Search found 19 matches

by smodato
Mon Aug 29, 2005 9:58 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 23572

Maybe I got part of the answer myself, I simply tested the system using the last 300 trades instead of the first 300 and the simulation after 635 trades gave extremely good results, much better then the real ones. Any suggestion on how to take into account a different market behaviour? The system wa...
by smodato
Mon Aug 29, 2005 7:12 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 23572

Hi, I did the following on an excel spreadsheet I prepared and that I'm currently testing: I copied the trades I got from tradestation's report I scrambled these trades allowing recycle (in practice I filled new arrays of the same length picking randomly from the trades sequence) I analysed the retu...
by smodato
Wed Jul 20, 2005 5:41 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 23572

I'd like to go back to this old topic and to discuss the following: let's suppose we have a number of backtesting trades from a system,let's say 250 trades (it is just an example). Let's look at different approaches: 1) we take the distribution characteristics, average trade, standard deviation and ...
by smodato
Mon May 30, 2005 7:37 am
Forum: Testing and Simulation
Topic: portfolio simulation
Replies: 0
Views: 2509

portfolio simulation

Hi, I'm currently struggling with Portfolio stream of RINA and wealthlab to test a system on a portfolio of stocks. Both software leave some doubts and lead to some difficulties to manage the target, what are, in your opinion, the best software to test an idea on a group of symbols whatever format t...
by smodato
Mon Jan 10, 2005 8:16 am
Forum: Money Management
Topic: has anybody developed an excel macro
Replies: 7
Views: 7750

Hi, I tried again with different time frames as input but again and again the same mistake, I said both Yes and No to read only open but no change even.
In any case I will look into the macro and try to get out what I need, if I can find out why the error occurs I will come back to you.
Bye
Smodato
by smodato
Mon Jan 10, 2005 4:35 am
Forum: Money Management
Topic: has anybody developed an excel macro
Replies: 7
Views: 7750

Thanks, very much, I launche the macro on the file as downloaded and I got an error, run time 1004, the debugger showed this: Selection.Sort Key1:=Range("M10"), Order1:=xlDescending, Header:= _ xlGuess, OrderCustom:=1, MatchCase:=False, Orientation:=xlTopToBottom, _ DataOption1:=xlSortNormal inMrk J...
by smodato
Mon Jan 10, 2005 1:37 am
Forum: Money Management
Topic: has anybody developed an excel macro
Replies: 7
Views: 7750

Thanks for your reply, I'm still very much interested in the matter so, if it is no problem, please post your solution.
Bye and thanks
Smodato
by smodato
Wed Nov 24, 2004 6:51 am
Forum: Money Management
Topic: simulation
Replies: 3
Views: 5107

I update you with latest outcomes: Together with the money management strategy I'm also testing different ways to stop trading a strategy when it's going worse. So I tested a stop in my strategy once the equity dropped under the 30 periods average, the final results were much worse then the original...
by smodato
Tue Nov 23, 2004 9:22 am
Forum: Money Management
Topic: simulation
Replies: 3
Views: 5107

I explain: I have 3 strategies and they work together, all together in 6 years of backtesting they gave about 4600 trades, I put all the trades in chronological order intoexcel and applied a money management strategy to start from 80k and risk a fraction of 4% up to 200k, then 3% to 400k and at last...
by smodato
Tue Nov 23, 2004 8:24 am
Forum: Money Management
Topic: simulation
Replies: 3
Views: 5107

simulation

Hi guys, here: http://www.tradingblox.com/forum/viewtopic.php?t=139&start=15 I asked some questions about montecarlo simulation, now I would like to bettere define my questions: if I plan a contract size increase based on a historical list of trades and I grow for example from 10.000 USD to 1.000.00...
by smodato
Wed Nov 17, 2004 9:05 am
Forum: Money Management
Topic: has anybody developed an excel macro
Replies: 7
Views: 7750

has anybody developed an excel macro

Hi, I was mixing and remixing data un some excel files and I was starting to think about the development of a macro do calculate the drawdown of an equity. So I suppose I have the equity sotred trade by trade in the cells of my spreadsheet, I can graph it and from the graph evalutae the maximum draw...
by smodato
Mon Nov 15, 2004 5:11 am
Forum: Money Management
Topic: main methods comparison
Replies: 1
Views: 3376

main methods comparison

Hi guys, I read time ago an article of Murray Ruggiero Jr where he was comparing optimal f Vs fixed ratio. I understand fixed ratio is one of the most common systems and I personally like it very much. To compare it with optimal f is not very realistic and I would compare it to fixed fraction method...
by smodato
Fri Jul 23, 2004 9:00 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 41891

You've got test results but you don't trust them. Why not? Thanks for your answer, I go immediately to the point, my results look very good, maybe too good, I can imagine worse scenarioes and live with them with no problm as there is still room for good profits; what I fear is the disaster, I can't...
by smodato
Fri Jul 23, 2004 5:54 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 41891

IMO and many others (there is much discussion 2 yrs back on omega group threads with good testing to justify the opinions) Ryan is just selling books. If you can trade you trade. If not ..... The best money management for normal players is to bet a fixed fraction of your equity on every trade. You ...
by smodato
Thu Jul 22, 2004 5:21 am
Forum: Money Management
Topic: There should be a limit
Replies: 3
Views: 4894

Thanks for the reply, I've got another concern to tell the truth, playing with the numbers on my strategies the outcomes are astonishing even keeping the number of contracts within acceptable limits, obviously together with very large winning trades also bad periods come to reality and with many con...
by smodato
Tue Jul 20, 2004 3:26 pm
Forum: Money Management
Topic: portfolio management
Replies: 2
Views: 4068

portfolio management

Hi, I just read this chapter in Jones's book and, while the development of the theory seemed quite nice, I got puzzled by the fast explanation about the practical mangement of contracts trading different futures. All I found is a summary table with the astonishing data but I fear being astonished in...
by smodato
Tue Jul 20, 2004 3:19 pm
Forum: Money Management
Topic: There should be a limit
Replies: 3
Views: 4894

There should be a limit

Hi everybody, I read several threads here and 'm also reading Ryan Jones work, I'm really fascinated by the scenario I'm discovering but I have a question (or a doubt maybe). Theoretically we start from very few contracts to possibly increase them using a valid strategy. let's suppose everything wor...
by smodato
Mon Jul 19, 2004 9:22 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 41891

Thanks Forum Mgmnt, now I'm a little bit full of doubts, I'm reading Ryan's book about money management and the reading is convincing me about the advantages of fixed ratio vs fixed fractional, I see not everybody here "accepts" this position and even though I fully understand everybody is presentin...
by smodato
Mon Jul 19, 2004 8:30 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 41891

If you can trade you trade. If not ..... Toby Crable told me that his book got his trading career launched. He recommended writing a book as a way to get noticed. Sorry Forum Mgmnt, I don't understand now what book Toby is speaking about, Jones' book or some book of his own? Thanks, bye Smodato