Search found 56 matches
- Mon Oct 17, 2011 9:57 am
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13010
- Tue Jul 17, 2007 8:58 am
- Forum: Testing and Simulation
- Topic: What is an "Edge"?
- Replies: 32
- Views: 38732
- Thu Jul 12, 2007 3:56 pm
- Forum: Testing and Simulation
- Topic: A systematic way to portfolio optimzation
- Replies: 6
- Views: 8091
1. What is the advantage of setting commissions and slippage to zero? It doesn't make the simulations run any faster. But it does distort the results. 2. Maybe you could optimize the portfolio over a subset of the historical data, like for example 1990 thru 2002. Then you could take the resulting &q...
- Wed Apr 04, 2007 1:46 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39514
- Wed Apr 04, 2007 9:43 am
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39514
It ain't what people don't know that hurts them; it's what they know that ain't so (Will Rogers, Josh Billings, Mark Twain) First let's admit the obvious: it is possible that Ed Seykota could be wrong. All successful daytraders would say he's wrong. Brett Steenbarger would say he's wrong. Toby Crab...
- Fri Dec 17, 2004 12:05 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100859
And who knows, maybe there is a certain level of optimization that is good. I'm just tempermentally suspicious of any optimization. Any time you make any choice based on past performance, you are performing an optimization. So for example when you choose mutual funds based on their 5-year and 10-ye...
- Fri Oct 15, 2004 10:04 am
- Forum: Testing and Simulation
- Topic: Danger of single market back test result
- Replies: 11
- Views: 13353
- Thu Oct 14, 2004 11:47 am
- Forum: Testing and Simulation
- Topic: Another Look at portfolio construction
- Replies: 2
- Views: 4082
- Thu Sep 23, 2004 8:18 am
- Forum: Testing and Simulation
- Topic: System performance
- Replies: 9
- Views: 9461
Reggie, the way a Wealth-Lab user specifies money management parameters is to click and pull-down various buttons and menus and dialogue boxes within the WL graphical user interface. You don't specify MM by writing source code in the WL script. note: Veritrader seems to work the same way: you enter ...
- Thu Aug 05, 2004 6:57 pm
- Forum: Testing and Simulation
- Topic: How to backtest?
- Replies: 2
- Views: 4048
- Wed Jul 07, 2004 2:36 pm
- Forum: Testing and Simulation
- Topic: Journey to turn the worst system into the best one!
- Replies: 12
- Views: 13113
There's absolutely nothing wrong with trading that way. And there's absolutely nothing wrong with getting your trading signals from a Coke bottle that allows you to communicate with super-intelligent beings on Mars. If you haven't heard the (true) story, check it out: http://www.traderclub.com/discu...
- Wed Jun 30, 2004 11:36 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 16825
One thing you can do is ask others for their opinion about your opinion. Another thing you can do is formulate a hypothesis, design an experiment to test your hypothesis, perform the experiment, analyse the resulting experimental data, and draw a conclusion. For example, you can hypothesize that a t...
- Sat Jun 19, 2004 8:15 am
- Forum: Stocks
- Topic: Is there a place for fundamentals in trend trading?
- Replies: 16
- Views: 25902
- Sat Jun 19, 2004 8:11 am
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10554
You can perform experiments yourself using, for example, Microsoft Excel. Set up sequences of coin-flips (or dice-rolls, or stock trades, or ...) and then apply Martingale betting to them. Then apply anti-Martingale betting to the same sequences. What do you see? How do the results change, and how d...
- Fri Jun 18, 2004 2:25 pm
- Forum: Money Management
- Topic: Scaling / 'Pyramiding'
- Replies: 31
- Views: 43891
- Fri Jun 04, 2004 1:08 pm
- Forum: Testing and Simulation
- Topic: Parameter Search Algorithms
- Replies: 3
- Views: 3976
- Wed Jun 02, 2004 9:35 pm
- Forum: Money Management
- Topic: Long/Short market neutral exits
- Replies: 15
- Views: 13817
If a trade contains just two instruments (like a long/short pairs trade), you go long S1 shares of instrument 1 at price P1, and you go short S2 shares of instrument 2 at price P2. Presumably you have got some kind of math formula that tells you how many shares to trade on a new entry signal, per mi...
- Fri May 21, 2004 9:04 pm
- Forum: Money Management
- Topic: hedging risk with net credit spreads
- Replies: 2
- Views: 4597
- Tue Mar 30, 2004 12:27 pm
- Forum: Money Management
- Topic: Thoughts on entry price, and open vs closed equity
- Replies: 9
- Views: 10439
- Tue Mar 30, 2004 12:13 pm
- Forum: Money Management
- Topic: What % equity to risk on high expectation trades?
- Replies: 7
- Views: 7998
I would risk 70.00 percent of my net worth on each play of this game. I expect this would result in 50% probability of a drawdown of 98.91% or worse 25% probability of a drawdown of 99.19% or worse 10% probability of a drawdown of 99.76% or worse 5 % probability of a drawdown of 99.90% or worse 1 % ...