Search found 6 matches

by IRVLLC
Thu Nov 05, 2015 4:00 pm
Forum: Testing and Simulation
Topic: Solving for how many trades/day to achieve a certain % of profitable days
Replies: 5
Views: 3887

Re: Solving for how many trades/day to achieve a certain % of profitable days

LOL Try never as your expected return is negative. You are expecting to make 95 cents per dollar risk. Not to say you won't have positive runs on occasion but clearly it is a losing proposition. :lol:
by IRVLLC
Wed Dec 17, 2014 12:21 pm
Forum: Testing and Simulation
Topic: Bond Funds
Replies: 2
Views: 5235

Re: Bond Funds

While not entirely accurate I use total return series. Of course knowing my results are a bit optimistic. In the real world of trading this does not amount to a tremendous difference. I have been using this methodology for many years and find by assigning additional slippage to my fixed income serie...
by IRVLLC
Wed Sep 04, 2013 10:42 am
Forum: Testing and Simulation
Topic: Important - Know when to break the rules
Replies: 5
Views: 4879

I don't think you did anything wrong at all. I also "turned off " my intermediate trend system in 2012 because the data indicated clearly it was out of its reasonably expected risk/return profile. Sure saved me a lot of money and in the end that is the most important measure. Long-term trend system ...
by IRVLLC
Wed Sep 04, 2013 10:20 am
Forum: Testing and Simulation
Topic: Important - Know when to break the rules
Replies: 5
Views: 4879

That Sluggo needs a new hobby. It is perfectly acceptable to adjust, modify, or introduce new strategies within a systematic framework. Now if your disclosure documents say diversified systematic and then you decide to trade nothing but corn based on weather patterns then........
by IRVLLC
Wed Oct 29, 2008 2:54 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 10259

Very interesting AFJ. I have been trying to find a clean way to rebalance either monthly or quarterly a similar system using ETFs. If you have the desire I would like to hear how you accomplished this. I just found your post on Marketplace (Stocks BBO) so maybe that will get me going in the right di...
by IRVLLC
Wed Jun 04, 2008 11:42 pm
Forum: Testing and Simulation
Topic: Question for those who trade what they test...
Replies: 4
Views: 3673

I get about 105% of my stock systems and 88% on my future system. The difference being I take a bigger beating in slippage on the futures. I use 20% of ATR for slippage in my simulations and actual commish costs.