Search found 15 matches

by wguan
Sun Apr 12, 2015 12:38 pm
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 4307

Re: Volume data in CSI - how stable are the estimates?

I can't seem to send private messages....can you send it to this email: 833636321abc@gmail.com

thanks
by wguan
Sun Apr 12, 2015 11:14 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 4307

Re: Volume data in CSI - how stable are the estimates?

Thank you so much. You have no idea how much this has streamlined the process. Another question I have, which may not seem to be that quite on topic for this thread is how you are backtesting your strategy? Did you build your own survivorship bias free database for stocks? Right now I am testing a m...
by wguan
Sat Apr 11, 2015 11:47 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 4307

Re: Volume data in CSI - how stable are the estimates?

Hello fab1usa1, I am trying to scan for CSI stock data for stocks that meet some liquidity and price criteria. How do you approach this? Do you use the market scanner? Would be really helpful if you could list some of the steps you took to come up with stocks using CSI UA. Right now I am essentially...
by wguan
Mon Sep 03, 2012 1:46 pm
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 3228

you may be interested in the following graph from BlackStar. TF is great for shock absorption in a portfolio, but by itself, I think its tough to get sharpe of >1 consistently.
by wguan
Fri Aug 31, 2012 1:06 am
Forum: Testing and Simulation
Topic: Multi-Model
Replies: 4
Views: 2850

FWIW, I thought i'd post a superficial analysis to the idea of voting... I've taken 3 correlated strategies (mean reverting in nature) (signal correlation attached n=60), and tested the performance of equal weighing each strategy verses voting. The voting procedure was to take trades if 2 or 3 out o...
by wguan
Tue Aug 28, 2012 12:55 pm
Forum: Testing and Simulation
Topic: Multi-Model
Replies: 4
Views: 2850

Thanks so much sluggo, just what I was looking for.
by wguan
Mon Aug 27, 2012 7:33 pm
Forum: Testing and Simulation
Topic: Multi-Model
Replies: 4
Views: 2850

Multi-Model

I was wondering what others think about parameter insensitive models. These are a set of trading systems that are exploiting the exact same type of anomaly but with varying parameter. For example, trading different versions of RSI2. The idea is to robustly extract profits from an anomaly while avoid...
by wguan
Thu Jul 26, 2012 5:19 pm
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6646

I used the underlying index of different ETFs as proxies. GSG = SP GSCI Index (commodities) VTI = MSCI US Index VNQ = FTSE NAREIT (housing) IEF = Barclays 5-7Yr Treasuries SHY = Barclays 1-3Yr Treasuries Index EFA = MSCI EAFE Index A good site to get the etf for different asset class is http://www.e...
by wguan
Wed Jul 25, 2012 3:39 pm
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6646

I've done a similar research study and have found benefit into the framework of combining traditional allocation schemes from academia paired with momentum. Below are the results for momentum and risk parity on housing, us equity, foreign equity, bonds and commodities. (all total return data). Test ...
by wguan
Fri Jun 22, 2012 1:55 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 8314

IMO, to keep a cap on risk, I'd suggest you target some sort of volatility. Scaling out when some threshold is breached would be a good idea.

Volatility can be position value wise or anything your creative mind can come up with. I'd browse through the forum as there are lots of ideas.

good luck
by wguan
Thu Jun 21, 2012 11:47 am
Forum: Testing and Simulation
Topic: Fuzzy logic trend filter
Replies: 7
Views: 2544

I find Kaufman's efficiency ratio a pretty good trend / mean treating indicator. One which is modified is called trend strength index by engineering returns blog. Like chris said, i don't think it's possible to accurately predict when it will trend and when it won't. But we sure can identify environ...
by wguan
Thu Jun 07, 2012 11:38 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 21770

I've read a passage from css analytics yesterday late at night about momentum lookback periods and it goes over the same idea of whether to take 12 months or shorter time frames. From what I've read, its a matter of trade off if considering only whether to trade the longer time frame systems or shor...
by wguan
Tue May 08, 2012 3:39 pm
Forum: Testing and Simulation
Topic: Long Vs Long/Short Futures
Replies: 2
Views: 1667

Rabidric, First and foremost, thank you so much for your detailed feedback, it really helps my learning! 1)you are identifying the possibility of a 5-10% improvement in a noisy annual sharpe statistic. In the context of the amount of data available, annual sharpe is a very low sample rate figure and...
by wguan
Mon May 07, 2012 1:01 pm
Forum: Testing and Simulation
Topic: Long Vs Long/Short Futures
Replies: 2
Views: 1667

Long Vs Long/Short Futures

It has been documented in academic white papers and other websites that bear market volatility is always greater than the bull market volatility. Is this one of the reasons why it has always been better to stick to a long only strategy for stocks? For a given interval of time and with the right envi...
by wguan
Tue Mar 27, 2012 6:53 pm
Forum: Testing and Simulation
Topic: High win %
Replies: 5
Views: 2415

Multiple Time Frame

I think MTF is the way to go for easily achieving high win rate. don't know how it would be implemented in tblow though.