Tb as it come.
All systems as they come, no parameters changes.
160 different futures, no Lme.
Basic money manager blox with 2 fixed contracts.
Draw your own conclusion.
Search found 141 matches
- Sun Jun 17, 2012 1:59 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21417
- Wed Jun 13, 2012 5:53 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21417
- Wed Jun 13, 2012 5:28 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21417
- Wed Jun 13, 2012 1:19 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21417
>If, therefore, you are running a system from 1965 to date with static parameters using a portfolio of (say) 190 instruments, it is hardly surprising if max DD increases as more instruments come on stream. :roll: So,also a portfolio with fixed instrument traded well before 2000 is not the answer. If...
- Sun Jun 10, 2012 4:21 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 37650
- Sun Jun 10, 2012 4:10 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 37650
- Sun Jun 10, 2012 3:52 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 37650
- Wed May 30, 2012 6:50 am
- Forum: Testing and Simulation
- Topic: How many years in back testing?
- Replies: 3
- Views: 3206
How many years in back testing?
Is it true that is better test using all data ?
Is it true that would be better have more ?
Is ti true that markets have not changed ?
A test based on last 10, 20, 40 years of data, for how long will be in sinc with future?
Is it true that would be better have more ?
Is ti true that markets have not changed ?
A test based on last 10, 20, 40 years of data, for how long will be in sinc with future?
- Wed May 23, 2012 4:49 am
- Forum: Testing and Simulation
- Topic: Exercise N° 1
- Replies: 10
- Views: 5926
- Tue May 22, 2012 7:21 am
- Forum: Testing and Simulation
- Topic: Exercise N° 1
- Replies: 10
- Views: 5926
On 1977 there were 27 futures available. W,C,S,O,BO,SM,SI,PL,LC,SB,CC,HG,LH,KW,OJ,CT,LB,FC,JY,CD,BP,SF,KC,GC, PA,US. I don't know if Ed was trading all markets and if i he was trading more then one sistem. I don't think he was too much sophisticated at that time. We can assume he was trading a simpl...
- Mon May 21, 2012 3:26 pm
- Forum: Testing and Simulation
- Topic: Exercise N° 1
- Replies: 10
- Views: 5926
Exercise N° 1
Reproduce known Ed Seykota's results.
Starting equity on 1972, five thousand dollars.
Ending equity on 1988: fifteen millons.
Starting equity on 1972, five thousand dollars.
Ending equity on 1988: fifteen millons.
- Mon Mar 05, 2012 2:10 pm
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10719
- Sun Mar 04, 2012 2:38 pm
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10719
annual profit target
Attached is Winton performance.
Looking at 2008 / 2010 i wonder if they have some kind of proifit target whose code is something like "oh my dear, we are up 20 per cent this year, let us exit almost all".
Do you think it is possible code this?
Looking at 2008 / 2010 i wonder if they have some kind of proifit target whose code is something like "oh my dear, we are up 20 per cent this year, let us exit almost all".
Do you think it is possible code this?
- Tue Feb 28, 2012 4:42 am
- Forum: Futures Markets
- Topic: Finessing MOO orders
- Replies: 5
- Views: 4507
- Mon Feb 27, 2012 12:18 pm
- Forum: Futures Markets
- Topic: Finessing MOO orders
- Replies: 5
- Views: 4507
- Thu Feb 23, 2012 2:26 pm
- Forum: Testing and Simulation
- Topic: How to start trading with only $10,000?
- Replies: 25
- Views: 16161
Time to time there are magic moments. Tulips, railroads, airplane, telephones, internet...what would be the next? The one from Leonardo was the perfect unusual time. A never seen before low for a commodities. I think this is the best you can ask from the life. I have seen, but not profit from, telep...
- Wed Feb 22, 2012 3:26 am
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 50063
Kfx
Is it dead?
- Sun Feb 19, 2012 12:52 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40619
Dean started this thread on past Cta performances. Then we drifted to test and simulations. Now it is not clear if last numbers are related to results after 2/20 fee. There will be a huge difference. Going back to test. Done have everything one think smart for minimize curvefitting what else we can ...
- Fri Feb 10, 2012 1:53 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40619
- Mon Feb 06, 2012 6:50 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40619