brilliant!
now why didn't I think of that.....
thank you Tim
Search found 16 matches
- Thu Jul 12, 2018 3:32 pm
- Forum: Testing and Simulation
- Topic: How to specify an exit when takeover happens
- Replies: 4
- Views: 4093
- Wed Jul 11, 2018 4:51 pm
- Forum: Testing and Simulation
- Topic: How to specify an exit when takeover happens
- Replies: 4
- Views: 4093
Re: How to specify an exit when takeover happens
actually to be more specific, I am using the order generation and trading forward based on the system....however one of the stocks was taken over and the data ends...….I can get the system to generate an exit order, but the system does not actually execute the exit order I presume because there is n...
- Tue Jul 10, 2018 8:21 pm
- Forum: Testing and Simulation
- Topic: How to specify an exit when takeover happens
- Replies: 4
- Views: 4093
How to specify an exit when takeover happens
I am having trouble with this situation.... For backtesting purposes, how do I code for the situation when a holding is taken over and the data for that stock just ends before the test end date? I think I am missing something obvious..but at present the system just stays stuck in the position. Thanks
- Mon Nov 05, 2012 4:01 pm
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 13295
- Sun Nov 04, 2012 9:29 pm
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 13295
Trend Follower Performance Data
Does anyone know of the best place (publicly avaliable) to look at the performance data of the various Trend Following hedge fund managers? I am just trying to compare my recent performance experience with that of the "superstars". My impression would be that it has been a very lean time f...
- Thu Jul 02, 2009 10:46 pm
- Forum: Testing and Simulation
- Topic: Great Edge Ratio but poor system results
- Replies: 4
- Views: 4015
- Thu Jul 02, 2009 5:11 pm
- Forum: Testing and Simulation
- Topic: Great Edge Ratio but poor system results
- Replies: 4
- Views: 4015
Thanks Sluggo for your reply. It is always appreciated. Yes I understand the debate with respect to entries and exits and I am aware that a bad exit protocol can offset a good entry protocol. However as I pointed out the edge ratio is calculated using fixed exit points so if I am replicating that th...
- Thu Jul 02, 2009 2:49 am
- Forum: Testing and Simulation
- Topic: Great Edge Ratio but poor system results
- Replies: 4
- Views: 4015
Great Edge Ratio but poor system results
I have been testing and entry blox which seems to give one of the best edge ratios I have seen on a fixed exit bar scale yet when I replicate it into a system and use a time based exit matching the optimal edge ratio result I get quite poor results. I have made no other changes to the system. Any th...
- Wed Mar 11, 2009 2:39 am
- Forum: Testing and Simulation
- Topic: CME currency contracts versus cash FX market? Which one?
- Replies: 6
- Views: 4461
I havent posted the data here but what I notice is that the impact of carry is much higher in the period 1987-1991 and for some reason this leads to a much bigger difference in the results in that period. I would have though that the futures contracts would have accounted for the carry but it doesnt...
- Wed Mar 11, 2009 1:30 am
- Forum: Testing and Simulation
- Topic: CME currency contracts versus cash FX market? Which one?
- Replies: 6
- Views: 4461
Sluggo I decided to take up your advice and ran the following test on sample data (5 major currencies ex Euro) from 1995 to present on the DMA simple system as provided with TBX download. The results were; Stepped Parameter Summary Performance Test Ending Balance CAGR% MAR Modified Sharpe Annual Sha...
- Tue Mar 10, 2009 9:42 pm
- Forum: Testing and Simulation
- Topic: Large Optimization Runs
- Replies: 1
- Views: 2182
Large Optimization Runs
I have a system with about 15 parameters. When I run the desired optimization it results in about 7m plus tests which is just not feasible. How do other users handle this. Do they run a much broader stepping of values to reduce the total number of tests, identify the prospective regions and then tig...
- Thu Feb 26, 2009 6:26 pm
- Forum: Testing and Simulation
- Topic: CME currency contracts versus cash FX market? Which one?
- Replies: 6
- Views: 4461
CME currency contracts versus cash FX market? Which one?
I have been backtesting using CME currency (ease of use) whereas in my actual trading I am using cash FX (although I could use CME if needs be). I know this breaks the golden rule (trade what you test, test what you trade...). Anyway I have a couple of issues; 1) When i substituted cash FX for CME F...
- Wed Feb 25, 2009 7:52 pm
- Forum: Testing and Simulation
- Topic: Filtering Trade Signals
- Replies: 3
- Views: 3281
Filtering Trade Signals
I have been playing with the TMA system and applying various filters such as correlation and unit quantities. Obviously the system can be improved by tightening or loosening the various filters to allow more trades through. I was wondering how other people normally handle this tradeoff? Do they simp...
- Mon Feb 23, 2009 6:07 am
- Forum: Testing and Simulation
- Topic: Backadjusted point or ratio (%)
- Replies: 9
- Views: 8344
- Thu Jul 10, 2008 2:14 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30742
This is an area that has been occupying my mind so I thought I would throw in my 2 cents. Most of the goodness measures proposed on this forum seem to define risk in terms of drawdown. I am a little unsure about this for precisely the reasons put forward by Dean (LTCM et al). Shouldnt we be looking ...
- Thu May 08, 2008 4:46 pm
- Forum: Data Providers and other non testing software
- Topic: CSI / UA problem
- Replies: 5
- Views: 6397