Search found 9 matches
- Wed Sep 21, 2005 9:44 pm
- Forum: Testing and Simulation
- Topic: "Back-adjusted" data experts please....how could I
- Replies: 3
- Views: 3818
Yes CSI is just EOD. It may be possible to do the back adjusting in Excel - but this seems like a blunt instrument. Excel will puke at the sheer volume of data to start with. I would use some form of procedural language - C, Delphi, Matlab ... whatever. Doesn't really matter. It would be a trivial t...
- Tue Jun 14, 2005 11:16 pm
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
With that said, I'm really open to ideas on how it might be accomplished so it can be tested to see if it add to our knowledge and ability. I've noticed this option in several Monte Carlo tools. I presume it is a very similar problem to solve, except for dates and not trades. I've e-mailed you an e...
- Tue Jun 14, 2005 3:37 am
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
Roger, Great job on the software. I've been reading charts for 20 years and I cannot visually tell the difference between your sythetic data and the original time series. Several questions if you don't mind: 1. I wonder if you have given any thought to some method of retaining the short term serial ...
- Fri May 27, 2005 3:03 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45983
- Fri May 27, 2005 2:02 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45983
hi sluggo, Thanks for the heads up. I am working from his course notes dating back to 1997 - which may be problematic. I found them quite difficult to follow but my formula seemed to give the correct results for various worked examples he provided. Having said that, the introduction of initial equit...
- Thu May 26, 2005 11:34 pm
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45983
I borrowed a copy of the notes from Jones' course (circa late 90's). After working through his math and applying a little quadratic algebra ...... his fixed ratio approach can be expressed with the following formula. l = (1+sqrt(1+8*e/d))/2; where: e = equity d = delta l = number of lots After testi...
- Thu May 26, 2005 12:52 pm
- Forum: Money Management
- Topic: How do you handle cash drawings out of your modelling?
- Replies: 4
- Views: 6764
- Thu May 26, 2005 12:21 pm
- Forum: Money Management
- Topic: How do you handle cash drawings out of your modelling?
- Replies: 4
- Views: 6764
- Thu May 26, 2005 11:59 am
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 14988