Search found 143 matches

by Roscoe
Wed Jan 25, 2006 4:42 pm
Forum: Futures Markets
Topic: Daily Pricing
Replies: 1
Views: 2235

Hi Sandor. You could buy it from CBOT: http://cbotdataexchange.if5.com. Or you could subscribe to a daily data supplier – either way you get quality data that can be relied on, but with vendor-supplied data you also get a means to handle the rollover calculation. I use www.pinnacledata.com and I a...
by Roscoe
Sun Jan 08, 2006 11:57 pm
Forum: Money Management
Topic: Ryan Jones on his Fixed Fractional strategy.......
Replies: 12
Views: 15545

My own testing of Fixed Ratio to date shows much the same thing as Christian’s chart – a much-reduced equity curve compared to any flavor of Fixed Fractional. The most promising variation of FR is, as PaulZ states, the weighted version where the delta is weighted for each market.
by Roscoe
Sun Jan 01, 2006 5:03 pm
Forum: Brokers
Topic: Brokers and the Patriot Act
Replies: 9
Views: 8048

Thanks for that AG, from what you say it seems that Britain may not have an equivalent to the Patriot Act’s power to freeze accounts and the “guilty until proven otherwiseâ€
by Roscoe
Sat Dec 31, 2005 8:45 pm
Forum: Brokers
Topic: Brokers and the Patriot Act
Replies: 9
Views: 8048

Thanks Sluggo, I appreciate your reply. As a card-carrying alien I think I might be better to use a non-us broker until this “Patriotâ€
by Roscoe
Sat Dec 31, 2005 5:21 am
Forum: Brokers
Topic: Brokers and the Patriot Act
Replies: 9
Views: 8048

Brokers and the Patriot Act

I read somewhere in the media that the Patriot Act now requires, among many other things, that your bank or broker file a ‘Suspicious Activity Report’ to the Federal government on any client who transfers more that some nominal sum like $10,000 or any repetitive transfers of smaller amounts. Upo...
by Roscoe
Thu Dec 29, 2005 6:14 am
Forum: Testing and Simulation
Topic: Trading Solutions Software
Replies: 24
Views: 13108

Hi Marc, OK, I’m your basic cynic I guess – what I am suggesting is that the items that are neatly packaged for your convenience may not perform as well as the packaging suggests. I have bought a few systems over the years and none of them have been even mildly impressive really. OTOH a few of t...
by Roscoe
Sun Dec 18, 2005 6:06 pm
Forum: Testing and Simulation
Topic: Trading Solutions Software
Replies: 24
Views: 13108

Hi Marc, A couple of comments: if it sounds too good to be true then it very probably is too good to be true; and your own results will be proportional to the amount of effort you are prepared to put in. I'm sorry but there really is no free lunch. From this and your other posts I gather that you ar...
by Roscoe
Sat Nov 05, 2005 5:53 pm
Forum: Testing and Simulation
Topic: Ralph Vince Test Metrics - Discussion
Replies: 2
Views: 2407

Hi sluggo.

I would like to focus on the following metrics: Geometric Mean in it's unweighted form (ie. without the inclusion of f in the HPR formula) and in it's weighted form (which does include f) as well as optimal f and Estimated TWR.
by Roscoe
Fri Nov 04, 2005 10:46 pm
Forum: Testing and Simulation
Topic: Ralph Vince Test Metrics - Discussion
Replies: 2
Views: 2407

Ralph Vince Test Metrics - Discussion

Is anyone interested in discussing the test metrics that Mr Vince describes in his book "The Mathematics of Money Management", specifically the metrics in Chapter 1 "The Emprical Techniques"?
by Roscoe
Thu Oct 13, 2005 7:06 am
Forum: Trader Psychology
Topic: Overcoming fear when you increase your position size ...
Replies: 7
Views: 7910

I find alcohol to be very useful in situations such as these. Place the trade then sink a few cold ones and relaaaxxxx... But then I am Australian - your experience may vary.
by Roscoe
Fri Sep 30, 2005 6:50 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 8855

Hi Hubster. Has anybody ever researched the idea of trading a system across a portfolio of commodities, but adding or removing markets (e.g., corn) based on the trendiness of the particular market. This is the subject of ongoing research here. The conceptual key is to define the probability of succe...
by Roscoe
Fri Aug 05, 2005 5:39 pm
Forum: Money Management
Topic: Larry Hite on "why a high % of speculators lose money ?
Replies: 9
Views: 9977

Hello Paul, I have found that the 5% you can't code/automate can make a big difference to your performance. Could you describe some examples of the things that you can't code/automate please? I would like to try with my setup just out of curiosity. BTW, thanks for your e-books. I have read Expectanc...
by Roscoe
Wed Jul 13, 2005 7:00 pm
Forum: Data Providers and other non testing software
Topic: Data Manager Software?
Replies: 4
Views: 4885

Data Manager Software?

Does anyone know of any "Data Manager"-type software? What I want is an application that integrates futures data from a wide range of EoD vendors into a single, consistent format (which may include mapping symbol names to a uniform standard and adjusting decimal places, etc, etc.), preferably combin...
by Roscoe
Fri May 27, 2005 3:42 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 36126

Did you source this from his book/recent material? No, I got it from a mathematically clever friend and the results closely match my understanding/calculation of Ryan's book. I would like to work out ways to incorporate starting equity into the equation. I have tried the following variations: if(Cu...
by Roscoe
Fri May 27, 2005 2:14 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 36126

I am using this:

Code: Select all

    if(CurrentProfit > 0)
        NumContracts = max(1,(int)(sqrt(2*CurrentProfit/Delta+.25)+.5));
    else
        NumContracts = 1;
by Roscoe
Thu May 19, 2005 6:10 pm
Forum: Testing and Simulation
Topic: adjusted or not adjusted
Replies: 5
Views: 3430

Hi alcontes,

As you have found, the gaps between contracts makes non-adjusted data untradeable – personally I trade the same back-adjusted contract that I use for testing.
by Roscoe
Tue May 03, 2005 7:55 pm
Forum: Money Management
Topic: reasonable approach of the Kelly formula
Replies: 5
Views: 7696

Thanks Murray, I will code up your suggested variation to the Weighted Geometric Mean and see how it looks. My aim in all of this is to find a test metric that allows meaningful assessment of the robustness of a system, and using Mr. Vince’s unweighted HPR (which describes each trade as a multipli...
by Roscoe
Mon May 02, 2005 8:10 pm
Forum: Money Management
Topic: reasonable approach of the Kelly formula
Replies: 5
Views: 7696

Re: Tutorial on Optimal f

Murray Ruggiero wrote:If anyone has any questions , I will be happy to answer them in this forum.
Hi Murray,

I would be interested to hear your opinion of using Ralph Vince’s Estimated Geometric Mean (which requires first finding optimal f to calculate) as a system performance metric.
by Roscoe
Wed Apr 27, 2005 7:24 pm
Forum: Data Providers and other non testing software
Topic: German Bund data
Replies: 3
Views: 4820

Pinnacle have Bund data starting from 11/23/1989.
by Roscoe
Mon Apr 25, 2005 7:41 pm
Forum: Testing and Simulation
Topic: 20/10 Channel Breakout Results In Mechanica
Replies: 5
Views: 4673

Hi Dean, thanks for the post, interesting indeed. Do you have any control over the report content or is it all canned? Ditto the charts? TIA.