Search found 10 matches

by Toni
Mon Oct 06, 2003 4:33 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 21694

Re: Backtesting and Accounting for Carry

Just history: http://www.forexhistory.com/History/HistoryArh97.htm http://www.forexhistory.com/History/HistoryArh98.htm http://www.forexhistory.com/History/HistoryArh99.htm http://www.gelium.net/History/HistoryArh00.htm http://www.forexhistory.com/History/HistoryArh01.htm http://www.gelium.net/Histo...
by Toni
Sat Sep 20, 2003 7:16 am
Forum: Trend Indicators and Signals
Topic: Butterworth Band Pass Filter
Replies: 10
Views: 11127

Re: Butterworth Band Pass Filter

http://www.dspguide.com/
The Scientist and Engineer's Guide to Digital Signal Processing by Steven W. Smith, Ph.D.
by Toni
Fri Sep 19, 2003 9:08 am
Forum: Trend Indicators and Signals
Topic: Butterworth Band Pass Filter
Replies: 10
Views: 11127

Re: Butterworth Band Pass Filter

{***************************************** Description: 3-pole Butterworth type Lowpass filter Provided By: DT (c) 2000 ****************************************} Input: Price(Numericseries), Period(Numericsimple); Vars: Coeff_a(0), Coeff_b(0), Coeff_c(0), Filter(0); if Period > 0 then begin Coeff_a ...
by Toni
Fri Sep 19, 2003 8:59 am
Forum: Trend Indicators and Signals
Topic: Trend Strength
Replies: 9
Views: 17988

I use simple thing:
ATRin%(n days) ;-) and
% of price move from N days ago.

Trend Strength=%Move/ATR%

;-)
by Toni
Thu Sep 18, 2003 11:25 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 82911

Thanks Toni - I am new here and somehow missed the giant forum about MC simulation. :oops: where you find about "giant forum about MC simulation" ? Give me link ;-) I placed link to program and article (in russian ;-) ) by mine friend (Moysha) - measure probability of profit,drawdown etc. Very good...
by Toni
Thu Sep 18, 2003 9:25 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 82911

Re: Surprise

I am a little surprised there was no discussion of Monte Carlo Simulations, as they are great for determining max drawdowns, especially if you are going to use 20 years of data to find out trade distributions as c.f. recommends. freeware MonteCarlo (BootStrap) program for Excel- BootStrapIt!. :roll:
by Toni
Thu Sep 18, 2003 9:19 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 82911

just mine 0,2$

So I am curious what each of you uses to determine what makes a good system. - Forum Mgmnt Hi, c.f. Every measure that you said, came from inside of system , with "MM-optimization" i can make any numbers :cry: So we need something that not depend from system, I now only one thing - ZigZag system or...
by Toni
Thu Sep 04, 2003 12:10 pm
Forum: Stocks
Topic: A mechanical trend following approach with stocks
Replies: 2
Views: 8115

Re: A mechanical trend following approach with stocks

I wonder if you could give me an example of a system/strategy that would give me a base to work off, similar to the turtle system you outline for futures. Heres one: NRTR - Nick Rypock Trailing Reverse System. Basic Functions for Omega Trade Station 2000i Article about (in russian) http://konkop.na...
by Toni
Wed Jun 18, 2003 8:32 am
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 14201

Re: Win/ loss ratio and system expectancy

Image

%Win*AverageWin=%Loss*AverageLoss

Just a picture :)
by Toni
Mon May 26, 2003 7:54 am
Forum: Testing and Simulation
Topic: R multiples & Expectency
Replies: 8
Views: 8097

Hey Damian, I have no idea what PGO is. Do you think we need a thread for people like us who want to share information and ideas about this? Some info :) The difference between the entry point and the stop loss point multiplied by the number of lots is the starting risk or 1 R2, independent of how ...