Bondtrader ... my setup, markets and periods should be pretty close to what you indicate (funny, your results are in the same ballpark). Also, I am not using VeriTrader, and am not cherry picking. The comment on portolio was more for YMMV.
Kevin
Search found 121 matches
- Thu Jul 15, 2004 3:22 pm
- Forum: Testing and Simulation
- Topic: ATR Channel B/o System
- Replies: 12
- Views: 12344
- Thu Jul 15, 2004 1:43 pm
- Forum: Testing and Simulation
- Topic: ATR Channel B/o System
- Replies: 12
- Views: 12344
CBO or Turtle?
If you are talking about straight ATR/CBO, that's probably correct. If you are talking Turtle, then other rules significantly enhance the MAR ratio (last trade rule, correlation rules, scaling rules, risk mgmt rules). I've seen as high as 1.8, depending on portfolio selection.
Cheers,
Kevin
Cheers,
Kevin
- Mon Jul 12, 2004 9:20 pm
- Forum: Futures Markets
- Topic: Which commodity is good for beginner trader?
- Replies: 18
- Views: 14089
- Sat Jul 10, 2004 11:56 am
- Forum: Futures Markets
- Topic: Which commodity is good for beginner trader?
- Replies: 18
- Views: 14089
"Safer" commodity
I agree with Richard: stick with one-lots and look for liquidity. It probably is also easier to also start by focusing on one market. I would shy away from highly volatile markets. But, just like a Volvo might be safer than a Ferrari, it's the guy behind the wheel that ultimately makes the biggest d...
- Wed Jun 30, 2004 10:47 pm
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 16767
Re: Further thoughts on Backtesting
I still dont see how walk forward testing can be too heavily criticised. If you take a 10 year stretch of data to be tested , for example , 1990 - 2000 .. you then design a system that seems to work well .. perhaps an MAR of 2. You then roll it forward and test it on 2000-2004 and you get an mar of...
- Wed Jun 30, 2004 7:31 pm
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 16767
Time Periods
One could also counter that if you write self-adapting systems, then any timeframe is fair game. I think the question of period has to be seen in context of which markets. The S&P made a significant change in 1997 (outside the scope of 80-89). Bonds characteristics have also undergone change. At...
- Wed Jun 23, 2004 12:29 pm
- Forum: Money Management
- Topic: Total Capital Requirements
- Replies: 5
- Views: 7537
Getting Started
Asterix, It's been said that you want to match a trading system to personal characteristics, but I would add that you need to also match personal constraints. I believe there are a whole range of options (I employ several of the ones mentioned). I've found that many traders have a desire to focus on...
- Mon Jun 21, 2004 12:31 am
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10544
Martinizing
Stephen: Here here! We now return to our regularly scheduled forum on mechanical systems trading
Kevin
Kevin
- Sat Jun 19, 2004 5:26 pm
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10544
Martingale
Forum Mgmnt, Thanks. Those are the posts I refer to. I was beginning to wonder if it was all a hallucination. I think the hallucinations are coming from a different direction. I would ask Mr. HarryTrader just how martingale and anti-martingale are the same mathematically. It's a little like saying ...
- Fri Jun 11, 2004 2:49 am
- Forum: Custom C++ or Java Platforms
- Topic: Advice for gaining ATS experience through real trading
- Replies: 5
- Views: 9889
War Stories
Hi Karl, I'm sure there are probably a few war stories around to be shared on this topic. I'll share what I know and remember, but your mileage may vary. There's a huge class of errors around real-time trading aspects. Is the network active? Is the feed active? Is the order routing channel active? D...
- Fri Jun 04, 2004 3:17 am
- Forum: Testing and Simulation
- Topic: Parameter Search Algorithms
- Replies: 3
- Views: 3969
Large Optimizations
Here are some questions that come to mind, and how I have approached similar situations. What characteristics do I want in an optimal solution? Is is nessecary to examine the entire problem space? Can I sample the problem space? What conclusions can I draw from the aggregate sample? When optimizing,...
