Search found 37 matches
- Wed Jun 11, 2014 9:52 am
- Forum: Stocks
- Topic: Selecting a Portfolio
- Replies: 7
- Views: 6636
- Tue Jun 10, 2014 8:47 pm
- Forum: Stocks
- Topic: Selecting a Portfolio
- Replies: 7
- Views: 6636
Selecting a Portfolio
I was looking to get some direction/thoughts on creating an equities portfolio geared toward a long term trend following strategy. I'm assuming there is some sort of rhyme and reason to selecting stocks to include in such a basket...or is there? Does it make most sense to just use the S&P 500 co...
- Wed Apr 02, 2014 12:21 pm
- Forum: Testing and Simulation
- Topic: Using Delisted Data
- Replies: 11
- Views: 9962
- Wed Apr 02, 2014 12:14 pm
- Forum: Testing and Simulation
- Topic: Using Delisted Data
- Replies: 11
- Views: 9962
- Tue Apr 01, 2014 9:05 pm
- Forum: Testing and Simulation
- Topic: Using Delisted Data
- Replies: 11
- Views: 9962
- Fri Feb 21, 2014 8:57 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
- Fri Feb 21, 2014 7:46 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
I was only aware of one calculation of ATR - the greater of the following (which gives you the TR and you have to further calc the ATR): Method 1: Current High less the current Low Method 2: Current High less the previous Close (absolute value) Method 3: Current Low less the previous Close (absolute...
- Thu Feb 20, 2014 10:49 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
The '500' figure simply converts the point value of Cotton to a dollar value since the value of 1 point in Cotton is $500 For stocks there are no conversions necessary since stocks are already priced in dollars. Example; Todays close in ABC corp. = $55.55 Todays 20 period ATR = $1.55 ATRMultiplier ...
- Tue Nov 12, 2013 5:42 pm
- Forum: Testing and Simulation
- Topic: Robust
- Replies: 6
- Views: 7018
- Tue Nov 12, 2013 2:13 pm
- Forum: Testing and Simulation
- Topic: Robust
- Replies: 6
- Views: 7018
- Tue Nov 12, 2013 1:51 pm
- Forum: Testing and Simulation
- Topic: Robust
- Replies: 6
- Views: 7018
- Tue Nov 12, 2013 8:18 am
- Forum: Testing and Simulation
- Topic: Slippage
- Replies: 2
- Views: 4097
- Mon Nov 11, 2013 10:01 pm
- Forum: Testing and Simulation
- Topic: Robust
- Replies: 6
- Views: 7018
Robust
When back test my strategy against the S&P 500 over a 10 year period it does extremely well. When I test the same strategy against the Russell 2000 it doesn't perform as well; same with NASDAQ. Can this be due to the fact that the S&P 500 is a diversified weighted portfolio and the the Russe...
- Mon Nov 11, 2013 7:10 pm
- Forum: Testing and Simulation
- Topic: Slippage
- Replies: 2
- Views: 4097
Slippage
Does anyone have a slippage % that they use in test that is pretty accurate/standard for trading equities that can/should be used for back testing?
- Mon Nov 11, 2013 2:51 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
- Mon Nov 11, 2013 10:56 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
Thanks Jake - makes sense. Hoping you can help with this question. I'm having a difficult time understanding why risking 1% vs. .1% per trade would result in CAGR not being the same everything else held constant. The statistics on both tests are almost identical with the exception of CAGR and ending...
- Sun Nov 10, 2013 11:14 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
- Tue Oct 29, 2013 9:33 pm
- Forum: Testing and Simulation
- Topic: Trading Next Days Open
- Replies: 14
- Views: 13290
- Sun Oct 27, 2013 9:58 pm
- Forum: Testing and Simulation
- Topic: Trading Next Days Open
- Replies: 14
- Views: 13290
- Tue Oct 22, 2013 6:30 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35552
Hey thanks for replying. I see where you are going with your thought but I was thinking something a little different. I'm already using a long term trend following strategy. Assuming today is day one of my brokerage account, if I click generate orders I'm presented with potential positions to enter....