Search found 367 matches
- Thu Jul 20, 2006 4:10 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
Leverage and asset-class issues aside, I think you'd be far better off trading sector ETFs, or two or three of the most liquid individual stocks as part of a trend-following portfolio rather than stock indices from a diversification perspective since they are much closer to speculative instruments. ...
- Thu Jul 20, 2006 9:59 am
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
- Wed Jul 19, 2006 11:01 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
How does WealthLab determine how much capital is required for futures trades? I assume it has some margin estimates on a per market basis somewhere. When trading stocks there will be problems running out of cash but futures are much more highly leveraged so you don't run into this problem unless you...
- Wed Jul 19, 2006 12:06 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
- Wed Jul 19, 2006 10:10 am
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
BARLI, I still don't understand the WealthLab-specific issue. Does it not let you run optimizations of parameter values over an entire portfolio at the same time? I am attaching a simulation run from Trading Blox for the Dual MA system. This shows the results of running optimizations on a portfolio ...
- Tue Jul 18, 2006 5:27 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
- Mon Jul 17, 2006 4:06 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47334
Barli, I don't think optimizing on single markets is a good idea. It represents curve fitting. A method that works across many different markets over many years is much more likely to continue working across those markets. It is very easy to come up with excellent results when optimizing one market....
- Mon Jul 10, 2006 9:34 am
- Forum: Testing Software
- Topic: Trading Blox trial - interesting results
- Replies: 3
- Views: 6146
You can clearly see that the number of trades is lower with a smaller account so there is something about the trades being filtered which is not as profitable as the ones you are taking. Try examining the trade logs in each case. Check the preference item for logging trades and look at the file trad...
- Mon Jul 10, 2006 9:29 am
- Forum: Testing Software
- Topic: Trading Blox trial - questions
- Replies: 3
- Views: 6130
1) You can export test results using the right mouse button. You can also use PRINT statements to write out anything you want to a CSV file for excel. The list of trades is exported if you select the preference for it. 2) We recommend CSI. They give you access to the unadjusted price which lets you ...
- Fri Jul 07, 2006 10:04 am
- Forum: Testing Software
- Topic: Traders Studio vs. Trading Blox
- Replies: 5
- Views: 7362
- Wed Jun 28, 2006 8:58 am
- Forum: Futures Markets
- Topic: Orange Juice Liquidity
- Replies: 10
- Views: 9532
- Mon Jun 26, 2006 10:20 am
- Forum: Futures Markets
- Topic: daily volume vs tick moves
- Replies: 5
- Views: 4893
True a limit order higher than the current market for buys is effectively a market order up until that price. I was referring to making limit orders no higher than the current bid (in the case of buys). Another effect is that insiders and market markers seeing a limit bid might move the market since...
- Thu Jun 22, 2006 1:03 pm
- Forum: Futures Markets
- Topic: daily volume vs tick moves
- Replies: 5
- Views: 4893
- Sat Jun 17, 2006 8:36 am
- Forum: Testing and Simulation
- Topic: Optimization question
- Replies: 21
- Views: 17205
- Fri Jun 16, 2006 3:39 pm
- Forum: Testing and Simulation
- Topic: Optimization question
- Replies: 21
- Views: 17205
c.f. for people that might be interested in having/building a system specifically for testing, is the testing usually more CPU or RAM bound? Will tradingblox take full advantange of SMP or dual core processors? It depends on your testing and how efficiently your software uses the RAM that it has, a...
- Fri Jun 16, 2006 12:11 pm
- Forum: Testing and Simulation
- Topic: Optimization question
- Replies: 21
- Views: 17205
Oh, I should add that optimizing on one measure (e.g. profit like you did above) does not give you any indication that the parameters are optimal for others like Maximum Drawdown, Maximum Drawdown Length, etc. so you need to run other optimizations for these and come up with something that gives you...
- Fri Jun 16, 2006 11:42 am
- Forum: Testing and Simulation
- Topic: Optimization question
- Replies: 21
- Views: 17205
Barli, One of the reasons we spent so much time working on the performance of TradingBlox is because of the time it takes to run these sorts of optimizations. In the example you cite, there are 63,384 individual tests required to do a complete optimization. Even with Trading Blox (which is about 50 ...
- Wed Jun 14, 2006 11:00 pm
- Forum: Testing and Simulation
- Topic: Optimization question
- Replies: 21
- Views: 17205
- Sun May 14, 2006 9:14 am
- Forum: Trend Indicators and Signals
- Topic: people on this forum were rude and are fake traders
- Replies: 34
- Views: 37479
As one who has written software that analyzes trading systems for over 20 years and one who has also written the computer code that draws charts, lines, and indicators, I'll say to you that if you can get a computer to draw it, then there exists some internal representation that the computer underst...
- Fri May 12, 2006 5:11 pm
- Forum: Trend Indicators and Signals
- Topic: people on this forum were rude and are fake traders
- Replies: 34
- Views: 37479