Search found 392 matches

by RedRock
Fri Mar 12, 2010 1:26 pm
Forum: Testing and Simulation
Topic: London Metals Exchange data & backtesting
Replies: 15
Views: 8311

The LME is unique as when you trade, they write a contract 'just for you' with a prompt date x days out. This individual date contract will not match the standard 3 mo rolling contract CSI provides. LME is not the best place to begin trading forwards/futures...
by RedRock
Tue Mar 09, 2010 3:15 pm
Forum: Data Providers and other non testing software
Topic: Rolling on OI etc
Replies: 10
Views: 6101

AFJ Garner wrote:Rob at CSI sent me the following solution: using the Back Adjust overwrite option (Menu: Database/Edit Back Adjusted Rolling Overrides).
Lovely! Thanks for un-earthing this...
by RedRock
Sat Feb 20, 2010 10:11 pm
Forum: Market Psychology
Topic: How to change trader's mind set?
Replies: 5
Views: 5965

Imagine you are up on the moon. Sitting there. Looking back on yourself here, from afar. What would you tell yourself to do?


"Turn on, tune in, drop out" Or your own version of that...
by RedRock
Tue Feb 16, 2010 2:10 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25746

ahh - yes. So we are not without value and moral standing to and within society. Long live those who accept, and perhaps even manage, risk... The excesses from our larger institutional brethren would be the cause of negative public perception towards the 'evil' speculators. That and the 'pain' felt ...
by RedRock
Tue Feb 16, 2010 11:43 am
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25746

I share Mr Bassos' position.
by RedRock
Thu Feb 11, 2010 1:34 pm
Forum: Testing and Simulation
Topic: Warning: Potential CSI Data Problem - March Corn Low
Replies: 5
Views: 2233

Thanks for doing the research! for that monday there is an 'A' next to the low of 347'2 which means some joker posted an offer at some point that is lower than the lowest actual traded price. the spreads are about 11(k) and 22(n) cents so the 347'2 low offer is clearly off by 4-5 cents. my csi data ...
by RedRock
Tue Feb 02, 2010 1:18 am
Forum: Data Providers and other non testing software
Topic: rollover on 2 laptops
Replies: 3
Views: 2203

Try copying the portfile.adm from your main computer to your backup version. I believe its in the archive folder within csi. With both CSIs closed, (presuming the same csi version) Copy the file to the backup location overwriting the existing version. This should make a duplicate of your main portfo...
by RedRock
Sat Jan 23, 2010 7:40 am
Forum: Testing and Simulation
Topic: Is Monte Carlo Analysis Useful?
Replies: 6
Views: 5600

Re: MonteCarlo

Levi wrote:
marriot wrote:Does it mean something?
No.
A prediction of the future? Prolly not. But I do infer aspects of 'health and character' from these displays. Some may find scientific value within (or not). For me, the value is more right brain.
by RedRock
Tue Dec 22, 2009 2:07 pm
Forum: Market Psychology
Topic: Trader Resolutions
Replies: 7
Views: 6812

#14 Remember to keep office door closed so cat can not walk on keyboard thus causing random trades in various markets. So far over the past year, he's up handsomely. But I fear the long term consequences!
:wink:
by RedRock
Thu Dec 10, 2009 12:05 pm
Forum: Data Providers and other non testing software
Topic: Comparing price data between CSI, Pinnacle and TradeStation
Replies: 3
Views: 2718

pppfffff Data. My favorite is still around holidays when chaos reigns supreme. Look, up in the sky.. Its a bar, its three days, its two days?, Its wonder bar...
by RedRock
Mon Dec 07, 2009 1:31 am
Forum: Testing and Simulation
Topic: Risk with Vol. Position Sizing
Replies: 5
Views: 2693

Good question. While a boatload of Eurodollars is certainly doable from a liquidity perspective. I often ponder the potential consequences of black swan related events...
by RedRock
Tue Nov 10, 2009 12:40 am
Forum: Testing and Simulation
Topic: Backtesting alone, or all in (things that make you go, hmm)
Replies: 8
Views: 2920

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 pos...
by RedRock
Tue Nov 10, 2009 12:22 am
Forum: Testing and Simulation
Topic: Backtesting alone, or all in (things that make you go, hmm)
Replies: 8
Views: 2920

http://www.tradingblox.com/forum/viewtopic.php?p=10697&highlight=#10697 Good find, that... Ill copy the relevant paragraph here from the post by Forum Management: "Another, even less intuitive truth (and one the better of my fellow fund managers might wish I/we didn't discuss) is that a portfolio o...
by RedRock
Mon Nov 09, 2009 6:36 pm
Forum: Testing and Simulation
Topic: Backtesting alone, or all in (things that make you go, hmm)
Replies: 8
Views: 2920

Hmmmm Maybe! Many shades of grey between here and Tucumcari.
by RedRock
Mon Nov 09, 2009 5:00 pm
Forum: Testing and Simulation
Topic: Backtesting alone, or all in (things that make you go, hmm)
Replies: 8
Views: 2920

Backtesting alone, or all in (things that make you go, hmm)

Curious others thoughts on combining systems and optimization. When developing a system, often the parameters are varied in search of a set yielding results suited to the designers tastes. Best profit, highest MAR, etc etc. When adding a second, or subsequent system to the portfolio or suite, of sy...
by RedRock
Tue Oct 20, 2009 12:34 pm
Forum: Trend Indicators and Signals
Topic: Ablesys feedback
Replies: 5
Views: 5258

Ablesys feedback

Ive been getting Ablesys solicitations for about forever. Looks like a fairly robust trend following methodology. I've donated plenty to system vendors thru the years but have never bitten on this one. Curious if anyone has explored the program and has any comments they would care to share? Do they ...
by RedRock
Thu Oct 15, 2009 2:52 pm
Forum: Testing and Simulation
Topic: Sector Limits
Replies: 12
Views: 5214

Its clear that large drawdowns can be a result of having too many correlated positions move against you at the same time.. and sector or correlation limits seems to provide a viable way of trackling this I wonder if these correlations were the same as those defined back in the 80's? There is no men...
by RedRock
Thu Oct 15, 2009 2:47 pm
Forum: Testing and Simulation
Topic: Sector Limits
Replies: 12
Views: 5214

The Turtle experiment ended 21 years ago. Yet some people remain intrigued and fascinated by it, even today. They thirst for details, facts, and specifics, ... Final thought: the Turtle experiment ended 21 years ago. Some thoughts from the horses mouth: http://www.curtisfaith.com/2009/10/12/qa-on-o...
by RedRock
Mon Oct 12, 2009 2:31 pm
Forum: Testing and Simulation
Topic: Managing old positions
Replies: 4
Views: 2061

Hows that old saw go...
Ones winning positions are never big enough, losers, small enough.

I'm sure Ralph Vince would have an equation to explain the quandary though.
by RedRock
Thu Sep 03, 2009 5:29 pm
Forum: Testing and Simulation
Topic: Exits not more important than entries?
Replies: 7
Views: 4371

Asamat wrote:I You can not use a rocket engine in a car simply because it is also called an engine. .
Depends on your goal... eh
http://tinyurl.com/The-Blue-Flame
:)