Search found 21 matches

by HWG
Mon Jul 27, 2015 3:40 pm
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5344

Re: US Stock Rotation System

Anthony, I wonder if I could trouble you to run a stock test for me, I dont think it would be much work. I do not have the necessary stock data. You may have already done this anyways. These are the rules: Portfolio = all tradeable stocks & ETFs Buy the top 100 performing instruments with a 3-month...
by HWG
Fri Jun 05, 2015 11:12 am
Forum: Testing and Simulation
Topic: Exit All Units on Close
Replies: 4
Views: 2196

Re: Exit All Units on Close

I think that makes sense to me but there is no way I can code that up. I don't have much experience with the looping function. Any chance you'd care to share? Understand if you don't want to. Another issue is that some of my worst trades on the backtest are ones that are entered immediately when the...
by HWG
Wed Jun 03, 2015 4:57 pm
Forum: Testing and Simulation
Topic: Exit All Units on Close
Replies: 4
Views: 2196

Exit All Units on Close

I'm trying code up a really basic system and the criteria for entering/exiting a trade is based on if the current day's close is above below a certain Moving Average. I wanted to set it up so that if the close is clearly above the Moving Average then it would enter/exit on that day's closing price. ...
by HWG
Tue Jun 02, 2015 3:04 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18847

Re: Trend Following: Profitable Reality or an Illusion doomed to

Funny that. I was just reading this post and checking the date of all the replies and wondered how everyone felt now. I "discovered" trend following around 2009 and have been toying with it on a part-time basis ever since but struggled. I thought it was because of me but it's pretty clear it was jus...
by HWG
Mon Jun 01, 2015 9:40 pm
Forum: Trend Indicators and Signals
Topic: Signal Noise Ratio
Replies: 3
Views: 6089

Signal Noise Ratio

I'm attempting to code up a Signal Noise Ratio as seen in Trend Following with Managed Futures by Greyserman and Kaminski The formula is essentially: Abs((Price(t) - Price(n)) / Sum of Abs(Price(t-k) - Price (t-k-1) An example if N = 100 I'm looking at the $ price change from today vs 100 days ago d...
by HWG
Fri Jul 26, 2013 2:22 pm
Forum: Money Management
Topic: Breakeven Stops
Replies: 3
Views: 3596

Suppose we call your current trading strategy "A". Suppose your programmer coded up two variations: "B" which moves the stop up to breakeven after 3 days, and "C" which moves the stop up to breakeven after 3000 days, i.e., never. Suppose you used 1/3rd of your capital to trade "A", another 1/3rd of...
by HWG
Fri Jul 26, 2013 10:19 am
Forum: Money Management
Topic: Breakeven Stops
Replies: 3
Views: 3596

Breakeven Stops

I'm trading a system on stocks currently that has some interesting stop placement. It's essentially a breakout system that risks 2ATRs initially but the stop is moved up to breakeven after the first day with the reasoning that if the stock is truly breaking out it should be in profit on the first da...
by HWG
Sun Feb 03, 2013 11:29 pm
Forum: Trend Indicators and Signals
Topic: Metastock to Trading Blox Indicator
Replies: 0
Views: 9594

Metastock to Trading Blox Indicator

Hey guys, need a bit of help translating a metastock code into Tblox. It's nothing terribly difficult but I would appreciate any help. PM me for details. Thanks.
by HWG
Wed Jun 27, 2012 10:48 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

Consider using a position count limiter to limit the number of positions, which will limit the max account loading when using market orders, and something less with Stop and Limit execution orders. With fixed rate sizing, and with a max account loading rate goal you won't want to exceed, you can ea...
by HWG
Sat Jun 23, 2012 11:10 am
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

LeviF wrote:These wont work if you dont calculate stops. You will need to get a bit more creative.
That's what I figured. Thanks!
by HWG
Sat Jun 23, 2012 11:07 am
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

A quick search on the Trader's Roundtable found this image, in the "Blox Marketplace" section. (I added the Red annotations myself, for this reply. They weren't in the original). http://i.imgur.com/j3ZP4.png Thanks Sluggo, I actually have toyed around with that block before. I actually just ran a t...
by HWG
Fri Jun 22, 2012 2:19 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

What testing platform are you using that doesnt have a maximum allowed risk as a percent of equity? What isnt commercially viable about winning 3.64:1? I'm using Trading Blox but must be missing something on max allowed risk as a % of equity. Ha, yeah the win/loss ratio is good in that terms but he...
by HWG
Fri Jun 22, 2012 2:05 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

Do you really have 132% risk when fully loaded? I assume you are risking 2% based on volatility, what is your avg losing trade in %? True, it's volatility weighted but if so and I'm risking 2% on each trade and say I'm in 66 positions that's .02 x 66 = 132% of equity or am I missing something. The ...
by HWG
Fri Jun 22, 2012 1:04 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7828

Novice Question

I was lucky enough to find a mentor who has worked at some pretty well known places in the world of systematic futures trading. He was going over some of my test results and giving me feedback. One of the things he was concerned with is that I'm using a fixed fractional position sizer and my risk pe...
by HWG
Thu Mar 15, 2012 11:32 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

This is what I'm using for risk: estimated_risk = 3.0 * MAX(myATR, (5.0 * instrument.minimumTick)) ncars = riskPerTrade * system.totalEquity / (estimated_risk * instrument.BigPointValue) order.setQuantity(ncars) No doubt you can come up with many different possibilities to "create" an initial exit ...
by HWG
Tue Mar 13, 2012 10:05 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

I assume you are not using (or properly using) stops. You cant calculate R-multiples, expectancy, avg risk, etc without stops. Correct, no stops. System exits when the indicator changes a certain way. So if that's the case then it can't really calculate the R-multiples as far as profit contribution...
by HWG
Mon Mar 12, 2012 4:51 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. With an ...
by HWG
Mon Mar 12, 2012 3:49 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

I have and indicator that when it reaches a threshold it goes long and then exits when it reverses to another level. Double checked and yes it is entering and exiting how I'm instructing. So then I am confused about why you are confused. :-) If it's doing what you want by following the signals of y...
by HWG
Mon Mar 12, 2012 1:50 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. Right? T...
by HWG
Mon Mar 12, 2012 1:48 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6121

Well, how are you instructing the system to exit trades? And when you look at the trades tab, is the system exiting based on how you expected it to? I have and indicator that when it reaches a threshold it goes long and then exits when it reverses to another level. Double checked and yes it is ente...