Search found 57 matches

by ratio
Mon May 21, 2012 9:40 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 36181

Follow up information, I got a question about what happen

since I posted this:

In real life, with a smaller account ;). My real result are as last week: CAGR: +8.12% Drawdown: 29%


I ran the test, starting with 30,728,588 $


End balance: 37,117,344.17,
CAGR: 4.5
Largest DD: 12.8%

Here is the Chart
by ratio
Wed Jan 18, 2012 7:03 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 8256

Lots of historical intraday data for a cheap price

http://disktrading.is99.com/disktrading/
by ratio
Wed Nov 09, 2011 7:26 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 11377

Lots of papers.


http://QUANTPEDIA.com
by ratio
Tue Sep 06, 2011 8:39 pm
Forum: Testing and Simulation
Topic: Similar Systems / Different Luck in 2011
Replies: 15
Views: 5844

We do not use stop order either, exactly for the reason that Chris Mention. Most of the day you worksheet is blank, no work to do. Plus in our historical testing, it was demonstrated that in average we had no real advantage in using it. This is true as long as you use proper money and risk managemen...
by ratio
Wed Aug 17, 2011 7:43 am
Forum: Testing Software
Topic: Programming Q
Replies: 3
Views: 2474

In programming language like C++ double == sign mean a comparaison not an assignment This is why Quantity == 0 return false Quantity = 0 is an assignment, ie I want Quantity to = to 0 This is something that The VB version in TB handle differently, in both case in TB it mean assignment. I had ask tha...
by ratio
Sat Aug 13, 2011 11:48 am
Forum: Testing Software
Topic: Anyone here familiar with MT4?
Replies: 10
Views: 10225

For those of you that trade with Interactive Brokers, there is the really good C# wrapper for IB API at http://www.dinosaurtech.com/utilities/ It can help you make an automated trade entry program Also, for some system you can also look at Tradebullet http://www.tradebullet.com/ This one can work wi...
by ratio
Sun Jul 03, 2011 4:35 pm
Forum: Testing and Simulation
Topic: solution
Replies: 2
Views: 1723

This could help if you want to collect with IB

http://cotcollector.com/Default.aspx
by ratio
Tue Jun 21, 2011 9:17 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

7000 Stock will not need more than 8 GIG, wich is pretty standard these day So Go for the maximum CPU Speed, Intel Core-I7-965 to 990 are probably still in the top these day I use a Core-I7 975 on my desktop I would also suggest to get a good SSD Drive to store your data. This will speed up a lot th...
by ratio
Fri Jun 17, 2011 1:37 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

The Directory Structure required Now each virtual machine does need to have it's own installation of TB. Rather than doing that I do one install of TB on the Host server. I then replicate the directory 30 times (one for each VM) Each VM will then update the specifics Directory as required. This is d...
by ratio
Fri Jun 17, 2011 1:31 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

The RatioRunTBQueue.vbs file is actually executed upon the virtual machine lauch and is connecting to the Microsoft Message Queue. It read the next entry, wich is the name of a subset VTS file. It then lauch a batch file that run TB from the command line with the VTS file as a parameters Option Expl...
by ratio
Wed Jun 15, 2011 2:36 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

Creating the Virtual Machine Template is an easy step, what you need is an iso file of windows 2008 or the CD in your server. You simply use Hyper-V manager, Select New Virtual Machine, give it a Name, here we call it TBMASTER. Assign the RAM 8 GIG, and the Virtual Network. Once this is done the VM ...
by ratio
Wed Jun 15, 2011 1:39 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

In order to submit the processing jobs to our multiple virtual machine, we had to design a way to split the Simulation Suite into a number of subset files. If we have 30 virtual machine, and we have 6000 test to do, we want to create 30 VTS files each one with a subset of the test to do. In order to...
by ratio
Wed Jun 15, 2011 10:12 am
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

Drm,

well we already do them on the NASDAQ, 20,000+ listed and delisted stocks. We just want to speed up things. And I think that sharing the experience can give some helpfull information.
by ratio
Wed Jun 15, 2011 10:09 am
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

Installing Hyper V is as sample as adding a Server Roles in Windows 2008.
by ratio
Tue Jun 14, 2011 10:11 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

The machine came in a couple of days ago. I had to decide how to partition the Disk. The machine have 6 - 600 Gig disk. I read a bit on disk configuration and decided to go with a RAID 10 Configuration. This configuration according to documentation should give us the fastest disk read speed. I would...
by ratio
Wed Jun 08, 2011 9:21 pm
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 10228

On building a Platform for Very large test

I have decide to build a platform that could run a very large number of test in the minimum length of time. As most of our development is on the Stock Market, every time we want to design a new system we have to load thousands of instruments: 3952 for the TSX Market, 8433 on the NYSE. We usually tes...
by ratio
Fri Jun 03, 2011 2:50 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 14323

Great site for stock info

http://www.finviz.com


Found that recently, very good web site for US Stock info.


and it's free. I did subscribe to the paying version, but you dont get much more.
by ratio
Wed Mar 02, 2011 8:17 am
Forum: Futures Markets
Topic: CSI Data - its a moving target and then some
Replies: 5
Views: 2854

I believe it depend at what time you download.

We wait for the 8pm release before downloading exactly because we had that problem, at the 8pm it seem that everything is ready.

Denis
by ratio
Thu Nov 11, 2010 7:46 pm
Forum: Market Psychology
Topic: Email that I received today
Replies: 10
Views: 9054

Email that I received today

Markets Flashing WARNING SIGNS! Be Careful! LinkedIn Date: 11/11/2010 Subject: Markets Flashing WARNING SIGNS! Be Careful! Hello everyone, I've never done this before with LinkedIn but I wanted to let my friends know. I haven't kept touch with many of you but that's because I've been working on some...
by ratio
Wed Jun 23, 2010 1:02 pm
Forum: Testing and Simulation
Topic: CSI Data daily change are breaking the system
Replies: 3
Views: 2112

Yes, but how are we suppose to manage that?

The change that they do 5 year back in time, may completely change the actual position in my portfolio.

Maybe we will need to start maintaining our own set of files, and add just the last day addition...

How do you do it?