Search found 23 matches

by Tomaso
Fri Apr 19, 2019 4:06 am
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

Roger, It is better with split remainder set to FALSE although 1. I have the same suite, system, blox and scripts as Anthony as well as using unadjusted data and he has his setting on true in the virtual TB and he doesn't get the small transactions. Capture 3.JPG Capture 4.PNG 2. I still get not rou...
by Tomaso
Thu Apr 18, 2019 1:13 pm
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

Thanks
by Tomaso
Thu Apr 18, 2019 10:29 am
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

Anthony,
I am running your code on my TB and I get a lot of small exit trades every day, quantity less than 1 associated with rule "Split Remainder", has this happened to you ? I had not come across it before and don't know the reason.
by Tomaso
Thu Apr 18, 2019 8:25 am
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

I hope I remember correctly that if one uses the unadjusted close TB does all the math for you. It compares unadjusted with adjusted as you go along. If I have remembered incorrectly and used the wrong series perhaps Tim will be kind enough to correct me. Easy enough to rectify. Take a look at the ...
by Tomaso
Thu Apr 18, 2019 8:13 am
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

Thank you both Anthony and Roger. Regarding stocks I am not sure if the appropriate price to use it adjusted or unadjusted. I assume it makes sense to always adjust for stock splits otherwise results would be affected. Also if the system is a low turnover system the results would need to consider th...
by Tomaso
Tue Apr 16, 2019 6:31 am
Forum: Practical ETF
Topic: Dual Momentum
Replies: 11
Views: 733

Re: Dual Momentum

Anthony,
Why do you use unadjustedclose rather than close ?
by Tomaso
Thu Apr 04, 2019 6:03 am
Forum: Practical ETF
Topic: Periodic Rebalance Fixed Percentage
Replies: 3
Views: 363

Re: Periodic Rebalance Fixed Percentage

thanks
by Tomaso
Wed Apr 03, 2019 6:38 am
Forum: Practical ETF
Topic: Periodic Rebalance Fixed Percentage
Replies: 3
Views: 363

Re: Periodic Rebalance Fixed Percentage

Thank you for your generous work. I have been coding TAA strategies for a while and your code has given me some very useful ideas on how to improve what I have done and make the code more elegant. I am struggling with rebalancing on a suite level. If you were to combine some of the systems you have ...
by Tomaso
Wed Jul 01, 2015 4:38 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Re: Dual Momentum Gary Antonacci

Correction its 40 Years so 95% remaining degrees of freedom.
by Tomaso
Wed Jul 01, 2015 12:42 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Re: Dual Momentum Gary Antonacci

I don't disagree with you. The backtest gives good results and momentum anomaly is well known. What I am saying is that we have been in a market regime over the sample period where: 1. Bonds have always gone up, so everytime it would switch out of equities it would have had a high chance of still ma...
by Tomaso
Tue Jun 02, 2015 7:26 am
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Re: Dual Momentum Gary Antonacci

Thank you. I tested the simple model in the book with TB. It does give very few trades so I take AFJ point plus the test is in period where both equities and bonds have gone up so the long only aspect of his thesis worked well.
by Tomaso
Tue Mar 31, 2015 1:52 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Re: Dual Momentum Gary Antonacci

Thank you Tim and no offence taken AFJ, you have contributed plenty of good stuff to this forum so thank you too.
by Tomaso
Tue Mar 31, 2015 10:34 am
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Re: Dual Momentum Gary Antonacci

Thank you for your replies, I may have unwantingly touched a sore point here. It is not my intention to ask for someone to code for me. I was rather looking for some suggestions such as "use a portfolio manager blox with grouprank functions" or something of that order. I have been trying to code it ...
by Tomaso
Mon Mar 30, 2015 12:32 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 15
Views: 21595

Dual Momentum Gary Antonacci

Have any of you tested the Global Asset Allocation Strategies suggested by Meb Faber and Gary Antonacci ? AFJ Garner has posted negative views on them but I was wondering if any of you had tested them and had some TB code to share or suggestions on how to build it. Specifically the one suggested by ...
by Tomaso
Tue Dec 04, 2012 11:32 am
Forum: Testing and Simulation
Topic: CSI Futures roll Aligned with Data or Nex Day
Replies: 3
Views: 1836

By the way what do you think about the new representative prices option: Close New - Close Old Same Day, Roll Adjusted ?
by Tomaso
Tue Dec 04, 2012 11:23 am
Forum: Testing and Simulation
Topic: CSI Futures roll Aligned with Data or Nex Day
Replies: 3
Views: 1836

Yes I see your point for fixed rolls. If one wanted to go the OI Vol trigger I was wondering what usee are the settings other that the 2 day lagged one. Why are they even there if they cannot simulate real trading ? If they are there for a reason I'd be interested to know when do people use them if ...
by Tomaso
Mon Dec 03, 2012 12:46 pm
Forum: Testing and Simulation
Topic: CSI Futures roll Aligned with Data or Nex Day
Replies: 3
Views: 1836

CSI Futures roll Aligned with Data or Nex Day

Given the delay in getting Open Interest Data and the possible inaccuracy of Volumes until day +2. In which occasion would any of you roll CSI futures with the Aligned with data or Next day settings ?
Is seems the only option is rolling Lagged (2nd Day) ?
by Tomaso
Fri Oct 19, 2012 10:11 am
Forum: Testing and Simulation
Topic: Renko charts
Replies: 1
Views: 3011

Renko charts

I was shown Renko charts http://www.investopedia.com/terms/r/renkochart.asp by a trader who uses them as a counter trend entry into a trend. Ignoring the time element in a chart ( like point and figure) and focusing only on price direction instinctively makes sense as a tool to have in a trend follo...
by Tomaso
Mon Apr 30, 2012 2:03 pm
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 8457

Thank you Jez.
I read the blog but I am not sure I understand the difference between old close close and new close close by reading the explanation provided.
If someone smarter can translate it for simple minds that would be much appreciated.
by Tomaso
Mon Apr 30, 2012 6:45 am
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 8457

@LeapFrog

Could you kindly explain in a more extensive and as simpy as possible (maybe with some examples) how the new stitching procedure works vs the previous close close ?

Many Thanks