Triple Moving Average vs. All The Others

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
pakua42
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Post by pakua42 » Fri Dec 30, 2005 8:12 pm

Thanks Tim and Sluggo!

See guys. This is what asking questions over and over will do. It gets you results. literally! Is there anyone out there who did not benefit by the charts Tim and Sluggo just posted! Wow! It has my attention! If anything, it confirms your own results. I suspect if I am nice, when I am ready to buy the software, Tim or sluggo might possibly be willing to guide me by phone to set up the parameters they used to get these results. (smile)
Thats all I ask for............simplicity. I was almost going to leave this board as some of the people here were getting irritated by not accepting what they said and just go out and buy the software, learn code and excel and go on my merry way experimenting. Whoaaa... whats the rush? I have my hand in many boards and many pies. Im trying to narrow things down gradually.

Hey, maybe a few of us will form a testing group from all of this. Maybe another newbie will ask a question all of you cant answer and that will make Tim and c.f. stretch to find out. Maybe, maybe , maybe. Ahhhhh..I love the world of infinite possibilities, dont you?

Anthony Robbins, author of Awaken the Giant Within has said, "there are 2 ways to learn. The hard way or the easy way. The hard and long way is thru your own experience. The easy and short way is thru someone elses." I cant think of an easier way than to keep asking questions. Thanks so much for your encouragement Tim.

A quick story: In the 80's I decided to learn karate. So I joined a school that was headed by the 3rd highest ranking shotokan instructor in the world. Everyone said to me.........."Dont worry about understanding everything. If you keep doing it, it will all come to you." I kept at it for 2 years. I didnt question what I felt were time wasting stupid drills that took the long road to get to a short place. The japanese often view time as not important. Spending 20 years to learn self defense is not questioned by many of them. So....I did what all the "masters" and experienced karate men at the school told me to do and was allowed to ask the occassional question. (big mistake!) 2 years later I decided to join a boxing gym and after 30 seconds in a boxing ring realized I wasted 2 years doing what looked good and sounded logical but would get be beaten up or killed in the street. So..after looking like a fool after 2 years of training I subconsciously told myself.................question everyone and everything!
"Respect all, listen to most, follow a few and walk your own path."

I believe asking questions is also an art. I dont ask questions to pick the winner in who is smartest. Or show my arrogance. I ask questions because I want to keep LISTENING! I want to keep hearing different points. i want to learn. And as one asks questions they learn to keep asking better questions! Are any of us masters yet at asking questions. I certainly am not and i spend all day trying to do it. In fact, we often cant answer the questions we ask ourselves. lol

Last story: I am 47 and still single. I learned that asking a woman a simple question usually gets the same answer but always a different result: I have asked over 1000 women in 8 years on the web "What do you want out of a relationship, and what are you willing to do to make it work?" Simple question ,yes? Not really. Every woman "says" they want to love and be loved, and give their man this and that and have babys and be a good wife and communicate and share good times, etc, etc but....................after 8 years, I havent found one person who can actually do most of it let alone all of it! Many cant even understand the question. Almost all cant go beyond that simple answer. Scary isnt it? It teaches me that perception of a simple question can have staggering differences! And a persons perception in answering and also behavior can be surprisingly oversimplified or too complicated. So, I go on my merry way, down my own path and I keep asking stuff. Oh yes....I now ask many, many more questions before making that first date. -)

I think I will stick around a while. Oh, by the way, what some of you dont know who are saying basically "Just buy it already!" is that I am on a trial with another software package and I dont want to overwhelm myself. I believe this trading blox will be the buy for me at the end, but if and when I do buy it, I want to know that this is the end of the road. I will hopefully devote my life to working with it and the people that want to work with me both on this board and other boards. I am merely polishing the blade with all my questions. So please guys. Dont chase me away. Encourage me. Post test results for different instruments and parameters to show me what's happening. I'm taking it all in. Promise. (smile)

happy new year all,
Marc

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Post by Tim Arnold » Fri Dec 30, 2005 10:59 pm

Thanks for sharing, Marc.

I'm certain you will find the right person for you -- best of luck with that.

Happy New Year!

Tim

zz double
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Post by zz double » Sat Dec 31, 2005 2:36 pm

Sluggo,

Its New Year's Eve and I've just seen your TMA post in this thread, I should be getting ready to party but instead I have been forced to begin re-testing the afforementioned system. Please give my social life a chance and post on a boring Tuesday in mid January next time..... :D

ZZ

p.s. Happy New Year to all.

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Post by Tim Arnold » Sat Dec 31, 2005 3:05 pm

Yes, it's New Years Eve -- what are we doing on this forum ?!?!

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Post by Jimbo » Sat Dec 31, 2005 3:12 pm

It's an addiction. Anyone else been in the middle of a party or other social event and suddenly had an idea occur to them and be unable to think of anything except "Gotta test that!" - and then get home at 1:00 am and spend 2 more hours testing it?

