Traders' Roundtable

LeviF

I got crushed overnight with my exposure to AUD. Nothing atypical though.

LeviF

Interesting. This is related to my recent post here.

viewtopic.php?t=8225&highlight=leverage

LeviF

Something along the lines of this in the Can Add Unit script should do the trick.

Code: Select all

FOR index = 1 to test.systemCount STEP 1
tempinst.loadSymbol(instrument.symbol , index)
if tempinst.position <> out then order.reject
NEXT

LeviF

Does this:

Code: Select all

Buy at next bar Open of next bar + BuyTrig Stop

Translate to this:

Code: Select all

broker.enterlongonstop(instrument.tradedayopen + buytrig)

LeviF

Yes. "Trust but verify" someone said. I'm becoming less and less of a trust-er the more I verify...

LeviF

I just came across this blog post that made me think back to this discussion.

http://www.michaelcovel.com/2011/01/09/ ... thout-you/

LeviF

LeviF wrote:The concept is simple. Finding un/anti correlated equity curves is not.

I probably should have been clearer. The concept is simple. Finding un/anti correlated equity curves that improve portfolio gain/pain metrics is not.

LeviF

There must be some other factors at play here aside from just equity curve correlation. I can come up an uncorrelated system with negative expectancy that hurts overall portfolio performance. Or what about two systems with -1 correlation (system 2 takes the opposite trade of system 1).

LeviF

Yes I understand this. I guess my question should have been why do you want to use the perpetual contract vs back adjusted?

LeviF

Why do you want to do this?

LeviF

The concept is simple. Finding un/anti correlated equity curves is not.

LeviF

RedRock wrote:Ive been a spectator in CT for a while now, oh well.

Not in your portfolio?

LeviF

Are these real, tradeable systems, or just an academic exercise (curve fit, long/short only, no commish & slip, etc)

LeviF

What is the definition of "average drawdown"?

LeviF

Where'd the charts go?

LeviF

Thanks for taking the time to post this.

LeviF

LeapFrog wrote:...I have run as high as 80 percent margin to equity intraday and often average around 40 to 50 percent.

What sort of drawdowns are you realizing with this level of heat?

LeviF

Change this date to the date you are missing and try to redownload.[/img]

LeviF

Is there a way to get CSI to only append files and not overwrite? I have some non-CSI data with longer history than CSI provides. My version 2.9 used to only append and version 2.10 seems to overwrite some files.

LeviF

I guess you could populate your data files with OHLC data where O=H=L=C.

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