Search found 343 matches
- Thu Oct 14, 2004 10:24 am
- Forum: Testing and Simulation
- Topic: Another Look at portfolio construction
- Replies: 2
- Views: 4089
Another Look at portfolio construction
Been having a good hard look at markets to trade again recently. I believe a good way to do your backtesting would be to take out the yen and eurodollars. I think these 2 markets have been so profitable in years gone by that they are the staple of all trendfollowing portfolios. Therefore to get a be...
- Thu Oct 14, 2004 10:18 am
- Forum: Testing and Simulation
- Topic: After simulation & Testing - How do you start trading a
- Replies: 16
- Views: 16388
If I can chuck my 2 cents in .. in a million years I would never start by putting all current positions my system holds .. sounds like utter suicide especially given in todays world all markets are fairly well correlated .. a good example would be .. my system has me long oil .. from 26 usd per barr...
- Tue Sep 21, 2004 12:19 pm
- Forum: Futures Markets
- Topic: New Markets
- Replies: 1
- Views: 3554
New Markets
Looking at trading some new non-U.S based futures markets .. anyone got any good suggestions in the far east ?? Korea ive heard is liquid ? Also do people know where the big volume jgb and nikkei are traded as I know sometimes there is confusion between tokyo and simex ? Any help appreciated Thanks ...
- Fri Aug 27, 2004 1:16 am
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50561
As I opened this thread I thought I better chuck my 2 cents worth in again .. Firstly .. thanks for some great , level headed and thoroughly helpful comments / analysis. Unfortunatley for me this drawdown is initial cap. drawdown but thats not really that important as I have the capital to fund it. ...
- Tue Aug 24, 2004 9:24 am
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50561
Dealing with a drawdown
I spent about 6 months designing and backtesting and came up with a system with 20 year max drawdown of about 24 % . Am down 13.4 % in 11 days ... any advice .. I am well up on the concepts of optimisation and all the pitfalls of backtesting and am extremely confident we have made no major errors in...
- Fri Jul 16, 2004 3:27 am
- Forum: Brokers
- Topic: European alternative to Interactive Brokers?
- Replies: 14
- Views: 14593
Verec .. one other thing .. I am british , from London ... no connection to the usa whatsoever ...just a pure statement of facts that I observe ... In my experience the difference between u.s busness law , performance , structure and results and that of europe .. is chalk and cheese .. europe has st...
- Fri Jul 16, 2004 3:00 am
- Forum: Brokers
- Topic: European alternative to Interactive Brokers?
- Replies: 14
- Views: 14593
- Thu Jul 15, 2004 10:08 am
- Forum: Testing and Simulation
- Topic: ATR Channel B/o System
- Replies: 12
- Views: 12392
ATR Channel B/o System
I have found that its fairly difficult to get an Mar much above about 1.3 over any time period on this system .. I think it has its attractions because theres a limited number of parameters which indicates your results are probably very robust .. has anyone else found anything different.. Im not ask...
- Thu Jul 15, 2004 7:31 am
- Forum: Brokers
- Topic: European alternative to Interactive Brokers?
- Replies: 14
- Views: 14593
Hey Moritz , I'd stay with the american option and steer well clear of europe .. the problem with european companies being that they can close at anytime and blame it on a 35 hour work week , change the rules by which you trade at any time and blame european policy .. plus given that european busine...
- Thu Jul 01, 2004 1:33 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 16974
- Wed Jun 30, 2004 9:32 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 16974
Further thoughts on Backtesting
I put a piece on here a few weeks ago about walk forward testing .. I would love to hear more feedback and myself have some further thoughts ... 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 .. ...
- Sat Jun 05, 2004 4:47 am
- Forum: Testing and Simulation
- Topic: More Rolling Algorthym Problems - HELP !!!
- Replies: 2
- Views: 4625
More Rolling Algorthym Problems - HELP !!!
Dear All. Ok I discovered yet another glitch with roll dates and backtesting 53attd files : An example is Unleaded Gasoline .. I have set the roll date in techtools for 21 days before FND ( 2nd July )...I was therefore al geared up to roll on the 11th june , the day I wanted to roll.. However on my ...
- Wed Jun 02, 2004 9:33 am
- Forum: Testing and Simulation
- Topic: walk forward testing
- Replies: 1
- Views: 3428
walk forward testing
Hi , If you design a system say on data from 1988 to 1998 and then test it on 1999- 2004 what sort of profitabilty would be defined as robust over 1999-2004 ,.. for example if i have a system that produces a cagr of 40 % with a 17 % drawdown over 88-98 .. then i test it over 1999 - 2004 and it produ...
- Mon May 31, 2004 11:26 am
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7866
I think you are being a little unfair there and I think it does stem a little from the U.S idea that nothing exists outside of the U.S / trading hours .. I have looked at this problem myself and I believe trading currencies purely on u.s pit traded hours is suicidal .. most of the big moves happen o...
- Sun May 30, 2004 10:54 am
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7866
Gentlemen , Thank you for your replies. Dan if you could send me that schedule I would appreciate it. Surely if you roll 5 days before expiration however , on many contracts the FN day can be 30 days before expiration and you have to be out before this since you risk being deliverd on by first notic...
- Sun May 30, 2004 5:29 am
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7866
Variability Due to Differing Rolling Algorithms
MODERATOR'S NOTE: The topic title was changed from "Data set up for 53attd files" to "Variability Due to Differing Rolling Algorithms" to better indicate the subject for non-OOWDG customers who don't know what a 53A file is. c.f. , You explained to me on a different thread that ...
- Thu May 20, 2004 9:52 am
- Forum: Testing and Simulation
- Topic: backtesting forex futures
- Replies: 0
- Views: 3355
backtesting forex futures
Has anybody tried backtesting using currency futures data that encompasses 24 hour data .. i.e globex as well as pit traded hours .. my initial look into this reveals that it isnt hugely different in risk adjusted return analysis than only trading the pit hours .. just wondered if anyone else had dr...
- Wed May 19, 2004 8:46 am
- Forum: Testing and Simulation
- Topic: Mini S & P trading hours
- Replies: 1
- Views: 3482
Mini S & P trading hours
c.f. / Dan ,
Because the mini s & p is traded on globex day and globex night , when backtesting would veritrader 1.5 have stopped out or entered positions 24 hours or simply the globex day session ?
Thanks in advance for help
Chris
Because the mini s & p is traded on globex day and globex night , when backtesting would veritrader 1.5 have stopped out or entered positions 24 hours or simply the globex day session ?
Thanks in advance for help
Chris
- Tue May 11, 2004 7:18 am
- Forum: Trend Indicators and Signals
- Topic: Mode Switching
- Replies: 6
- Views: 7458
Roscoe, I agree with c.f. that the best trends develop in mkts that have not been profitable for a while so unless your in you wont know or be in when the trend occurs .. HOWEVER .. I also firmly believe in Ed Seykota's theory ..and it works real well for me .. Take a daily chart going back one year...
- Fri Apr 23, 2004 5:54 am
- Forum: Forex
- Topic: Anyone Trading Oanda?
- Replies: 25
- Views: 45165
Forum Mgmnt, Thats exactly how my real trading account works with cmc : deal4free.com .. HOWEVER .. matching off against this problem is guranteed fills in fx for stops .. although its not explicitly stated in their rule book after 5 years of trading on cmc ive never taken any slippage on an fx stop...