Traders' Roundtable

Two ideas I have experimented with in the past, when it comes to equity curve trading, are i) applying quality control charts to the equity curve ii) applying Bollinger Bands using the semi-standard deviation In both cases you would "calibrate" over periods in the past where the system was...

As I understand it the hypothesis is that the current system draw down has predictive value for the 5 year CAGR figure 5 years in the future. It would seem to me that Monte Carlo testing is ideal for testing the statistical soundness of this type of statement. It is insufficient to rely solely on lo...

You might consider the software packages "R" and "Octave." Both are free and open source and writing scripts to run any imaginable test would quite straight forward if you are already familiar with programming. "R" is statistical testing software and "Octave" ...

I would recommend the following for a good read on this subject
http://www.amazon.com/Evidence-Based-Te ... ingblox-20

If you PM me your e-mail I'll send you a word document that will help you. Also, if you have down loaded the ta-lib Excel add-in there should be a folder with example workbooks in your download destination.

Try the following link to an open source technical analysis library. http://ta-lib.org/index.html One of the TA studies is HT_PHASOR, which is essentially the inphase and quadrature components from which the SNR is calculated. You should be able to link this library to MATLAB. You might also want to...

The following link has some interesting stuff about the Kelly formula as well as freely down-loadable spreadsheets. http://www.gummy-stuff.org/kelly-ratio.htm Personally I would not use Kelly to calculate optimal trade risk but, taking on board what Sluggo said about multiple, simultaneous positions...

Asamat, The original question was "Would you consider this a good system?" Your suggestion that back testing in other market conditions, while laudable, does not address the question at hand. Back testing can answer questions such as "Is this a robust system?" "Would I be ha...

I would suggest that some serious Monte Carlo permutation and bootstrap testing of your actual results might give you the answers you're looking for.

That clears it up. Thank you.

I have a quick question about the free historical data provided by this site. For some of the futures contracts data there are two text files, for example, BO20_10B.TXT and BO_0_10B.TXT. Could anyone explain what the difference between the two text files is?

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 portfol...

Sluggo, an interesting suggestion and links, but I actually do want an algorithm that randomly generates volatility clustering rather than recreating the clustering that has historically occured, although I would like the random clustering to have similar statistical properties to real prices. My in...

For the purpose of creating synthetic price series, can anyone suggest algorithms that replicate the volatility clustering that real price series display?

You could try scaling into/out of a position using a volatility position sizing algorithm that keeps open risk at some proportion of volatility.

You can create this yourself in a spreadsheet - just create a stock chart with a scroll bar to scroll backwards and forwards over your data and record/write a macro to control the scroll bar.

alp wrote: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.

If you use Linux/Unix, try SED

http://www.grymoire.com/Unix/Sed.html#uh-0

I have coded the sinewave indicator into Excel and would be happy to share it if you give me your e-mail address so that I can send a copy of the workbook to you. All I would ask in return is that if you spot any mistakes or can suggest improvements, you let me know.