Search found 343 matches

by Chris67
Mon Apr 26, 2010 1:38 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 30799

just one bit of advice - just because csi has a big point value of x and the exchange has a big point value of y - dont assume the exchange is correct - Ive seen plenty of errors on the exchange websites - then Ive seen plenty of errors on prime brokers lists of futures details I think Sluggo summed...
by Chris67
Mon Apr 19, 2010 12:18 pm
Forum: Testing and Simulation
Topic: Correlation - Inputs vs. Outputs
Replies: 10
Views: 6837

Sluggo - when I purchased Veritrader many years ago and it subsequently became TB I was under the illusion that for that kind of money I would definately be given the holy grail and would be a billionnaire many times over by now Is there a refund policy ??? Of course Sluggo is absolutely right - I j...
by Chris67
Mon Apr 19, 2010 5:53 am
Forum: Testing and Simulation
Topic: Correlation - Inputs vs. Outputs
Replies: 10
Views: 6837

Correlation - Inputs vs. Outputs

I think Sluggo raises some excellent points about the correlation of markets in THIS post - whether they should be measured as inputs or system outputs but there still seems to me - a lot of problems associated with both methods If you take each instrument in your portfolio and run it through your s...
by Chris67
Mon Apr 12, 2010 1:44 am
Forum: Testing and Simulation
Topic: What would you do ?
Replies: 2
Views: 2350

thanks sluggo ( i think)
by Chris67
Wed Apr 07, 2010 12:21 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 9270

2008 WASNT A BAD YEAR FOR THESE SYSTEMS ? Also IMHO - do your rolling back tests inferr that the decline will continue ? who knows ? they may suddenly all become the best systems to use ? thats the trouble - we just dont know whats around the corner My 2 cents worth is that if you buy break-outs in ...
by Chris67
Wed Apr 07, 2010 12:18 pm
Forum: Testing and Simulation
Topic: What would you do ?
Replies: 2
Views: 2350

What would you do ?

Ive got a fairly robust system - 2 parameters - test it over 25 years and 90 markets and you get an MAR of 0.9 - thats not bad IMHO for 2 parameters However its run raw with no risk reduction blocks - i.e. correlated units / thermal / group risks When I add in these blocks it simply craps out on per...
by Chris67
Tue Mar 23, 2010 1:49 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 9270

Number of Parameters

Based on AFJ Garners recently touted Turtle system tune up does anybody think that as soon as you introduce profit taking / time based exit and portfolio managers that you are effectively optimising more and more I was thinking if you look at the BBO system on its own - you effectively have 3 parame...
by Chris67
Tue Mar 23, 2010 1:42 pm
Forum: Testing and Simulation
Topic: Independently Non Profitable Systems Enhancing Overall Perfo
Replies: 7
Views: 5259

Independently Non Profitable Systems Enhancing Overall Perfo

Anybody got any thoughts on using systems that on their own are not profitable but seem to enhance the profitability / risk return characteristics of other systems / baskets of systems ? Ive been messing around overlaying the Bollinger Counter Trend System on top of a couple of longer term more robu...
by Chris67
Thu Feb 11, 2010 3:02 pm
Forum: Testing and Simulation
Topic: Any profitable users of TB?
Replies: 18
Views: 12269

Hottip I , apparently , was the first person to take my own money live using systems I designed on this software (back then it was called Veritrader) - that was way back in the heady days of early 2004 if I remember correctly - I can honestly say its the best investment Ive ever made in my entire li...
by Chris67
Mon Dec 28, 2009 3:49 pm
Forum: Futures Markets
Topic: Korean Won
Replies: 3
Views: 5432

Korean Won

Just noticing that KOFEX where the USDKRW is traded says the contract size is 10,000 usd whereas CSI data has a contract size of 50,000 usd with an equal multiple on , therefore tick size - i.e they are both very different
any ideas who is correct
thanks in advance
Chris
by Chris67
Thu Aug 27, 2009 3:21 am
Forum: Testing and Simulation
Topic: portfolio question
Replies: 12
Views: 8048

concur with the above - correlation is meaningless - when the preverbial s$%^& hits the fan everything becomes correlated One thing to assume is that if cnbc and all economists and analysts are currently to be believed - the fact that the Western Economies stand on the brink of total enihalation...
by Chris67
Thu Aug 13, 2009 8:51 am
Forum: Testing and Simulation
Topic: further thoughts on TMA with real money
Replies: 4
Views: 5070

No I havent done this I simply tested it out and liked what I saw Of course it depends on your porftfolio, etc and if you mae any subtle changes to the system - but overall i think its robust most of the systems are the same - they will all have volatility and lengthy draw dwons annd your biggest d/...
by Chris67
Sat Jul 11, 2009 11:57 am
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 17437

Algonquin You fall into the common trap I hear so much in this industry of Quoting the term "manged futures'" .. a generic and meaningless term tht has nothing to do with anything .. its a bit like saying that cars are crashing so therefore the "transportation" industry is more d...
by Chris67
Sat Jul 11, 2009 4:47 am
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 17437

I have to say I totally Agree with Mr Garner on this subject Unfortunately what is being effectively said here is that markets wont trend anymore .. if they dont then no TF systems will work .. if they do the Donchian system will work very well. The argument that more players coming into the mrket w...
by Chris67
Tue Jul 07, 2009 3:11 am
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 17437

I think there are big differences between the Donchonian b/o system and the original style pure break-out system such as that run by the Turtles in the 1980's - obvioulsy that is for you to work-out. It may well be that the Donconian system's days are numbered - and then again it maybe the Wolrd's m...
by Chris67
Wed May 20, 2009 1:24 am
Forum: Testing and Simulation
Topic: cfd's
Replies: 15
Views: 12879

Asamat The sentence is quite easy to understand ... surely the last 12 months has taught us that large financial institutions havent got a clue what there doing ... many funds and traders used lehman as a broker - didn't really get them too far ? Given that the entire u.s banking industry has now be...
by Chris67
Mon May 18, 2009 2:23 am
Forum: Testing and Simulation
Topic: cfd's
Replies: 15
Views: 12879

Ive been using CMC for 10 years - although now i use ADM on our fund - i still have some currency hedges with them
A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases
by Chris67
Mon Mar 23, 2009 4:41 am
Forum: Testing and Simulation
Topic: Strange Conundrum - Or Not ?
Replies: 1
Views: 2109

Strange Conundrum - Or Not ?

Don't if anyone else experiences the same as this ? I test with a basked of 90/110 futures markets over 25 years - Normally I would test vanialla for smooth spaces and the perhaps add in risk management afterwards (i.e. group risk / correlation limiter) Seems strange to me that by far the best resul...
by Chris67
Thu Dec 04, 2008 12:20 pm
Forum: Money Management
Topic: Constant risk as % of account
Replies: 4
Views: 5840

Dan Great Minds !!!! (not that it classifies me) I've been thinking exactly the same for the last couple of days Problem I have is not time - I have some on my plate - Its my programming skills - although I am at last starting to write some blox etc - What I want is a blox that simply enables more c...
by Chris67
Thu Oct 30, 2008 4:30 am
Forum: Testing and Simulation
Topic: further thoughts on TMA with real money
Replies: 4
Views: 5070

Exactly the same really - TMA is agreat system nice and simple that will make big miney when times are good and suffer nice big draw downs when times are not good - It depends if you can handle the draw down - if you can you will make a lot of money - Just exemplifies the idea once again that succes...