Search found 57 matches

by danZman
Mon Oct 06, 2014 10:55 pm
Forum: Data Providers and other non testing software
Topic: Global Financial Data
Replies: 2
Views: 6256

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...
by danZman
Tue Dec 04, 2012 2:48 am
Forum: Market Psychology
Topic: How do market response? when people get stress.
Replies: 14
Views: 47675

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...
by danZman
Sat Oct 06, 2012 9:47 pm
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 7382

by danZman
Wed Jul 11, 2012 5:50 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 56498

[quote="Michael Wolff"] Oh, yes ... in its Herculean efforts to maintain its overall growth, Facebook will force the rest of the ad-driven Web to lower its prices, too. The low-level panic the owners of every mass-traffic website feel about the ever-downward movement of their CPM is turnin...
by danZman
Sat Jan 08, 2011 4:54 am
Forum: Testing and Simulation
Topic: Tradestation and Rina
Replies: 3
Views: 3764

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...
by danZman
Thu Jan 06, 2011 4:24 pm
Forum: Testing and Simulation
Topic: Tradestation and Rina
Replies: 3
Views: 3764

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...
by danZman
Thu Jan 06, 2011 3:37 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 47204

Chris, Remindes me of Sluggo's post awhile back where he asks if the "Robusti family" of traders should look at all data, or a subset of data. link Clearly (ok, not clearly, but the data doesn't lie) what they've shown is that if you use all the data, taking profits with a multi-instrument...
by danZman
Wed Jan 05, 2011 9:51 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 47204

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.
by danZman
Wed Jan 05, 2011 9:30 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 47204

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...
by danZman
Fri Feb 12, 2010 5:46 am
Forum: Testing and Simulation
Topic: Any profitable users of TB?
Replies: 18
Views: 12260

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...
by danZman
Fri Dec 04, 2009 1:52 pm
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 9557

I could only find one mechanical model that is short gold...it uses the COT data and a time delay.
by danZman
Fri Dec 04, 2009 5:07 am
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 9557

Got gold?

Just wondering who's NOT in gold right now.

This is a trend following board (mostly). Any reason not to hold?

D
by danZman
Tue Nov 24, 2009 4:08 am
Forum: Stocks
Topic: Where can we find the major Index components accross time
Replies: 2
Views: 5887

Lookup blackstar under 'search'

Survivorship bias is huge in stocks. And of course seeing how they act prior and after delisting from a major index, as I'm sure you know. I'm glad there are so many edges to exploit.

D
by danZman
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: 8068

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 ...
by danZman
Thu Oct 29, 2009 1:54 pm
Forum: Testing and Simulation
Topic: Short S&P system?
Replies: 9
Views: 7030

I've found that a top down approach works well with the S&P 500.

First, determine the intermdiate-term trend. No small feat there.

Then use a counter-trend strategy to sell short on rallies. That's
the easy part. Getting out of your system's way and not screwing
up...a lot harder.

D
by danZman
Fri Oct 23, 2009 3:59 am
Forum: Testing and Simulation
Topic: Skip trade if last was winner
Replies: 9
Views: 7740

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...
by danZman
Tue Sep 15, 2009 4:45 am
Forum: Trend Indicators and Signals
Topic: Pattern Recognition/Computer Artificial Intelligence
Replies: 6
Views: 9156

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) ...
by danZman
Tue Jul 21, 2009 3:54 am
Forum: Testing and Simulation
Topic: backtesting strategy
Replies: 8
Views: 7874

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...
by danZman
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: 50073

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...
by danZman
Wed Jun 17, 2009 2:39 pm
Forum: Testing and Simulation
Topic: Any software to test multi-system portfolio performance?
Replies: 7
Views: 6144

Trading Blox does this quite well. If you just need really basic software for Tradestation, MSA from Adaptrade works OK.

D