Search found 110 matches

by alp
Sat Jan 24, 2009 7:59 am
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 3453

Re: Discretion

I would like to bring up the topic of allowing for a certain degree of discretion when trading a mechanical trend following strategy. I know that these two approaches should be mutually exclusive, but we are currently seeing some pretty extreme movements across number of markets, some of which I fe...
by alp
Tue Jan 20, 2009 9:13 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35348

With regard to the mathematicians, it looks like they quickly learn the laws of marketing as well. Their task as successful hedge fund managers is to make people believe they have something special, the key to the secret misteries nobody else has. So, I believe that their interviews are just bullshi...
by alp
Tue Jan 20, 2009 1:07 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35348

I will, however, add that according to my testing, pure Trendfollowing systems (i.e. moving averages/bands, higher high breakouts etc) have stood the test of time . . . . so far!! Will they continue to do so? Again, who can know Any comments? The markets are unfathomable, just like the human emotio...
by alp
Tue Jan 13, 2009 5:35 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16642

My experience goes in the same lines. Yet, sometimes, I still feel tempted to try, research and experiment with some "mean-reversion" or top-bottom-picking system. The lures of having the power to call the next move... of feeling god-like... They never go away.
by alp
Tue Jan 13, 2009 5:08 pm
Forum: Money Management
Topic: How to deal with correlated instruments
Replies: 15
Views: 8032

Alp, I would argue that, conceptually, trading forex cross rates is akin to spread trading in commodities and as such, why would you expect a LTTF approach with LTTF parameters based on the majors to work in such a spread trading scenario? This might explain why there was such a reduction in portfo...
by alp
Mon Jan 12, 2009 8:41 pm
Forum: Testing and Simulation
Topic: Any software to test multi-system portfolio performance?
Replies: 7
Views: 3942

Re: Any software to test multi-system portfolio performance?

ezbentley wrote:Does anyone know any software package that does backtesting on a multi-strategy portfolio?
Ask Tim Arnold for a trial copy of Trading Blox Builder, read the documentation, ask for feedback and, finally, decide for yourself.
by alp
Mon Jan 12, 2009 6:35 pm
Forum: Money Management
Topic: How to deal with correlated instruments
Replies: 15
Views: 8032

Thanks. I just made a small test against the correlated groups. For instance, run a test against EURUSD, GBPUSD, AUDUSD, USDJPY, USDCHF and USDCAD. And then, afterwards, include the cross-rates of all these currencies: EURJPY, EURAUD, EURCAD, EURGBP, EURCHF, GBPAUD, GBPJPY, GBPCHF, GBPCAD, AUDJPY, A...
by alp
Sat Jan 10, 2009 9:36 pm
Forum: Money Management
Topic: How to deal with correlated instruments
Replies: 15
Views: 8032

I was thinking about doing some research about this and I bet some of you have already done it and, perhaps, I could spare my time and money (since I don't have good historical data of cross-rates). Premise: If the base currency is, for instance, USD then it doesn't make sense trading cross-rates. A...
by alp
Sat Jan 10, 2009 7:24 pm
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 3758

bobsyd wrote:Alp, curious about your "not of high quality" comment. From what perspective?
From the perspective of accuracy. See attached examples.
by alp
Sat Jan 10, 2009 2:52 pm
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 3758

bobsyd wrote:Try an account with GFT, you can export data from their charts.
Thanks. Their data is not of high quality, but they supply good history, back from 1971. Whatever the forex pairs XAGUSD and XAUUSD are not available at their platform.
by alp
Fri Jan 09, 2009 6:55 pm
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 3758

Re: Gold & Silver cash price data

I can trade gold & silver spot prices through my forex broker, but I can't find any good data for testing. The CSI cash data is only closing prices. Any ideas to get OHLC? I think you refer to the FOREX pairs XAUUSD and XAGUSD, right? With regard to historical data, you might try http://disktrading...
by alp
Mon Jan 05, 2009 8:28 pm
Forum: Testing and Simulation
Topic: Can terminology hide a multitude of sins.
Replies: 9
Views: 3166

And shouldn't we focus more on our ability to understand the nature of system A'(s) and our own psychological capability to follow them. I always thought that a great saying was that good, well researched systems never die. All that happens is their risk profile fluctuates. Yes it may fluctuate so ...
by alp
Tue Dec 23, 2008 5:49 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25016

Re: What about insurance companies? Banks?

I'm not saying that rampant, unbridled speculation isn't unproductive - I'm sure all of those house-flippers in California should have been spending their time looking for a cancer cure - but speculators grease the wheels of capitalism. Perhaps the house-flipping market is just not liquid enough, i...
by alp
Mon Dec 22, 2008 7:16 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25016

If speculators were not there willing to take the other side of the transaction when producers wanted to transfer risk how would they do it? Moreover, I don't have the statistics, but if we consider all of the speculators participating in the markets, I guess the majority is mostly actually taking ...
by alp
Mon Dec 22, 2008 7:07 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25016

From the Yale University lecture, it sums it up to: You will see what I mean by considering for a moment the institution on which our whole economic fabric rests, private property. There are certain writers who believe the institution to be profoundly immoral. The Frenchman Proudhon answered the que...
by alp
Sun Dec 21, 2008 7:56 am
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25016

Is trading moral and ethical?

Do you think that making money out of systematic speculation in the markets without any commitment to some kind of productive work in the real economy is a lofty goal? Is it moral and ethical?
by alp
Wed Nov 12, 2008 6:51 pm
Forum: Testing Software
Topic: Trading Blox purchase?
Replies: 11
Views: 7764

Re: Trading Blox purchase?

Perry wrote:I’ve downloaded and started exploring the trial version.
Where is this trial version available for download?
by alp
Wed Nov 05, 2008 6:53 pm
Forum: Testing Software
Topic: Software for visual inspection of charts
Replies: 8
Views: 5208

Wealth-Lab Developer also has a simple script language which enables one to program simple scripts to handle data files. It looks like the new .NET version is also great for visual inspection. With regard to thorough backtesting and actual trading capabilities, Trading Blox looks much better, by far...
by alp
Tue Nov 04, 2008 7:50 pm
Forum: Testing Software
Topic: Software for visual inspection of charts
Replies: 8
Views: 5208

A bit off topic, but do you also know of any stand-alone software to handle and convert data files, such as convertion of format, edition of custom fields, delimiters, etc.
by alp
Tue Nov 04, 2008 7:45 pm
Forum: Testing Software
Topic: Software for visual inspection of charts
Replies: 8
Views: 5208

Software for visual inspection of charts

Which software is best for visual inspection of charts and basic technical analysis? Consider the following:

1) ease to set up and work with ASCII data files;
2) simplicity;
3) practicality.

I look forward to your suggestions.