Search found 18 matches

by tigertaco
Sun Apr 29, 2012 5:00 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 33399

One question about this. We don't have any guarantees that these equity curve return correlations are stable. More precisely the best fit lines may change their slopes when future data is added. To address this issue one simple suggestion (or maybe you already done this?) Anyway, suggestion is two s...
by tigertaco
Thu Nov 10, 2011 12:54 am
Forum: Data Providers and other non testing software
Topic: export data into .csv
Replies: 1
Views: 2114

Never mind. I found where csi put the .csv file.
by tigertaco
Thu Nov 10, 2011 12:36 am
Forum: Data Providers and other non testing software
Topic: export data into .csv
Replies: 1
Views: 2114

export data into .csv

I can't find a way to export data from csi's UA into .csv file or any kind of text file.

Is this possible?
by tigertaco
Sun Oct 30, 2011 4:42 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 25865

frequent contracts

"Roughly speaking, it takes more than 10 or 15 bars of hold time to get the average profit per trade above the commission and slippage costs ($100/contract)" It's believable but how then it could be profitable to trade futures with monthly contracts (like oil) ? Wouldn't commission and slippage at r...
by tigertaco
Sat May 15, 2010 12:08 am
Forum: Brokers
Topic: What brokerage company do you use?
Replies: 10
Views: 7517

TS and IB

I've been using Tradestation for 3 years. I mostly trade forex and TS is not a very good broker for that. Their forex spreads are about twice as large as IB's. But, I can't leave without their charts. (I don't use any tech analysis, only raw price). Finally, I had a revelation: why not look at TS's ...
by tigertaco
Mon Aug 10, 2009 1:15 am
Forum: Testing and Simulation
Topic: portfolio question
Replies: 12
Views: 5169

portfolio question

I would like to build a list of 25 or so low correlated markets to test my systems. Does anybody have a suggestion on how to go about creating such a list? I want it to include stocks, forex, and futures traded at different exchanges. I would really appreciate if you give me an example of a portfoli...
by tigertaco
Sun May 03, 2009 10:49 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5754

Re: survivor bias

It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not including delist...
by tigertaco
Sun May 03, 2009 8:07 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5754

Re: survivor bias

It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not including deliste...
by tigertaco
Sun May 03, 2009 2:52 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5754

survivor bias

Hi all, I've recently done an experiment testing a system on a free database of currently traded stocks (yahoo) and purchased database free of survivor bias. I'm glad I bought that data because the performance on the latter was significantly worse. Even though the system buys supposedly strong stock...
by tigertaco
Mon Mar 23, 2009 4:52 pm
Forum: Brokers
Topic: non-US markets
Replies: 9
Views: 7169

non-US markets

Hi,

I wonder if someone could recommend a good broker for trading worldwide markets. My current brokerage (Tradestation) doesn't allow this. I think IB does but I'm not sure.

thanks,
t.
by tigertaco
Sun Mar 22, 2009 4:58 pm
Forum: Testing and Simulation
Topic: slippage on rollovers
Replies: 2
Views: 1955

Thanks, sluggo. That's a good idea even with an extra parameter D. As for overfitting, it seems that the primary danger is underfitting. Once that danger is taken care of, some sort of stability of results wrto to parameter step may help with overfitting.

t.
by tigertaco
Sun Mar 22, 2009 12:39 pm
Forum: Testing and Simulation
Topic: slippage on rollovers
Replies: 2
Views: 1955

slippage on rollovers

Hi, I'm testing a system assuming all buy entries happening at day's high and sells at day's low. But, if I do the same brutality on every rollover it kills the system which is not too surprising perhaps. My question is what's a good assumption for slippage at rollover points? Separate question. I'm...
by tigertaco
Sat Mar 07, 2009 6:00 pm
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 4182

Thanks, alp. I have a question, though. Can a slippage really be 5%? That seems unbelievable to me. My current trading is 99.9% is in stocks on N-tick charts in Tradestation. I'm used to fighting for every tick (only exception is when it feels like a monster trend is coming then good fill could actu...
by tigertaco
Fri Mar 06, 2009 11:40 pm
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 4182

Re: Portfolio size

I wonder: if the system cannot take all signals, why would it trade a bigger portfolio in the first place? . Well, it's probably better to have more signals than you can handle, then less. In fact, maybe it is better to have very large portfolio but keep track of signal sequence and take only the e...
by tigertaco
Thu Mar 05, 2009 5:34 pm
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 4182

Portfolio size

Let's say your system enters at the new N-high/low and exits after K bars (trend following system that is) and has no other exits. What 's an optimal portfolio size for such a system? Here is why I'm asking this. Consider the situation in which you are fully invested and system gives an entry signal...
by tigertaco
Tue Mar 03, 2009 4:21 pm
Forum: Testing and Simulation
Topic: R-cubed
Replies: 4
Views: 3663

That's very interesting. Fits a general philosophy of replacing thresholds/choices with a parameter which is varied until stability is achieved, and the stable value enters in the original definition.
by tigertaco
Fri Feb 27, 2009 3:54 pm
Forum: Testing and Simulation
Topic: R-cubed
Replies: 4
Views: 3663

Thank you for pointing out r-squared, however neither L1 nor L2 distance ignores the duration of drawdown. If equity curve spends a long time away from RL, they both will reflect that as you'll have many large terms in the sum. If you keep both distances then it lets you make additional conclusions:...
by tigertaco
Fri Feb 27, 2009 2:50 pm
Forum: Testing and Simulation
Topic: R-cubed
Replies: 4
Views: 3663

R-cubed

Recently I read "way of the turtle" (that's how I discovered this forum). Great book! Especially given the preponderance of low quality TA books out there. One suggestion I thought of is a possible improvement over R-cubed measure. The way it's defined involves making choices (considers N max drawdo...