Just me? Ok...

It's not software you guys are selling, Tim - it's trader's crack.

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Post by Coffee » Sat Dec 31, 2005 8:41 pm

Jimbo,

I hear ya brother...

As soon as my parameter test is done, I'm heading out to a party. Shoot the wife is nagging to go now...

I hope you all have a good new Years,

Chuck

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Post by BARLI » Sun Jan 01, 2006 6:16 pm

hey guys, when you trade with moving averages do you take signals from continous contract or from some particular futures contract? :roll: I am in the process of backtesting some Mov Avg ideas, but have no experience trading exclusively with them.

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Post by BARLI » Sun Jan 01, 2006 6:25 pm

sluggo wrote:Tim, Tim, Tim. I keep trying to gently suggest that you include non-US futures in your testing portfolio, but it appears I still haven't succeeded.

I find that when I run the 3MA system for CY2005 using the same number of markets ( 28 ) as you ran, but employing an international portfolio of futures markets, the results are noticeably better. This portfolio includes quite a few overseas instruments, such as CSI Commodity Numbers 58, 131, and 565. They are traded in frightening, exotic locations like the steamy jungles of Winnipeg, Frankfort, and London. Oooohh, scary. :)
Sluggo I looked at those "exotic" international commodities:Liffe Interbank Offer Rate 3month, from some of my experience in backtesting I found that interest rates have very good long trends dont know about Canola and DAX EUREX :) gotta test em all !

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Post by Tim Arnold » Mon Jan 02, 2006 9:18 am

Barli,

Yes you need continuous contracts generally to trade long moving averages. With a product like CSI UA you can create these files easily, and with a plethora of backadjusting options.

Tim

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Post by BARLI » Mon Jan 02, 2006 3:18 pm

thanks Tim!

pakua42
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Post by pakua42 » Tue Jan 10, 2006 10:19 pm

Anyone know why I would recieve an email that another reply was posted to this thread and then it cant open it. Does that mean Tim deletede it?

Marc

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Post by Tim Arnold » Wed Jan 11, 2006 4:32 pm

You get that message when a thread was posted and then removed. It could have been removed by the poster or the moderator.

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Simulation of trending systems in general

Post by rdh2f » Fri Jan 27, 2006 9:09 am

I've recently been testing mulitple systems on the tradingblox platform. As I surmised from John Henry's recent performance, it's been very tough sledding for most any trending systems over the past 5yrs and specifically in 2005. I was wondering if perhaps something fundamentally might have changed... more market particpants with the technology to exploit discrepancies faster perhaps? I realize one year, or even 5, doesn't make a system obsolete, but it sure doesn't inspire much confidence going into 2006. I would love to hear anyone's thoughts...

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Post by sluggo » Fri Jan 27, 2006 12:18 pm

Here's a fully disclosed TBB system that appears (to the unaided eyeball) to have performed nicely through the first half of 2005. Perhaps you might enjoy testing it over the full year.

[MOD: link removed]

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Very true

Post by rdh2f » Fri Jan 27, 2006 1:15 pm

Thanks for the link sluggo. Perhaps, I haven't tested nearly as much as I need to. Nevertheless, it does appear that the original turtle system seems to have underperformed over the past few years and I wanted to know if anyone had any qualative explanation. Thanks again

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Post by zz double » Fri Jan 27, 2006 2:15 pm

rdh2f

Keep testing, there are some excellent systems within TBB. I'm quite certain that they can all be tweaked (not curve fitted) to give good multi timeframe results.

2005 was a good year from what I can see.

ZZ

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Post by AFJ Garner » Sat Jan 28, 2006 6:38 am

Those newer to systems and testing might like to note carefully Sluggo's choice of moving average period in his settings for the ATR breakout system he refers to above.

Those just starting to learn to code might like to try adding a separate money management protective stop mechanism to the basic ATR breakout system included with TBB. Although some, including the great Kaufman himself, warn against relying on any stop other than the basic trend reversal signal itself.

But try it. You could also try also separating out the multiple of ATRs and the days used 1) in the calculation used for the basic trend reversal signals and 2) those used for the money management stop.

You could try a longer, smoother, greater number of days to use in the exit bands. You could use a lesser ATR multiple of the same long smooth number of ATR days for your protective stop. Or you might feel that an ATR based on 10 days is more responsive to current market conditions. Whatever.

But Sluggo has provided a good route to explore.

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Post by Horizon21786 » Sun Jan 10, 2010 1:30 pm

The figures that are printed on this thread are much much greater then I could ever imagine
To give you an ideas, I think a system that produced 30% CAGR is good.
The fact you can get more then 100% CAGR with a DD less then 20% is out of this world for me

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Post by LeviF » Sun Jan 10, 2010 2:27 pm

The numbers you are looking at are only for a very good 1-year period.

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Post by Horizon21786 » Sun Jan 10, 2010 2:48 pm

Thanks Levi, for bringing me back down to earth.

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