You're correct. Here's a good discussion:
viewtopic.php?t=1774&start=0&postdays=0 ... em+entered
Search found 411 matches
- Thu May 15, 2008 9:16 pm
- Forum: Testing and Simulation
- Topic: Entering trade today that should have been entered weeks ago
- Replies: 3
- Views: 3520
- Thu May 15, 2008 7:37 pm
- Forum: Testing and Simulation
- Topic: Entering trade today that should have been entered weeks ago
- Replies: 3
- Views: 3520
Entering trade today that should have been entered weeks ago
If I start trading a new system today, should I take a position in an instrument that the system actually would have entered in the past? I figure there are 3 options: 1. enter on new entry signal with new stop 2. enter at today's price with original entry's stop, with appropriate % risk position si...
- Tue May 13, 2008 4:07 pm
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
- Tue May 13, 2008 3:47 pm
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
The results are in. I stepped the monthly updates across 15 days of the month. The best and worst results are as follows: 11th; RAR of 69%, DD 29%, 7.5 mos. 25th; RAR of 58%; DD 33%, 10.1 mos. Choosing the best vs. worst date to update results in nearly a 100% increase in equity over the test period...
- Tue May 13, 2008 2:40 pm
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
- Tue May 13, 2008 1:47 pm
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
I will be convinced if performance holds up if over monthly tests at other arbitrary times than just the first of the month. I'm not in front of my software, but the code I use now is something like: IF CurrentMonth <> LastMonth THEN update What is a method to get this to update on a monthly basis, ...
- Tue May 13, 2008 12:32 pm
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
- Tue May 13, 2008 10:17 am
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
- Tue May 13, 2008 9:09 am
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7622
Common sense defied...
My system employs a correlation risk manager and controls positions in correlated instruments. Initially, the correlations were calculated once per month and used for the entire month. Then, I wanted to see what would happen if I updated the correlations every week. The weekly updating system perfor...
- Mon May 12, 2008 8:13 am
- Forum: Forex
- Topic: Create my own forex data?
- Replies: 6
- Views: 10797
- Sun May 11, 2008 9:38 am
- Forum: Testing and Simulation
- Topic: In your testing...
- Replies: 2
- Views: 3061
In your testing...
If you get a signal to buy 2 instruments, but can only take 1 for whatever reason, do you find it more profitable to buy: 1) the stronger of the two (based on some recent performance measure); 2) the weaker of the two; or 3) half position in both?
- Tue May 06, 2008 6:51 am
- Forum: Testing and Simulation
- Topic: How to know if system is working?
- Replies: 1
- Views: 2780
How to know if system is working?
What methods do you use to tell if a system is performing in line with historical testing? How many real trades or months should be analyzed to be significant?
- Wed Apr 30, 2008 9:23 pm
- Forum: Testing and Simulation
- Topic: Number of rules...
- Replies: 1
- Views: 2549
Number of rules...
In one of Strideman's books he stated that he considers every <, >, and = sign a "rule" and tries to limit his systems five or less "rules". I counted up my "rules" and I have about 60 of them in all the blocks in my system. How many do you have? On the other hand, I ha...
- Sat Apr 26, 2008 9:15 am
- Forum: Forex
- Topic: Does USD price affect foreign forex cross trades?
- Replies: 8
- Views: 11849
- Fri Apr 25, 2008 12:53 pm
- Forum: Forex
- Topic: Does USD price affect foreign forex cross trades?
- Replies: 8
- Views: 11849
- Fri Apr 25, 2008 6:40 am
- Forum: Forex
- Topic: Does USD price affect foreign forex cross trades?
- Replies: 8
- Views: 11849
From the tests I have run, the portfolio including the foreign crosses performs better than the one with only USD rates. But, when I ran my USD and EUR base currency tests, the USD base had performed better. I assume that is because the EUR has been a stronger currency than the USD. The profitabilit...
- Thu Apr 24, 2008 10:56 pm
- Forum: Forex
- Topic: Does USD price affect foreign forex cross trades?
- Replies: 8
- Views: 11849
I ran some tests and the answer is yes, the home currency does affect performance. I tested the USD vs. EUR on non-US and non-EUR crosses. The results were pretty similar, but different nonetheless. Now i guess the question is should a person trade the foreign crosses. If I can trade GBP/USD and USD...
- Thu Apr 24, 2008 8:05 pm
- Forum: Forex
- Topic: Does USD price affect foreign forex cross trades?
- Replies: 8
- Views: 11849
Does USD price affect foreign forex cross trades?
My home currency is USD. If I trade a cross that doesn't have USD in it, like EUR/JPY, does the movement of USD affect the profitability of the trade? Part of me seems to think that movement of USD would cancel itself out in a foreign cross, but another part of me thinks that because USD is my home ...
- Fri Apr 18, 2008 6:38 am
- Forum: Testing and Simulation
- Topic: Correlation vs. Correlationlog
- Replies: 7
- Views: 5801
- Wed Apr 16, 2008 12:05 pm
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30131