Search found 40 matches

by stancramer
Mon Feb 14, 2011 3:59 pm
Forum: Testing and Simulation
Topic: Don't know what to do when account < $40 million
Replies: 4
Views: 2561

Several people discuss their solutions to the problem here: viewtopic.php?t=5991
by stancramer
Thu Jul 10, 2008 12:06 am
Forum: Testing and Simulation
Topic: Measuring most active contract months
Replies: 7
Views: 6170

I was in your shoes once, cbrenner. My solution was to follow the advice embedded in the title of this thread: Measure (which is a verb) the most active contract months. It was good advice. I learned a huge number of things, just from the exercise of "thinking and doing". And then when I looked at m...
by stancramer
Fri Jul 13, 2007 6:40 am
Forum: Futures Markets
Topic: A good day to be trading with the trends
Replies: 0
Views: 3081

A good day to be trading with the trends

Yesterday, 12 July 2007, was a heck of a nice day for diversified trend followers. Among my loosely organized clan of futures buddies (we're not the Incline Village tribal sorts), yesterday's return ranged from +3.0% to +7.2%. Quite nice for one single day. If you could just put 252 of those togethe...
by stancramer
Wed Jul 04, 2007 8:00 pm
Forum: Money Management
Topic: Position Sizing & DMAC
Replies: 4
Views: 5662

by stancramer
Tue May 22, 2007 7:42 am
Forum: Testing and Simulation
Topic: Trading System Efficiency
Replies: 4
Views: 3541

Some people divide up the job into three individual tasks and apply a different sets of rules ("algorithms") to each task. Task1: For each stock, or forex pair, or commodity on the watch-list, calculate an Index of how well that stock is moving. In the recent past, in the present, and in the forecas...
by stancramer
Sun Dec 31, 2006 12:56 pm
Forum: Testing and Simulation
Topic: Who made money in 2006?
Replies: 10
Views: 8104

A number of Roundtable members seem to believe that "Portfolio Selection is King" and that what you trade is far more important than how you trade. Other members feel that this is an invitation to overfitting-the-past and inherently dangerous. The most stiff-necked and stoic among them adopt an unas...
by stancramer
Thu Oct 05, 2006 2:24 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30182

... if I wanted to put together a pair of systems with low correlation, green and blue might be an excellent choice. They can't possibly be more than 35% alike, long term, because blue is in only 35% of the same markets at the same time as green. (And sometimes blue might be long while green is sho...
by stancramer
Tue Oct 03, 2006 5:52 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30182

One must be careful to distinguish between "number of active positions today" versus "number of instruments in the portfolio". They are not always the same. For example, I put this little droplet of monitoring code into three different trading systems and ran them on the same large portfolio for 25 ...
by stancramer
Sat Sep 30, 2006 10:51 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30182

What is your criteria for entering a short? New N-day low, EMA, etc? I use the PGO system, with my own choices for parameter values. Also I experimented with little tweaks and twists here and there inside the system. For example, where the original PGO uses the "Close", I experimented with substitu...
by stancramer
Fri Sep 29, 2006 2:34 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30182

My slowpoke system didn't short Lumber until the downtrend was well established.
by stancramer
Fri Sep 22, 2006 9:17 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30182

I couldn't find a way to paste the HTML output of Blox into the BBCode required by this chat system. So it's just an image file, sorry.
by stancramer
Thu Aug 17, 2006 10:27 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33753

I decided that the Delightful parameter set was (40,12). Here are its results.
by stancramer
Thu Aug 17, 2006 10:25 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33753

For what it's worth, here is the procedure I would use if I were you: Choose a range pf parameter values for #days(fastEMA) and #days(slowEMA) Choose a stoploss Choose a portfolio Choose settings for slippage and commissions Run backtest simulations of the above Export the simulation results to Exce...
by stancramer
Thu Jul 27, 2006 5:06 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33753

It is my opinion that to make standout return:risk you must be prepared to have a rough ride, and take paths that others would rather steer clear of(e.g. in your optimising do not go out of your way to prioritize smoothness). For many people (institutions etc), the word "risk" is defined to be "sta...
by stancramer
Fri Jul 21, 2006 12:04 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33753

There are a few well-known, standard procedures for avoiding the Scary Monster that rabidric describes: Backtest over many many years of past history Test (and trade) a large portfolio having at least five markets from each of the eight commodity sectors Use an optimization criterion that prizes smo...
by stancramer
Mon Jun 05, 2006 10:40 pm
Forum: Brokers
Topic: Costly Robobroker Errors
Replies: 21
Views: 23062

I have tested for fixed dates quite a lot in the past. In my case I have been able to satisfy myself that in the longer term different roll dates or algorithms do not make too much difference to my system's profitability. So I will be happy to use fixed dates. Today is a specially good day to talk ...
by stancramer
Wed Mar 08, 2006 9:54 am
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 6772

Re: Difference Between Exponential and Simple Moving Average

I have also found that the more traditional exponential moving average, which uses a smoothing factor equal to 2/n, provides better results Oh come on. This is only a problem because people are too lazy to talk about exponential moving averages in terms of the smoothing constant (alpha). Instead, e...
by stancramer
Wed Aug 17, 2005 3:55 pm
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar data
Replies: 11
Views: 9548

If you're saying that large Open Interest means high liquidity, I don't agree. Volume is the number of contracts that traded on a certain day. Open Interest measures the number of contracts that didn't trade on a certain day. If volume=100 and open interest = one million, there were 999,900 contract...