Search found 40 matches

by stancramer
Thu Jul 14, 2005 9:21 am
Forum: Testing and Simulation
Topic: Requirements before buying backtester software
Replies: 10
Views: 6568

Requirements before buying backtester software

Some new systems testing programs are being offered for sale to the public, including but not limited to: Mechanica, Traders Studio, Trading Blocks Builder, MechTrade . These programs offer the capability to perform historical back-testing of mechanical trading systems, including advanced features l...
by stancramer
Fri May 27, 2005 6:25 pm
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 30972

Using the All Liquid portfolio of data that comes "out of the box" with Veritrader, I get MAR's 1.5 to 1.75, not 1.0. An example using the Dual Moving Average system produced the stats here. Standard Veritrader commissions and slippage as recommended by DanG were used, including zero interest. MAR w...
by stancramer
Wed Mar 09, 2005 12:46 pm
Forum: Testing Software
Topic: Trading Recipes vs. Wealth Lab
Replies: 2
Views: 6684

The vast majority of WL users seem to be stock traders, while the vast majority of TR users seem to be futures traders. WL was just acquired by Fidelity and some people are worried about whether the software customers of WL will be abandoned by Fidelity. (which is exactly what happened to the softwa...
by stancramer
Mon Nov 15, 2004 9:21 am
Forum: Money Management
Topic: main methods comparison
Replies: 1
Views: 2956

The good news is, there are some wonderful tools available to help you with your research and they don't cost a lot of money. Among the dozens on the market, that you can find using a search engine like Google, are ProSizer ($39) and Market System Analyzer ($149). Programs like these will let you tr...
by stancramer
Mon Sep 27, 2004 11:33 am
Forum: Stocks
Topic: Dogs of the Dow?
Replies: 5
Views: 6778

In my opinion there are several things wrong with that website (and O'Shaunessy's book DotD) They quote an arithmetic average of the yearly returns, when in fact what matters is the Compounded annual growth rate They don't present any "pain" data (such as maximum drawdown %, duration of longest draw...
by stancramer
Tue Aug 24, 2004 9:33 am
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36713

What historical returns and drawdowns have you seen for "anti-trendfollowing" systems and/or "non-trendfollowing" sysems? If you blend some trendfollowing systems with some anti-trendfollowing systems, do the results shift in a direction which pleases you? For example, with Veritrader, how does "Bol...
by stancramer
Tue Aug 24, 2004 9:25 am
Forum: Testing and Simulation
Topic: Toby Crabel's methodology
Replies: 8
Views: 11343

I'm experimenting with a system that fits your 1) 2) methodology above, but it isn't very Toby-Crabel-esque since it doesn't enter intraday. The system is approximately the Congestion Phase system of Eugene Nofri, as described in Perry Kaufman's book Trading Systems and Methods . In the 1987 edition...
by stancramer
Fri Jul 16, 2004 12:34 pm
Forum: Testing and Simulation
Topic: ATR Channel B/o System
Replies: 12
Views: 9348

This was discussed on the Van Tharp chatboard last month, http://www.mastermindforum.com/phorum/read.php?f=9&i=7969&t=7969&v=f and here is a sample: In quite a number of cases the motivation for "replicating the analysis" is timidity, lack of confidence. Re-doing something that a Guru has already do...
by stancramer
Fri Jul 16, 2004 11:18 am
Forum: Testing and Simulation
Topic: random trading / efficiency of the market
Replies: 2
Views: 2735

You might be interested in this thread. Free software!
viewtopic.php?p=3917
by stancramer
Thu Jul 01, 2004 11:07 pm
Forum: Trader Psychology
Topic: dealing with whipsaws
Replies: 14
Views: 18100

two words: Robo Broker
by stancramer
Sat Jun 19, 2004 11:31 am
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 10061

Martingale ist gut!

The German geniuses who run Wealth-Lab, are quite enamored of Martingale betsizing. No sarcasm. The very top ranked free systems on their website, are pure Martingale: Buy low. If it goes lower, buy more. If it goes still lower, buy still more. Really. These are stock systems and for consistency's s...
by stancramer
Mon May 31, 2004 9:59 pm
Forum: Testing and Simulation
Topic: Which Crude month(s) to trade.
Replies: 2
Views: 2643

A very reasonable compromise is roll over six times per year. After an email acquaintance suggested this, I tried it out and found it satisfactory. I trade the even numbered months (G J M Q V Z) mostly because I definitely want to be in the December contract (Z), which is extremely liquid. It's a pr...
by stancramer
Sat Apr 10, 2004 9:55 am
Forum: Money Management
Topic: Thoughts on Pyramiding
Replies: 3
Views: 4676

I am in complete agreement with this analysis:
viewtopic.php?p=6154&highlight=#6154
by stancramer
Tue Mar 23, 2004 12:56 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21907

The way people often describe it, is "measure the correlation of the equity curve returns [/b]." If you're testing without positionsizing (such as one-lot tests), returns = ( equity - equity[(i-1)] ) If you're testing with positionsizing (such as fixed fractional), returns = ( (equity / equity[(i-1)...
by stancramer
Tue Mar 02, 2004 4:17 pm
Forum: Custom C++ or Java Platforms
Topic: Testing Instrument Selection
Replies: 2
Views: 7076

You describe a method that works in input-space: create a Frankenstein's monster of spliced-together pieces of price series. Another methoud would operate in output-space: splice together pieces of equity curves. Start by assuming one "trading system" and N instruments. It'll be easy to generalize t...
by stancramer
Fri Feb 27, 2004 12:58 pm
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 7763

Two questions that could be asked are I have $15,000 to trade system X, how should I run backtests of X? I have chosen system X, how can I figure out an appropriate starting capital amount to trade X? Backtesting with a lot of different STARTCASH values, mostly helps you answer question #2. To answe...
by stancramer
Fri Feb 27, 2004 9:43 am
Forum: Testing and Simulation
Topic: Post Some Results / Test It Yourself
Replies: 4
Views: 5340

Some people, particularly those new to "A forum for mechanical system traders" (such as new purchasers of Veritrader), are still looking for a Guru to tell them This Is What You Should Do . These nice people haven't yet realized down in the core of their own being, that they are responsible for thei...
by stancramer
Thu Feb 26, 2004 8:12 pm
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 7763

One standard approach is: run your tests several different times with several different starting account sizes. In fact if you're testing using reinvestment of profits (such as fixed fractional positionsizing), it is quite illuminating to test with an unrealistically large starting account size like...
by stancramer
Thu Feb 26, 2004 11:25 am
Forum: Testing and Simulation
Topic: Backtested performance help
Replies: 8
Views: 7415

Assuming you're testing profitable systems :) the first year is the one with the lowest equity and the fewest # contracts and the most sensitive to rounding. One thing you can do to cool down the first year is make sure you are rounding down when calculating the number of contracts to trade. If your...
by stancramer
Sun Feb 08, 2004 12:42 am
Forum: Money Management
Topic: Question? Ralph Vince & How much to put on a trade?
Replies: 9
Views: 10055

JoeB, it is always proper and often insightful to ask "What do YOUR test results show?" (abbreviated WDYTRS). Please tell us, when you try three or four or five different methods of choosing your betsize, what do your test results say? Is one "better" (i.e. you like it more) than all the others? Do ...