Search found 143 matches
- Wed Aug 18, 2004 7:20 pm
- Forum: Brokers
- Topic: Vision Express
- Replies: 3
- Views: 5217
I have been running the trial and while it looks OK I do get a lot of error messages - VE seems to want some connection with Internet Explorer, which I don't use for the usual security reasons. Also difficult to move stops with VE (or at least I find it difficult) and as moving stops is a frequent a...
- Thu Aug 05, 2004 1:53 am
- Forum: Testing Software
- Topic: Keeping Track of Changed System Code
- Replies: 5
- Views: 6262
While not in the same league as the Subversion crowd, this is how I keep track of systems (and components of systems) under development: Each system gets a version/revision number placed in the code header, starting with alpha characters until it actually works (a.1, a.2, a.3, etc) then moving to nu...
- Mon Jul 19, 2004 8:15 pm
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 46127
smodato, the only way to resolve this to your own satisfaction is to test the heck out of it! My preference for such evaluation is to look first at the equity curve to get a feel for the general nature of the MM strategy being tested, then review the statistics in detail. FWIW my findings to date in...
- Thu May 06, 2004 8:43 pm
- Forum: Trend Indicators and Signals
- Topic: Mode Switching
- Replies: 6
- Views: 7456
Mode Switching
I keep coming back to this basic question: how can I tell if a market is in a trending mode or in a non-trending/sideways mode? If I could answer this question with any degree of reliability then I could match the system to the current market mode. Would anyone care to offer suggestions on how I mig...
- Fri Apr 30, 2004 8:29 pm
- Forum: Testing and Simulation
- Topic: Journey to turn the worst system into the best one!
- Replies: 12
- Views: 13457
Hi K1, I do a lot of testing and one thing that tends to stand out after a while is that there are far more system ideas that don't work compared to the ones that do. Sometimes when I have a real pig in testing I will try reversing the signals on the basis that if is really that bad then it must wor...
- Tue Mar 23, 2004 1:25 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 101516
- Mon Mar 22, 2004 8:29 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 101516
I just found this interesting composite measure of goodness. Comments?
- Fri Feb 27, 2004 5:10 pm
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9895
- Thu Feb 26, 2004 5:43 pm
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9895
Calculated Starting Account Size?
A question if I may: how should I calculate a starting account size for use in system testing? Several performance statistics require a starting account size (CAGR for one) but I have not seen much discussion on ways of calculating the figure. In the interests of meaningful performance comparisons b...
- Sun Feb 22, 2004 4:56 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 101516
- Sat Feb 21, 2004 4:42 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 101516
- Fri Feb 20, 2004 1:54 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 101516
- Thu Feb 19, 2004 2:48 am
- Forum: Testing and Simulation
- Topic: Computing the MAR Ratio - Using what sort of drawdown?
- Replies: 4
- Views: 10502
Re: Computing the MAR Ratio - Using what sort of drawdown?
CAGR / MDD%Inflector wrote:How do you compute the MAR ratio?
I have posted a spreadsheet here viewtopic.php?p=6468#6468 that has the calc in it as well as a few others. Hope it helps!
- Thu Feb 19, 2004 2:40 am
- Forum: Testing and Simulation
- Topic: Identifying Efficiency in a 3D Matrix
- Replies: 11
- Views: 10689
- Mon Feb 16, 2004 7:49 pm
- Forum: Testing and Simulation
- Topic: Identifying Efficiency in a 3D Matrix
- Replies: 11
- Views: 10689
Hi Kevin! Maybe we might also consider the Rod Sharp/Bo Thuman P essimistic R eturn o n M argin (PRoM)? Assume that you one std dev more losers and one std dev more winners that you actually did. Then calculate the total profit using the system's average win and average loss. If, using that assumpti...
- Mon Feb 16, 2004 6:31 pm
- Forum: Testing and Simulation
- Topic: Identifying Efficiency in a 3D Matrix
- Replies: 11
- Views: 10689
Sean, You have hit on a subject dear to my heart, and with the concurrence of the list I feel we could explore this further - what indeed is a usful measure of system of strategy efficiency? In addition to your suggestions, would members care to comment on (and add to) the following brief list: RoA ...
- Sat Feb 07, 2004 11:31 pm
- Forum: Money Management
- Topic: What's the best way to learn about Money Management
- Replies: 9
- Views: 14672
Hi George, welcome aboard! I must repsectfully disagree with Jimmy however: it is my opinion that money management and position sizing are one and the same thing: a strategy to determine the 'optimum' size (as in number of contracts) to take when entering a trade. There are two basic types of positi...
- Wed Feb 04, 2004 5:33 pm
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 46127
I have been testing Fixed Ratio and some variations of Fixed Fractional, being Tharp's %Risk and %Volatility. One observation: FR (as has been said earlier) puts most of the risk up front, giving the bulk of the risk when there is less to lose - the curve tapers off as the account grows. The curve f...
- Mon Feb 02, 2004 7:14 pm
- Forum: Custom C++ or Java Platforms
- Topic: What Language to Learn ? (VB / VC / C# ... or ?
- Replies: 26
- Views: 43156
My background is sort of 'user' only, with some experience (self-taught) in EasyLanguage and Visual Basic. I knew that I would have to commit to learning a language thoroughly in order to develop systems in the manner I wanted, and after some deliberation I selected C++ based on the extensive suppor...
- Sun Feb 01, 2004 6:04 pm
- Forum: Custom C++ or Java Platforms
- Topic: WHY C++ ...
- Replies: 17
- Views: 27690