Search found 32 matches
- Fri Jun 10, 2011 5:43 am
- Forum: Testing and Simulation
- Topic: tracking intraday sequences (time stamps) on daily bars
- Replies: 14
- Views: 10744
If the ONLY information you have is the daily Open, High, Low, Close then the Shortest Path Heuristic is one of your (very few) options: Choose the piecewise linear price trajectory of shortest total length. You can work out the arithmetic yourself; there are only two cases to consider. The conclus...
- Wed Mar 24, 2010 6:05 am
- Forum: Testing and Simulation
- Topic: Number of Parameters
- Replies: 16
- Views: 9443
- Wed Feb 10, 2010 7:54 am
- Forum: Trader Psychology
- Topic: The more I use Trading Blox the less I want to trade!
- Replies: 11
- Views: 17493
Re: The more I use Trading Blox the less I want to trade!
Hi, I am going to 'force' myself to place the trades this week as I have testing the strategies with decent historical data. It's just that I didn't expect to get this emotional reaction to the results generated by my using / testing strategies with 'trading blox'. I thought it would make me more c...
- Fri Jul 04, 2008 4:00 am
- Forum: Testing and Simulation
- Topic: Most liquid futures contracts
- Replies: 5
- Views: 9598
- Thu Jun 26, 2008 11:11 am
- Forum: Testing and Simulation
- Topic: Post-drawdown performance
- Replies: 7
- Views: 6523
We had already a thread about it:Eric Winchell wrote:
P.S. I thought MAR ratio was short for Calmar ratio.... are we sure Managed Account Reports invented it?
viewtopic.php?t=2100&highlight=mar
Greetings.
- Thu Jun 26, 2008 6:15 am
- Forum: Testing and Simulation
- Topic: Post-drawdown performance
- Replies: 7
- Views: 6523
Well, the regression to the mean principle seems at work here..... and there's some other material on this forum (posted by Dean Hoffman, if I remind well) stating that the most appropriate time to start/increase position in a system is after a deep DD. To complete the test, you could maybe try to e...
- Thu Jun 26, 2008 5:59 am
- Forum: Testing and Simulation
- Topic: Most liquid futures contracts
- Replies: 5
- Views: 9598
- Fri Jun 13, 2008 9:29 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45784
Hi everybody, speaking of continous data and rollovers, I wonder wether someone read Mike Chalek's piece on last Futures Truth magazine and have some comments, especially from the real trading .... (I must admit, I don't trade LTTF..... at least not yet...., so rollovers are not a real life problem ...
- Mon Jun 02, 2008 5:35 am
- Forum: Trend Indicators and Signals
- Topic: Pullbacks and LTTF methods
- Replies: 11
- Views: 13579
Im am interested to see why you feel that long term trendfollowers like Dunn and Henry are accurate proxies for the systems that Seykota is using now. Hi Sebastian, in this day, talking about trend following is a bit hard, beacuse there is always the risk to spark ideological wars..... sometime wit...
- Sat May 31, 2008 2:44 am
- Forum: Trend Indicators and Signals
- Topic: Pullbacks and LTTF methods
- Replies: 11
- Views: 13579
See what Ed Seykota has to say regarding buying on dips http://www.seykota.com/tribe/FAQ/2008_May/01/index.htm See the last entry. PS. I don't agree with him 100%. I personally buy both breakouts and pullbacks, the core concept is something I got out of reading Livermore's stuff - pivotal points! I...
- Fri May 16, 2008 7:46 am
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18369
I am a equity market trader in India. I started looking at many fourms because of i sold my last shirt for trading and failed and convinced my self that there is something I am missing for the past years regarding trading. Really? On the Indian market? That is, on the market of one of the fastest g...
- Tue May 13, 2008 2:08 am
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18369
dear solfest,nodoodahs,Roger Rines,Mark Johnson, there is lots of unwanted replies for the topic(i guess), pl. if you know any successful profit making trading techniques, pl. guide. I too find very enlightening Roger's reply. I still have on my PC some of the systems he programmed for Bruce Babcoc...
- Thu Apr 17, 2008 10:16 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30765
Anyway, I digress. The problem we/I have is that I know my broker margins today, and maybe recent years to the extent I've made a note of them, but I sure don't have them going back 30 years and TB can only handle one margin/intrument in the dictionary. So plugging in double margin numbers today ve...
- Fri Jul 13, 2007 10:43 am
- Forum: Testing and Simulation
- Topic: A systematic way to portfolio optimzation
- Replies: 6
- Views: 8135
Re: A systematic way to portfolio optimzation
Im totally sure that given e.g. 123 markets I could come up with a system using 85 markets and a resulting equity curve with R-Squared at 99.88%. Yes, you can be totally sure to get all results you like but just FOR THE PAST...... What is the solid motivaton for assuming R squared (as any other per...
- Sun Jun 03, 2007 4:32 am
- Forum: Testing and Simulation
- Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
- Replies: 6
- Views: 9202
I'm no expert but always thought SPC is just assuming a normal-like distribution of testing results around the mean. So, when the number of faulted output exceeds 3 sigmas, you can conclude that it’s not just bad luck, but there’s something wrong in the production process. This is an assumption ...
- Thu May 24, 2007 5:30 am
- Forum: Trend Indicators and Signals
- Topic: Jim Simons
- Replies: 15
- Views: 46938
- Sat Mar 31, 2007 5:39 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45784
System A - continuous contract # trades = 1 Avg winner = 100 Avg loser = 0 Length of Avg Trade = 260 System B - actual contract data # trades = 10 Avg winner = 25 Avg loser = -15 Length of Avg Trade = 26 What utter bull-hockey! Those numbers represent the exact same system. The only difference is t...
- Fri Mar 30, 2007 4:05 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45784
- Wed Mar 28, 2007 3:12 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45784
Angelo, I don't mean to appear argumentative, and I have no kind of dogmatic attachement to backadjusted price series. I don't think you are arriving from the moon. It could be that all of us trying to give assistance are missing the point entirely. What will help immensely is if you can go through...
- Wed Mar 28, 2007 9:00 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45784
My question is what sort of back adjusted data are you using? With my backadjusted data the gaps are removed. Are you just concatenating the data together without adjusting for spread? If you string together a series of actual prices for multiple months, then of course you will have large gaps betw...