besides).
by Roscoe
Sun Dec 28, 2008 7:36 pm
Forum: Data Providers and other non testing software
Topic: data vendor other than CSI
Replies: 7
Views: 4507

Re: data vendor other than CSI

Any good data vendor suggestions? I have used Pinnacle for years www.pinnacledata.com and have been very pleased with them. My preference is for ASCII files however Pinnacle also produce other formats and 3 types of rollover. Separate files for electronic and floor sessions in many cases, although ...
by Roscoe
Sun Sep 14, 2008 8:49 pm
Forum: Money Management
Topic: Maximum MAR; optimal betsize
Replies: 7
Views: 12163

Perhaps I can expand slightly on what Eric has just said: if my memory serves, Optimal f delivers the highest geometric rate of growth (translation: the most money that can be made) but while it does this it can incur epic drawdowns in the process. MAR, as Eric says, is CAGR/MDD and so while the CAG...
by Roscoe
Wed Aug 27, 2008 4:20 am
Forum: Testing Software
Topic: XP Service Pack 3
Replies: 8
Views: 5811

Did mine months ago, no problems of any kind. Haven't seen much negative feedback on forums, SP3 seems to be a goodie.

But make sure that you back everything up before you install it just to be on the safe side. Better safe than sorry and all that.
by Roscoe
Sun Oct 07, 2007 2:58 am
Forum: Data Providers and other non testing software
Topic: CSI vs Pinnacle data ?
Replies: 26
Views: 20689

When preparing marketing material you could dress it up and allude to it as one of your proprietary "sources of alpha," thereby basking in the glow of a hot buzz-phrase. Heh heh, sounds great, pity I have nothing to market :D I'm generally in favor of getting some kind of an advantage by building t...
by Roscoe
Fri Oct 05, 2007 10:02 pm
Forum: Data Providers and other non testing software
Topic: CSI vs Pinnacle data ?
Replies: 26
Views: 20689

At the risk of sounding like a broken record, what I would really really really like is some software that would allow me to take raw contract data from whatever source and do my own formatting and rollovers. By that means I could keep Pinnacle as my primary data source and add other markets from, s...
by Roscoe
Wed Sep 19, 2007 9:22 pm
Forum: Testing and Simulation
Topic: Correlation: Between Markets or MarketSystems?
Replies: 5
Views: 5443

Correlation: Between Markets or MarketSystems?

This question keeps nagging at me and I would appreciate the input of some of the fine minds on this forum: the primary purpose of determining correlation would seem (to me anyway) to be in order to buffer drawdowns that could otherwise result from having all your trades go the one way at the one ti...
by Roscoe
Tue Jul 17, 2007 6:03 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29614

Then if you have six generic entries (e.g. (1)MA cross, (2)Channel Breakout, (3)RSI extreme, (4)Bollinger Band Breakout, (5)Opening Range Breakout, (6)ADX pop) and six generic exits, you need to test 6 x 6 = 36 different combinations of an entry and a corresponding exit. That is my thinking anyway ...
by Roscoe
Tue Jul 17, 2007 2:34 am
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29614

Great thread! My $0.02 worth: I have not (yet?) found much benefit from either testing entries in isolation or MAE/MFE beyond general interest. I believe that any entry must have a corresponding exit and that therefore the two actions or entities are inextricably linked. With that in mind and also r...
by Roscoe
Sun Jun 03, 2007 8:42 pm
Forum: Testing and Simulation
Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
Replies: 6
Views: 6808

I think that londonpopart has a potentially viable idea here. The attached pic shows the percentage contribution that each MarketSystem makes to the overall open equity of a randomly-chosen portfolio per day and, although the display is a bit cluttered, it can be clearly seen that each MarketSystem ...
by Roscoe
Wed Apr 11, 2007 4:11 pm
Forum: Brokers
Topic: Open E-Cry - Gone Quiet?
Replies: 5
Views: 8526

This is a final follow-up in response to a few PM's that I have received on the subject of opening accounts with OEC - seems that I am not the only one having problems with them. The whole OEC thing still has me confused - it seemed like everything that could go wrong did go wrong. They never advise...
by Roscoe
Thu Mar 22, 2007 5:37 pm
Forum: Testing and Simulation
Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
Replies: 13
Views: 10118

Hi Sluggo. I have a form of #1 as part of my standard testing code but it is very simple - it exits at market after D bars but D is just a static value. I never really found a lot of use for it really, it was based on a suggestion from Chuck LeBeau as a means for testing entries (try 5, 10, 20 bars)...
by Roscoe
Thu Feb 01, 2007 5:35 pm
Forum: Brokers
Topic: Open E-Cry - Gone Quiet?
Replies: 5
Views: 8526

Just an update - I still haven't managed to actually open an account with Open E-Cry and in fact I have just instructed Daniel and Rick to forget about it and return my money forthwith. The last straw was a message this morning requiring my wife to sign a form because the bank account that I transfe...
by Roscoe
Thu Jan 11, 2007 2:08 pm
Forum: Brokers
Topic: Open E-Cry - Gone Quiet?
Replies: 5
Views: 8526

Rick called me last night (at 1:00am - dam time zones) to confirm that my account had indeed been setup for some time but for whatever reason I have not been getting their e-mails of confirmation, etc. I do my own spam filtering and Openecry is whitelisted (I just checked and there is nothing in the...
by Roscoe
Wed Jan 10, 2007 11:38 pm
Forum: Brokers
Topic: Open E-Cry - Gone Quiet?
Replies: 5
Views: 8526

Open E-Cry - Gone Quiet?

Are these guys still operating? After piles of promotional mailings from them I have been trying to open an account since Tuesday January the 2nd. The on-line application went just fine - I got to the "Signing Complete" page, faxed off my ID details as instructed and nothing more happened - I was su...
by Roscoe
Sat Nov 11, 2006 5:09 pm
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9935

Personally, I think NN is mathematical masturbation, too much activity for what, in the end, is a less than fully satisfying result. Both in the insurance industry, and in trading, I think simpler solutions are the best. Amen! NN sounds good, at least until you think about it a bit, at which point ...