- Fri May 07, 2004 10:53 am
- Forum: Trend Indicators and Signals
- Topic: Mode Switching
- Replies: 6
- Views: 7418
Multiple Systems
Forum Mgmnt, Agreed, the "future mode" problem is precisely why ADX, VHF, and similar techniques work poorly: they let you know what you should have been trading in the recent past. Existing predictive modes in trading include Elliott wave, fibonacci retracements, cycles, and fourier/wavel...
- Thu May 06, 2004 9:50 pm
- Forum: Trend Indicators and Signals
- Topic: Mode Switching
- Replies: 6
- Views: 7418
Eternal Question
Ah Ross, the eternal question! If I only knew the mode :!: Lot's of people have tried, Wells Wilder with ADX, Adam White with Vertical Horizontal Filter (VHF), even Sweeney in Campaign Trading . I noted a link on the forum to papers by Charlie Wright, one of which bears some pertinence here Markets,...
- Fri Apr 23, 2004 12:40 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100545
Re: By What Measure? - How do You Know if a System is Good?
A good system IMO is: Drawdown <20% Returns >25% I would prefer to use: Drawdown <15% Returns >35% For the most part, both returns and draw down can be controlled by the amount of risk allocated for position sizing. For example, a system with 35% return and 15% drawdown has a MAR ratio of 2.3. If y...
- Wed Apr 14, 2004 2:45 pm
- Forum: Testing Software
- Topic: Keeping Track of Changed System Code
- Replies: 5
- Views: 6206
Keeping Track of Changed System Code
MODERATOR'S NOTE: This topic was split from the "Imagining the Dream Testing Software" topic. This particular post was in response to the request for a feature to keep track of changes made to systems. Ted Try using a version control system (like RCS, CVS or subversion). It actually helps ...
- Sun Apr 11, 2004 1:25 pm
- Forum: Money Management
- Topic: Thoughts on Pyramiding
- Replies: 3
- Views: 5870
More thoughts
BBC
I think the part that does make sense is looking at each scaled entry as a distinct system, doing analysis as appropriate, and choosing the strategy based on the results of that analysis. The aggregate systems and analysis reminds me of John Sweeney's Campaign Trading.
Cheers,
Kevin
I think the part that does make sense is looking at each scaled entry as a distinct system, doing analysis as appropriate, and choosing the strategy based on the results of that analysis. The aggregate systems and analysis reminds me of John Sweeney's Campaign Trading.
Cheers,
Kevin
- Sat Apr 10, 2004 2:02 am
- Forum: Money Management
- Topic: Thoughts on Pyramiding
- Replies: 3
- Views: 5870
bbc, I've spent a lot of time recently thinking about pyramiding, and I've started to wonder whether the way people think about it really makes sense. The first danger is in thinking we know how other people are thinking ;-) I've seen many different perspectives on pyramiding/scaling. Your suppositi...
- Thu Apr 08, 2004 4:07 pm
- Forum: Trend Indicators and Signals
- Topic: turtle rules for short selling equities?
- Replies: 1
- Views: 3865
Equities
Ok, I'll bite ... original Turtle rules didn't mention anything about equities. They were constructed for the futures markets. Some folks have adapted the original rules to other markets such as FOREX. Maybe someone can chime in who's successfully implemented them on equities (search the board for d...
- Wed Apr 07, 2004 3:08 pm
- Forum: Trader Psychology
- Topic: Dos and Donts of Drawdowns
- Replies: 23
- Views: 29493
Normal Distribution
RangeRover, Excellent point. We'd have to really examine the distribution of what is being measured; it may or may not have a normal distribution. In terms of variance between projected slippage and actual slippage, that may depend on how you're accounting for slippage. If, for instance, your fill f...
- Wed Apr 07, 2004 3:30 am
- Forum: Testing and Simulation
- Topic: what system testers do you use?
- Replies: 2
- Views: 3818
Custom Software
dig1, I would encourage you to talk directly with people who have hired out to have custom systems built before you decide to embark on custom software. Ask about how they arrived at a shared understanding of what was to be built, and how the final product met their expectations. Ask if they needed ...