Search found 43 matches
- Tue Sep 21, 2004 10:07 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149533
- Mon Sep 20, 2004 11:20 am
- Forum: Testing and Simulation
- Topic: Robust Optimization
- Replies: 26
- Views: 26557
Broadly interpreted, robustness means that future system performance will correspond with your test results. How close this fit needs to be to satisfy your personal definition of robustness naturally varies from one individual to another. It is therefore important to first define robustness in terms...
- Sun Sep 19, 2004 10:46 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149533
Gamma Thanks for the informative post, you have piqued my interest sufficiently that I'm going to get Saliba's book, I've always wanted to learn a new language !! How many markets do you have to trade to diversify your risk and what strategies would you recommend to neophyte options traders ? Also, ...
- Fri Sep 17, 2004 11:06 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149533
Hi Gamma You want to become an option trader? GammaTrader Aint smart enough for that, it's all Greek to me !! :wink: Did briefly consider options on futures to hedge my long exposure on equities but didn't pursue it. Any good (that means simple) books laying out the basics that you'd recommend ? Loo...
- Thu Sep 16, 2004 10:28 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149533
- Wed Sep 15, 2004 9:27 am
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33367
I have tested extensively with time frame and concur with AFJ that the longer the period you trade the more profitable each market becomes in general terms. MY LTTFS trades weekly bars as I typically hold positions for many months. As we all know, there is no free lunch, so LTTF naturally has its dr...
- Thu Sep 09, 2004 10:21 am
- Forum: Testing Software
- Topic: VT, TR, WLD, AmiBroker Which one for me?
- Replies: 17
- Views: 17610
VT 1.6 does not take me further than where I am currently in TradeStation with my own strategies written in EasyLanguage. I am therefore waiting for 2.0. I am not very familiar with 1.6 but it seems that the strategies provided with the system offer an excellent starting point for traders still lear...
- Thu Sep 09, 2004 2:11 am
- Forum: Testing Software
- Topic: VT, TR, WLD, AmiBroker Which one for me?
- Replies: 17
- Views: 17610
Alex Whatever you decide, make sure that price is at the bottom of the list of criteria you use to make your decision. The amount of money you will be putting at risk, especially trading futures, is most likely several orders of magnitude greater than the cost of the software you will need to give y...
- Thu Sep 09, 2004 1:56 am
- Forum: Testing and Simulation
- Topic: Danger of single market back test result
- Replies: 11
- Views: 13357
Alex Without more information on how you developed your system and/or what data you used to optimise (if at all) your parameters it is not possible to comment on the validity of your back-tested results for future trading. However, if your system performed as well on the out-of-sample data as it bac...
- Tue Sep 07, 2004 9:10 am
- Forum: Testing and Simulation
- Topic: Maybe CSI should be based in Kansas, Dorothy.
- Replies: 3
- Views: 4015
It seems extraordinary that CSI does not have contingency plans for such a common occurrence as a hurricane. When customers rely on continuity of data delivery to run their trading business wouldn't you expect, at the very least, that your vendor have back-up operations/data centers for these missio...
- Mon Sep 06, 2004 12:46 am
- Forum: Trader Psychology
- Topic: To Detrend or not to Detrend? That is my question.
- Replies: 2
- Views: 6644
Back-adjusted continuous contracts (BACC) provide the best simulation of what your system would experience when rolling contracts in real trading. These back adjustments can lead to negative prices and therefore the absolute numbers clearly do not represent actual prices at that time. You must look ...
- Sun Sep 05, 2004 10:52 am
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33367
- Thu Sep 02, 2004 11:24 pm
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33367
- Wed Aug 25, 2004 12:41 pm
- Forum: Testing and Simulation
- Topic: The future of LTTF system testing
- Replies: 4
- Views: 5084
I think a 60% DD is probably at the far end of the spectrum, I suspect most professionally-managed LTTF systems are probably in the 20-40% range. Most clients cannot tolerate DD > 40% and for this reason managed funds will move heaven and earth to contain DD within the tolerance level of the majorit...
- Tue Aug 24, 2004 11:43 am
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 48973
Relax !! :D According to your backtesting results you're only just over half way, it could get a whole lot worse and still be within the bounds of what you considered satisfactory. As I too am experiencing now, a large prolonged drawdown is a lot tougher to live through than looking at the same DD o...
- Tue Aug 24, 2004 1:08 am
- Forum: Testing and Simulation
- Topic: Cost of Production
- Replies: 10
- Views: 11306
- Fri Aug 20, 2004 1:51 pm
- Forum: Futures Markets
- Topic: A Basic Question: Pit & Electronic
- Replies: 9
- Views: 7724
p_banerjee Not sure why you would want to trade the same instrument in two different markets at the same time but I would always close out my trades in the SAME market. However, if the electronic platform trades outside of pit hours and you wanted to close a pit-originated position then you could of...
- Mon Aug 09, 2004 12:35 am
- Forum: Brokers
- Topic: Lump Sum Investing
- Replies: 2
- Views: 4468
Lump Sum Investing
Old European Unable to post a reply in the forum where you originally posted. Your assertion that there may be an advantage to investing in funds experiencing a drawdown has some merit. I have been told that some professional fund managers specifically seek out established, profitable funds when the...
- Mon Jul 19, 2004 12:17 am
- Forum: Stocks
- Topic: Trend Following with EMA + CANSLIM
- Replies: 7
- Views: 17921
Using the IBD rankings as a fundamental (rather than a technical/chart-based) screen of the entire population of stocks is very effective in narrowing down the field of potentially tradeable stocks. However, I have problems with the O'Neil/IBD approach in that they do not provide precise rules for t...
- Sun Jul 18, 2004 11:50 pm
- Forum: Testing and Simulation
- Topic: why is curve fitting so bad?
- Replies: 4
- Views: 5401
Curve fitting gets a generally bad press because it is so often associated with overfitting system parameters to past data to the extent that the system breaks down on out-of-sample data. I do not have a problem conceptually with the idea of curve fitting, it seems reasonable to explore a range of p...