Search found 99 matches

by fab1usa1
Tue Dec 29, 2015 9:18 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5528

Re: In Sample vs Out of Sample Run

Mid-Line Factor describes the overall mood of the market. In my case I've chosen it to be a function of the Russell 2000. For individual stocks, the key indicator is the Mid-Line which is the SMA(100, RSI(2, instrument.close)). Now, multiply the stock's Mid-Line by the market's Mid-Line Factor. That...
by fab1usa1
Tue Dec 29, 2015 8:44 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5528

Re: In Sample vs Out of Sample Run

I can't think of a good reason to ever take yourself out of the market no matter how bearish your indicator. It's good to have some skin in the game but keep your exposure low. With regards to making a market timer work with trend following may I suggest looking into setting conservative profit targ...
by fab1usa1
Tue Dec 29, 2015 8:16 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5528

Re: In Sample vs Out of Sample Run

Average Trade Duration is 5.26 days but I've had some trades close the very next day. I'll have to run some stats on it to give you standard deviation. The market timer never completely takes me out of the game but it does affect two things when the indicator is bearish: (1) it limits the number of ...
by fab1usa1
Thu Dec 24, 2015 10:44 pm
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 5528

Re: In Sample vs Out of Sample Run

Hi rbuck, I agree that the market began to take a nosedive in August of this year. I am a swing trader, not a trend-follower, so I don't know how much of what I say can be applied to your systems. One of my system's inputs is the "mid-line factor", a number in the range of 0 to 1 where 0 says "be co...
by fab1usa1
Mon Jul 20, 2015 4:26 pm
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7149

Re: Trader Psychology

That was my analysis as well. Sorry to make you work for that reply but I value your input.
by fab1usa1
Sun Jul 19, 2015 5:24 pm
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7149

Re: Trader Psychology

Sluggo, recently you replied to oem with the suggestion to read Ralph Vince's Optimal-f. Please, if I may ask you how would you compare Optimal-f to the Market's Money?
by fab1usa1
Sun Jul 19, 2015 4:59 pm
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7149

Re: Trader Psychology

For fear of being the possible faineant, I want to thank you profusely for your contribution. I am still digesting it!
by fab1usa1
Fri Jul 17, 2015 5:58 pm
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7149

Re: Trader Psychology

With regards to the aforementioned item: 7. Trade your biggest position sizes during winning streaks and your smallest position sizes during losing streaks. Not too big and trade your smallest when in a losing streak. Another name for this position sizing method is "The Market's Money." A person des...
by fab1usa1
Wed Jun 03, 2015 5:42 pm
Forum: Testing and Simulation
Topic: Exit All Units on Close
Replies: 4
Views: 2011

Re: Exit All Units on Close

Hi HWG, I don't think you can accomplish that with end-of-day data. Unfortunately I don't have experience with Trading Blox and intraday data. Perhaps someone else can pick up this conversation with you. But may I suggest... Why not set your alarm for 3:55pm (if you are trading stocks in the eastern...
by fab1usa1
Mon May 25, 2015 9:26 am
Forum: Trader Psychology
Topic: What is lifestyle for professional trader?
Replies: 4
Views: 3333

Re: What is lifestyle for professional trader?

Well, I've got the operational part of trading down to one hour per day. My accounts are with Interactive Brokers. Thanks to Tim and his crew at Trading Blox it is a simple matter of sending orders directly to my Trader Workstation. This is a huge time savings since there can be up to 20 limit order...
by fab1usa1
Sun Apr 12, 2015 12:11 pm
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3859

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

Glad to be of assistance! I am a terrible designer of systems so I constantly evaluate other peoples' systems. The vendor of this particular system codes in EasyLanguage but honestly his documentation is so good that you can code in Blox Basic directly from it. Since I do not (yet) have delisted dat...
by fab1usa1
Sun Apr 12, 2015 7:55 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3859

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

Good Morning wguan, Every weekend my routine includes the following: 1. Backup hard drive. 2. Windows Update. 3. Defragment hard drive. 4. Run CSI Market Scanner. That last step prepares my swing trading system for next week's trading. It's purpose is to: 1. Update my CSI Stock Portfolio with symbol...
by fab1usa1
Tue Mar 24, 2015 3:52 pm
Forum: Trend Indicators and Signals
Topic: 20% upside?
Replies: 1
Views: 1228

20% upside?

I came across an article that described a trend-following system with well-defined setup rules except for one: the stock should have at least 20% upside. This is the one rule that the author does not elaborate on. I would like to ask that question to members of the forum. The best I can come up with...
by fab1usa1
Tue Mar 17, 2015 11:26 am
Forum: Testing and Simulation
Topic: Can one approximate TE DD from CE DD and MAR?
Replies: 3
Views: 2053

Re: Can one approximate TE DD from CE DD and MAR?

No need to reply, Sluggo. It's the alchemist in me just trying to turn lead into gold.
by fab1usa1
Tue Mar 17, 2015 9:49 am
Forum: Testing and Simulation
Topic: Can one approximate TE DD from CE DD and MAR?
Replies: 3
Views: 2053

Re: Can one approximate TE DD from CE DD and MAR?

Thank you, Sluggo. Recently I've taken a liking to closed equity performance data. I am evaluating a third-party swing trading equity system. The author publishes only closed equity drawdown and returns over a 10-year period from a database of 20,000 listed and delisted stocks. One performance table...
by fab1usa1
Tue Mar 17, 2015 8:23 am
Forum: Testing and Simulation
Topic: Can one approximate TE DD from CE DD and MAR?
Replies: 3
Views: 2053

Can one approximate TE DD from CE DD and MAR?

Does anyone know of a formula to calculate Total Equity Drawdown from Closed Equity Drawdown and MAR ratio? Just a ballpark estimate.

My gut tells me that it might look something like this:

Code: Select all

Total Equity Drawdown = Closed Equity Drawdown * (1 + 1 / (MAR * MAR))
by fab1usa1
Sun Mar 08, 2015 10:22 am
Forum: Trend Indicators and Signals
Topic: Should trading system be stopped?
Replies: 6
Views: 3433

Re: Should trading system be stopped?

In the meantime, take USDCHF out of your portfolio until (a) enough bars have passed to pacify your indicators, or (b) you implement gap-less indicators. There are plenty of currency pairs out there to trade. No one should be forcing you to trade the Swiss Franc.
by fab1usa1
Sun Mar 08, 2015 8:53 am
Forum: Trend Indicators and Signals
Topic: Should trading system be stopped?
Replies: 6
Views: 3433

Re: Should trading system be stopped?

Instead of abandoning the system try looking into indicators that better handle extreme moves.
Gapless Indicator Set for TradeStation.jpg
Gapless Indicator Set for TradeStation.jpg (106.07 KiB) Viewed 3414 times
by fab1usa1
Sun Aug 24, 2014 8:45 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3859

I would like to expand upon what Mr. Garner said. I run a mean-reversion system on stocks that looks for opportunities in a universe of about 7,200 stocks that trade at $1 or more and that meet a minimum liquidity threshold (i.e. moving average of price * volume). The system enters positions with a ...
by fab1usa1
Fri Jul 04, 2014 4:50 pm
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6569

Works for me, thanks!