Search found 57 matches
- Mon Oct 06, 2014 10:55 pm
- Forum: Data Providers and other non testing software
- Topic: Global Financial Data
- Replies: 2
- Views: 7435
Global Financial Data
So I've been looking around for the longest historical database out there. Came across GFD from a recommendation from Mabane Faber. They go back as far as 1252 for commodity data (but I think it's yearly data for a few hundred years...wow). Do you use them? I'm just wondering if there's an alternati...
- Tue Dec 04, 2012 2:48 am
- Forum: Market Psychology
- Topic: How do market response? when people get stress.
- Replies: 14
- Views: 52352
When you say market, I'm guessing you mean equities. Equities are mean reverting, so mean reversion strategies work great...especially after they fail. Such as right after 1987 crash. One strategy might be: 1) Wait for equity event that can not be explained by random walk. 1987 futures crash was one...
- Sat Oct 06, 2012 9:47 pm
- Forum: Testing and Simulation
- Topic: Kurtosis and fat tails in IBM's price changes
- Replies: 9
- Views: 7833
- Wed Jul 11, 2012 5:50 pm
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 62258
- Sat Jan 08, 2011 4:54 am
- Forum: Testing and Simulation
- Topic: Tradestation and Rina
- Replies: 3
- Views: 3873
I have a feeling that trading will always be work and that the markets will never just roll over and let one make money. As an aside, I noticed that Tradestation bought out Rina in August. Portfolio backtesting for the masses is coming soon. Aside #2. I always over-estimated the number of traders u...
- Thu Jan 06, 2011 4:24 pm
- Forum: Testing and Simulation
- Topic: Tradestation and Rina
- Replies: 3
- Views: 3873
Tradestation and Rina
[MOD: Split from post http://www.tradingblox.com/forum/viewtopic.php?t=7945] I have a feeling that trading will always be work and that the markets will never just roll over and let one make money. As an aside, I noticed that Tradestation bought out Rina in August. Portfolio backtesting for the mass...
- Thu Jan 06, 2011 3:37 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49438
- Wed Jan 05, 2011 9:51 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49438
Just a quick thought... Perhaps the fat tail gains are followed by fat tail pullbacks. Meaning that many trends end in dramatic fashion (the pullbacks from the peak are large). Sometimes those pullbacks come after a monster move, sometimes at the start of a trend. Sounds like some testing is in order.
- Wed Jan 05, 2011 9:30 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49438
For me, the conflict is that getting out of 99% of the position at 1R (leaving 1% in so the system doesnt jump back in the trade) is better than letting it ride. Again, this goes against all the theory of why LTTF works: returns arent normally distributed - you need to capture the 20+R fat tails, m...
- Fri Feb 12, 2010 5:46 am
- Forum: Testing and Simulation
- Topic: Any profitable users of TB?
- Replies: 18
- Views: 12945
When I bought my first car, I was looking for something that could get me around without spending money I didn't have. It was functional, not the Ferrari or Aston. Mechanical trading takes a great deal of research, which means time. If you want something that works right NOW without breaking the ban...
- Fri Dec 04, 2009 1:52 pm
- Forum: Futures Markets
- Topic: Got gold?
- Replies: 11
- Views: 9969
- Fri Dec 04, 2009 5:07 am
- Forum: Futures Markets
- Topic: Got gold?
- Replies: 11
- Views: 9969
Got gold?
Just wondering who's NOT in gold right now.
This is a trend following board (mostly). Any reason not to hold?
D
This is a trend following board (mostly). Any reason not to hold?
D
- Tue Nov 24, 2009 4:08 am
- Forum: Stocks
- Topic: Where can we find the major Index components accross time
- Replies: 2
- Views: 7051
- Fri Nov 06, 2009 8:11 pm
- Forum: Testing Software
- Topic: George Pruitt really needs to get a copy of Trading Blox!
- Replies: 4
- Views: 9259
This makes no sense to me regarding speed. TS is very fast. I don't believe for a second such a simple backtest would take that long. TS lets you backtest using genetic algos. The only problem with TS is no portfolio backtesting...which really sucks. There's a lot of free downloadable stuff to make ...
- Thu Oct 29, 2009 1:54 pm
- Forum: Testing and Simulation
- Topic: Short S&P system?
- Replies: 9
- Views: 7632
- Fri Oct 23, 2009 3:59 am
- Forum: Testing and Simulation
- Topic: Skip trade if last was winner
- Replies: 9
- Views: 7985
I've tested the idea on at least five different systems. It hasn't worked for me. I find it akin to looking at the past several outcomes on the roulette wheel. If there's an edge in your system, why wouldn't you take every trade? I suppose the idea is valid if you're trying to out-smart other system...
- Tue Sep 15, 2009 4:45 am
- Forum: Trend Indicators and Signals
- Topic: Pattern Recognition/Computer Artificial Intelligence
- Replies: 6
- Views: 9317
I've been going over this problem as well. My original idea just caught the pattern over one time frame with very basic pattern matching definitions. Sort of a zig zag indicator where the computer looks for peaks and valleys on the charts...makes for simple recognition: p1 < p2, p1 - v1 > (p2 - p3) ...
- Tue Jul 21, 2009 3:54 am
- Forum: Testing and Simulation
- Topic: backtesting strategy
- Replies: 8
- Views: 8141
Re: exits v larger stops
Sluggo, Thanks for invaluable piece. What could this look like on an equity curve chart? If the atrs were low and the asset was trading sideways with small declines, a trendster/tt would be stopped out, based on for ex., your current live system's rules. What if one remained in the trade with a lar...
- Wed Jul 15, 2009 4:54 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52910
When it comes to equities, I have proven to myself that what I'm trading against is large funds < $1 billion. I believe there's a considerable edge there because most managers learned the same BS at the same school with a different name. In other words, they all react to the same data at the same ti...
- Wed Jun 17, 2009 2:39 pm
- Forum: Testing and Simulation
- Topic: Any software to test multi-system portfolio performance?
- Replies: 7
- Views: 6277