Search found 13 matches

by SL
Sun Feb 13, 2005 8:03 am
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 6092

Thanks Verec you have a relevant point. Using EOD data we cannot know which trade would have occured first. We take the first trade, but we do not know what the first trade was. The problem is not the quality of the EOD data but that it lacks the neccessary information to determine which trade would...
by SL
Sun Feb 13, 2005 12:06 am
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 6092

Thankyou to all that have replied to this post. Here's some more comments and thoughts on this... I think there is a subtle but important difference between what I am refering to and what Sluggo is refering to. One is the issue of skipped or missed trades, the other is a decision process that lay ou...
by SL
Thu Feb 10, 2005 6:34 am
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 6092

Trade sequencing

This is a subject we may have looked at before or at least danced around in other posts. None-the-less it maybe useful to gauge opinon on this. Lets say I have a system. It trades using EOD data. Today the system presents 5 new trades. All these trades are inside the defined percentage of risk. That...
by SL
Mon Dec 20, 2004 6:15 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 82912

I think everyone else has had a hack at this topic so perhaps I should through my 2 cents in as well. I am not speaking as a CTA or about CTA's necessarily just about system performance which is where we started with this I think (way back someplace). From my observations obtaining a MAR ratio above...
by SL
Mon Aug 23, 2004 9:36 pm
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 9553

Cost of Production

Damian, All valid points. The backadjusting levels already occured to me. I use CSI backadjusted data with forward adjustments, raised etc.etc. I have no doubt that trying to make a rule for each market would be an exercise and a half and beyond what my platform might accept. Either way it may pay a...
by SL
Sun Aug 22, 2004 10:38 pm
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 9553

Cost of Production

The best LTTF systems it is often said are ones that trade the same rules for long and short markets and the same rules for each market and keep the rules for entry and exits to a minimum say 5 at most. My testing agrees with this logic. The overall conclusion is, simple is good. However there is on...
by SL
Sun Jun 20, 2004 9:06 pm
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 8592

Martingale

Kevin, I would ask Mr. HarryTrader just how martingale and anti-martingale are the same mathematically. Don't bother. That guy 'Harrytrader' is just taunting other readers into a frivolous academic argument with another Quant’ or mathematician to show how smart he is. Harrytrader seems to be refer...
by SL
Wed Jun 02, 2004 10:02 pm
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 40547

Ryan Jones' Money Management.

FYI, See, already spotted a couple of mistakes so I will get in first. Just testing! :) '******resources page*********** col1= ATR[1] Manager[1] = EMA[col1,10] * pointvalue '*****Trade entry page****** memory[1] = (50000 * .03) / manager [1] * 3 ' 3* times volitility if equity > 100000 then memory[1...
by SL
Wed Jun 02, 2004 9:28 pm
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 40547

Ryan Jones' Money Management.

Mike & Co, I got side tracked a couple of weekends ago working on something and was playing around with the money management code on my system wasting time as you do. It sounds similar to what is described here in this thread so I will add my bit. What I did was start out with an account of 50K, at ...
by SL
Mon May 31, 2004 4:59 pm
Forum: Testing and Simulation
Topic: Variability Due to Differing Rolling Algorithms
Replies: 8
Views: 6346

Variability Due to Differing Rolling Algorithms

Chris, The one thing here that wasn't mentioned in your reply was the trading time frame. It may well be that everybody is relating the same topic from different time perspectives or individual biases. If you are trend following and trying to catch a breakout on the same day does it really matter if...
by SL
Sun May 30, 2004 11:58 pm
Forum: Trend Indicators and Signals
Topic: The logic of exits
Replies: 8
Views: 7457

The logic of exits

Richard, This is a huge subject, one of which I have plenty of time for. I get the impression from my own testing that exits cannot be looked at in isolation with the rest of the system. Exits in many respect from testing always seem to fit in the 'damned if you do and damned if you don't' category....
by SL
Tue Feb 17, 2004 2:33 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 21697

Forex data

Wojo, Have you tried CRB (Commodity Research Bureau) for FOREX data. I use it for system testing. It covers most international markets including cash and contract markets and futures. Looking at my most recent bill it is 20USD per month. I can't vouch for the reliability as it uses multiple sources ...
by SL
Sun Feb 15, 2004 11:37 pm
Forum: Money Management
Topic: How much Capital to start
Replies: 25
Views: 32562

CFD's

Guys, This is an area I have been looking at recently. The market has to be made for CFD's that is not very liquid and apparently I have heard that some in Australia are not to impressed with the way some of these outfits operate. I don't want to draw any parallels to 'bucket shops' but there it is....