Search found 99 matches
- Mon Aug 08, 2011 6:04 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Futures data comparison
- Replies: 6
- Views: 5599
- Mon Aug 08, 2011 10:14 am
- Forum: Data Providers and other non testing software
- Topic: CSI Futures data comparison
- Replies: 6
- Views: 5599
Thanks, rhc, that's brilliant! I altered my back-adjust rule to roll 5 days from the end of the month 1 month prior to expiry, and now I can duplicate your price data from 4/1 to 4/6. Do you use that rule for all markets? For corn that rule rolls 3 weeks prior to expiry. From what I have read they s...
- Sun Aug 07, 2011 9:11 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Futures data comparison
- Replies: 6
- Views: 5599
Thanks, rhc, that article at PremiumData explained back-adjusting perfectly. Can you please take a look at the attached screenshot and compare my UA to yours. One thing that I find very interesting is that the back-adjuster skipped the September contract. It went directly from July to December! That...
- Sat Aug 06, 2011 1:09 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Futures data comparison
- Replies: 6
- Views: 5599
CSI Futures data comparison
Hi everyone, Yesterday I added North American Futures plus 10 years history to my existing subscription at CSI. After several stumbles I am now 90% certain that I am doing everything correctly. I followed the directions on the Trading Blox site for Adding a New Market to CSI UA When I compare the re...
- Thu Aug 04, 2011 10:03 am
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
- Thu Aug 04, 2011 7:56 am
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
- Wed Aug 03, 2011 10:41 pm
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
Sluggo, Those are superb ideas! Sounds to me like the basis of a new Portfolio Manager block. I am certain that I can code your second idea (i.e. ranking by average daily ATR). I am less certain how to approach the ranking by the average-of-3-biggest-losses. No worries, I'm resourceful, I'll figure ...
- Wed Aug 03, 2011 6:24 pm
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
- Wed Aug 03, 2011 6:07 pm
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
Hi rhc, As you suggested I navigated to my brokers website (IB) to see what they had to offer. I clicked through each of the US market centers and scanned for all contracts of the type 'mini' or 'micro'. The attached spreadsheet is the result of my effort. I haven't yet looked into the ETFs/ETNs as ...
- Wed Aug 03, 2011 10:59 am
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
- Tue Aug 02, 2011 11:48 pm
- Forum: Testing and Simulation
- Topic: Newbie asks: How to trade futures with only $100K?
- Replies: 48
- Views: 27406
Newbie asks: How to trade futures with only $100K?
Moderators note: split off from parent thread I read with great interest the old thread entitled: How to begin trading futures with account < $100K ? and all of the great contributions by members of this forum. I certainly see the advantage of having a large portfolio of 100+ markets and $1,000,000...
- Mon Aug 01, 2011 6:02 pm
- Forum: Futures Markets
- Topic: Authorized to trade futures at IB
- Replies: 0
- Views: 2330
Authorized to trade futures at IB
Stocks ... been berry berry good ... to me, but now is the time to take on a new asset class.
I am 99% giddy with excitement and 1% trembling with fear. At least with stocks I never worried about taking delivery of 5000 bushels of wheat!
Thanks in advance for any words of caution or encouragement.
I am 99% giddy with excitement and 1% trembling with fear. At least with stocks I never worried about taking delivery of 5000 bushels of wheat!
Thanks in advance for any words of caution or encouragement.
- Mon Jul 18, 2011 9:16 am
- Forum: Testing and Simulation
- Topic: How to interpret Monte Carlo results
- Replies: 6
- Views: 3970
Very interesting but definately NOT stupid. So the math suggests that in order to make MC CAGR approximately equal to Backtest CAGR, that a system should have: 1. Zero maximum drawdown. 2. A constant-slope equity curve, logarithmically speaking. One of the things I really like about TB are the stepp...
- Sun Jul 17, 2011 8:50 pm
- Forum: Testing and Simulation
- Topic: How to interpret Monte Carlo results
- Replies: 6
- Views: 3970
- Sat Jul 16, 2011 4:46 pm
- Forum: Testing and Simulation
- Topic: How to interpret Monte Carlo results
- Replies: 6
- Views: 3970
- Sat Jul 16, 2011 4:45 pm
- Forum: Testing and Simulation
- Topic: How to interpret Monte Carlo results
- Replies: 6
- Views: 3970
How to interpret Monte Carlo results
My apologies in advance if this is not the proper forum for this question... I am trying to understand the difference between the CAGR that is reported in the "Stepped Parameter Performance Summary" at the top of the report and the "90% Return" statistic report at the end of the ...
- Tue Jul 05, 2011 9:57 pm
- Forum: Money Management
- Topic: How to determine the optimial risk levels?
- Replies: 3
- Views: 4548
- Sun Jul 03, 2011 10:51 pm
- Forum: Money Management
- Topic: Causes of Drawdown
- Replies: 3
- Views: 4399
Thanks for your reply, rhc. I have a VectorVest background (still use it for stock screening and backtesting occassionally). I learned to mitigate risk by exiting the market, or at least not replacing closed positions in my portfolio, when the market timing indicators turn against me. This has the e...
- Sat Jul 02, 2011 9:16 pm
- Forum: Money Management
- Topic: Causes of Drawdown
- Replies: 3
- Views: 4399
Causes of Drawdown
Good People, Please help me understand why a seemingly good system would go through a prolonged 50% drawdown. Having never personally lived through one of these, I am trying to envision the circumstances that would drive such a downturn in performance. I can understand exogenous events like the burs...