Traders' Roundtable

I suppose "what should a person do" is a poor choice of words. I just posted this for discussion, reflection, etc...

What should a person do about the performance spikes caused by optimization? When I started optimization, 3 was chosen as the parameter because it was relatively high and smooth. Now that I have run tests and changed other parameters, 3 has become a tall spike and values further to the left seem mor...

Here is an example: I have two cross rates with a 100 period price correlation of -0.79. However, the correlation of the % change in price is 0.62. I don't quite understand how the price series can be negatively correlated, but the % change positively correlated. What i'm trying to do is stay out of...

I'm currently working on a forex carry system.

I dont get the mathematics. What does the correlationlog tell you (besides the correlation of the change in the logs...)? I'm using forex btw.

??

I posted this under a different thread, though maybe it should have its own.

When would a person want to use the "correlation" function vs. the "correlationlog" function?

I think what happened is that after my EOD data was downloaded and processed, the market proceeded to rise. TB generated orders for the new x-day high, but the current price was above that and obviously TB didn't know that. Since the price was above my entry stop, I entered a market order with my TB...

I'm not on my computer. Screen shot?

This happened to me yesterday with a practice forex account. I had a buy stop order for AUD/USD at 0.9352. The high was 0.9345 so it didn't trigger my stop. When I generated orders last night, my x-day breakout threshold dropped to 0.9320, but the AUD was then trading at 0.9334.

...if the (long) entry stop price is not hit, but then the breakout threshold drops below the stop price?

Assuming a pip on the ZAR/JPY is 0.0001, then its 130 pips.

Its pretty close, about 0.1% difference.

If I have historical data for USD/CAD and USD/JPY, isn't it just some simple math to generate CAD/JPY? Am i overlooking anything important here?

What do you do to keep wide spreads at nights and weekends from executing stop orders prematurely?

Yes, the recent performance has not been good.

One should always be concerned about the performance of their system.

Who are you? Ed Seykota?

maybe i should rephrase. should i be concerned with the recent performance of the system?

Should any conclusion be drawn about the recent performance of this system?

Check this post:

viewtopic.php?t=5054&highlight=

His graphs are a lot smoother than mine though!