Traders' Roundtable

Here are the limited results of comparing S&P 500 future historical vs calculated margin from 1987 to 2009 thanks to the historical data provided here: http://www.tradingblox.com/forum/viewtopic.php?t=6692&highlight=historical+margin+data

You will find the blox I used for margin estimates in the ...

Impossible to do in back - testing for reason so often discussed here re the difficulties of obtaining meaningful historical margin figures
If we cannot get meaningful historical figures maybe we could calculate them?

We could calculate margin with the algorithm used by standardized portfolio ...

Jez Liberty on his blog explains the use of Moving Median instead of Moving Average:

[quote]“While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the ...

Hi Roscoe
Did you manage to implement Vince leverage space model ?

When I run a simulation on CSI Fx data I keep getting the message “The low price his greater than the high price for symbol AUDJPY on date 19990518â€

Hello Babyturtle

here are two investment advisers ranking CTAs:

http://www.autumngold.com

http://www.altegris.com

Raphael

Until recently I have always used the FORTRAN algorithm with CSI back-adjuster with no problem. When the tick size in US & FV changed I could not do my daily update because the all procedure failed with a message “out of memoryâ€

Indeed CSI released that message:
30 Year T-Bonds (CSI#44 and CSI#144) are changing tick size from one 32nd to ½ of one 32nd
5 Year T-Notes (CSI#251 and CSI#293) are changing tick size from ½ of one 32nd to ¼ of one 32nd

In trading blox future dictionary my tick size for FV and US up to now ...

Hi Zach,

My CSI data do not show that spike.

20080130,1156.0,1179.0,1156.0,1175.0,19889,240481,200803,1175.0
20080131,1182.0,1198.0, 1182.0 ,1197.0,24391,242449,200803,1197.0
20080201,1194.0,1208.0,1185.0,1205.0,14377,242449,200803,1205.0

Was it bad data that has been corrected afterwards ...

As Anthony suggested I run 100 tests of the random entries-trailing stops at 10 ATR from 1982 until September 2007 on a portfolio of 69 futures with $100 for commission and slippage and the system made money 100% of the time as you can see in the following figure.

Sluggo explained that markets have ...

turtle40

Thanks for the spreadsheet and for sharing your experience with spread betting. It appears indeed to be a very interesting approach for smaller accounts.

Raphael

Sluggo,

Thanks for the links and your help. Your wise answer is indeed very helpful in pointing me in the right direction.

What I want to achieve indeed is testing a LTTFS with a “smallâ€

I had some difficulties to grasp the different approaches of Risk used in Trading and especially how they relate to each other. I thought putting this in excel could help.
You will find attached a spreadsheet that can help to understand how the different kinds of risk (Open Risk, Closed Riskâ ...

Classically to find robust parameters values during an optimization test, CAGR or MAR is used as the goodness measure. The goal of the test being to find the parameters values giving “highâ€

Turtle40

Thanks for the links. I find indeed Spread betting a good way to start with a smaller account or to paper trade. I have opened a demo account to see how this all works. Doing a bit of simulation with the excel bet size worksheet it appears that if we want to bet the minimum of £ 1 per ...

Turtle40,

I have been thinking of how you calculate the amount you can bet on each spread betting trade and have worked on an excel spreadsheet like yours. You will find my worksheet attached to this email.
I have in fact considered a future account with a starting equity of $100,000.00 and a ...

Starting equity seems a limiting factor in a Very Long Term Trend Following system. It has been suggested to go and look for CTA that offer big portfolio for relatively small accounts. But why not pooling our research and starting equity?

Let’s say for example that 10 forum members join and pool ...

Hi Turtle40

It looks like Spread betting can be a better approach than paper trading before trading a real future account as the starting equity required for SB is much lower.

But how do you test a Spread betting Strategy in Trading Blox®?

Do you run simulations using the futures setting (as if ...

Thanks to Zach, Leapfrog and Zoomy.

I will contact Zach for more information


Raphael

Hi Zach,


I am not ready yet to completely autotrade a system. For now I am more thinking of developing a strategy and generate the signals on my computer and then pass the orders to my broker. I understand I could enter my order into your electronic platform. As I live in Europe can I enter the ...