Search found 35 matches

by nickmar
Wed Jun 04, 2014 11:16 am
Forum: Data Providers and other non testing software
Topic: Portara & CQG Datafactory - Professional Data Service
Replies: 17
Views: 9218

Our Firm has been beta testing Portara for the past two years or so and I can honestly say that it is the most versatile price data management solution for futures data that we have come across. The ability to create daily bars based on custom start and end times is a game changer. The decision to p...
by nickmar
Tue Aug 26, 2008 1:35 pm
Forum: Testing and Simulation
Topic: Robustness vrs New Markets
Replies: 9
Views: 5568

Good point AFJ. A while back, I had written an alternate version of the "instrument.tradingInstruments" property which eliminates the "have price information for the current test date" condition. As a result, markets that are closed due to a Holiday (or weekend) are not excluded from the calculation...
by nickmar
Tue Aug 26, 2008 8:54 am
Forum: Testing and Simulation
Topic: Robustness vrs New Markets
Replies: 9
Views: 5568

Sluggo's idea is a good one. Dynamically adjusting position size according to the number of markets available for trading can aid in keeping heat within a narrow range over long periods of time.
by nickmar
Thu Jun 26, 2008 10:57 am
Forum: Testing and Simulation
Topic: WARNING: Potential problem with CSI Unadjusted Close field
Replies: 12
Views: 7303

In order to test the "Closing Bid" to the raw contract close, I created about 1300 unadjusted price data files and combined them into one large CSV file. Thanks to Excel 2007, I was able to compare over half a million records in a snap. Out of 1333 price files, only 6 of them had at least one instan...
by nickmar
Tue Jun 24, 2008 5:31 pm
Forum: Testing and Simulation
Topic: WARNING: Potential problem with CSI Unadjusted Close field
Replies: 12
Views: 7303

I have yet to receive a reply from CSI. To be quite honest, I have not attempted to contact them a second time.
After completing numerous comparison tests, I am confident that the "Closing Bid" can indeed be used as a proxy for the "unadjusted close".
by nickmar
Fri Jun 06, 2008 5:05 am
Forum: Testing and Simulation
Topic: WARNING: Potential problem with CSI Unadjusted Close field
Replies: 12
Views: 7303

Thank you Sluggo. I will contact CSI tech support and inform them of the problem.
by nickmar
Thu Jun 05, 2008 6:35 pm
Forum: Testing and Simulation
Topic: WARNING: Potential problem with CSI Unadjusted Close field
Replies: 12
Views: 7303

WARNING: Potential problem with CSI Unadjusted Close field

I recently started scrutinizing the unadjusted close data generated by CSI UA ASCII field layout option "U" (Futures data only). Assuming that there are no specific issues with the versions of UA I tried (i.e. 2.9.3 and 2.10.3), there appears to be a serious problem with the unadjusted close data. I...
by nickmar
Fri Apr 06, 2007 7:32 am
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30740

Rentec is short for Renaissance Technologies ( http://www.rentec.com ). Their expertise is believed to be high frequency trading. The following is from Wikipedia: Renaissance represents a validation of the quantitative trading model and trades with such high-frequency that it (the Nova fund, specifi...
by nickmar
Thu Apr 05, 2007 10:14 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30740

jankiraly - I never meant to imply that one should always trade on the open. Hiring traders or purchasing/outsourcing to/leasing an Algorithmic trading solution to minimize market impact costs is easier said than done. It is akin to allocating a portion of your capital to a high frequency trading ov...
by nickmar
Wed Apr 04, 2007 4:37 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30740

Thanks TK - one of the few threads on the forums that I must have missed.
by nickmar
Wed Apr 04, 2007 4:06 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30740

The reason I brought up the topic of slippage determination for MOO/MOC orders is that some traders compare their fills for these types of orders to the actual open/close of the day. I contend that this approach is incorrect - especially when trading in size and/or in illiquid markets. When a trader...
by nickmar
Wed Apr 04, 2007 10:53 am
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30740

Ted,

What's your approach to measuring slippage on MOO and MOC orders?
by nickmar
Tue Mar 27, 2007 12:45 pm
Forum: Money Management
Topic: How Many Systems are Enough?
Replies: 5
Views: 7326

AFJ - assuming that you have an exposure cap by sector or sub-sector (e.g. max x% to equity index futures or max y% cap to European equity index futures), it probably makes sense to allocate to as many markets as possible within each sector/sub-sector subject to account size constraints (i.e. an inv...
by nickmar
Mon Mar 26, 2007 11:38 am
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23413

Great contribution Sluggo!! Sorta like a stress test for your entry logic.
by nickmar
Fri Mar 23, 2007 5:20 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39121

The folks over at the RiskMetrics Group have thought long and hard about this subject: http://www.riskmetrics.com/stressovv.html The full article can be found starting on page 61 of the following document: http://www.gloriamundi.org/picsresources/jkcf.pdf Interesting approach but not trivial to impl...
by nickmar
Fri Mar 23, 2007 3:31 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39121

Lessons learned over the years:

1 - For Trend-followers, high negative correlation is as dangerous as high positive correlation

2 - Correlations during stress events are much more important than long-run correlations
by nickmar
Fri Mar 23, 2007 3:09 pm
Forum: Testing and Simulation
Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
Replies: 13
Views: 10040

Here's a system inspired by this discussion: System 1 Rules: 1 - Pick a random number X between 20 and 200 2 - Wait X trading days 3 - Pick another random number Y between 20 and 200 4 - Flip a coin. If it is heads, enter a Long position and hold for Y trading days. If it is tails, enter a Short pos...
by nickmar
Thu Mar 01, 2007 9:01 am
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39121

Excellent modification Jake - makes sense to allow for unequal sector weightings (e.g. less exposure to the meats). It may also be worthwhile exploring modest random sector underweightings/overweightings.

TradingBlox Builder makes these types of tools easy to implement. Kudos to c.f. and Tim.
by nickmar
Wed Feb 28, 2007 4:40 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39121

How about the use of randomized portfolios instead of synthetic data as a means of testing system robustness? About a year ago, I wrote a Portfolio Manager blox which generates random portfolios based on specific sector constraints (see attached). The sector names must be in a specific format and ne...