Search found 1002 matches

by sluggo
Fri Dec 30, 2005 11:33 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 33612

Tim, Tim, Tim. I keep trying to gently suggest that you include non-US futures in your testing portfolio, but it appears I still haven't succeeded. I find that when I run the 3MA system for CY2005 using the same number of markets ( 28 ) as you ran, but employing an international portfolio of futures...
by sluggo
Thu Dec 29, 2005 9:10 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 33612

Recommendations for user pakua42 are found at this hyperlink
by sluggo
Thu Dec 29, 2005 9:09 am
Forum: Testing and Simulation
Topic: triple moving average system vs. 20 day moving average
Replies: 1
Views: 2587

Recommendations for user pakua42 are found at this hyperlink
by sluggo
Sat Dec 17, 2005 2:32 pm
Forum: Brokers
Topic: Robo Brokers
Replies: 2
Views: 4496

A little searching will yield results. To whet your appetite, here are two search hits

viewtopic.php?p=13498&highlight=robo#13498

http://www.tradingblox.com/tradingblox/brokerparter.htm
by sluggo
Fri Dec 16, 2005 12:26 pm
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 19406

This is a perfect win-win situation. CSI and you guys think CSI are getting the best end of the arrangement, while on the other hand I believe I have gotten a great deal. Let us rejoice. What I am paying 20% extra for, is a second full installation of CSI Unfair Advantage, on a second computer. Comp...
by sluggo
Fri Dec 16, 2005 8:48 am
Forum: Brokers
Topic: Commissions
Replies: 9
Views: 9289

I think Futures magazine classifies Goldman Sachs as an "Institutional Only" brokerage. They'll open an account for a CTA or a hedge fund or a commercial, but not for a regular Joe private trader. They don't serve the retail segment.
by sluggo
Fri Dec 16, 2005 8:41 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 19406

I have a nice thing to say about CSI: I like their pricing policy for adding a second computer to your subscription. When my primary trading computer went kablooey last year, I realized the need for full hardware and software redundancy. Called up CSI and asked them "How much to be able to download ...
by sluggo
Mon Dec 12, 2005 9:00 am
Forum: Testing and Simulation
Topic: Wanted: high frequency tradingsystem
Replies: 10
Views: 6178

This might be a misunderstanding that began with terminology. The expression "High Frequency Trading" means, to many people, fully automated "black box" algorithmic trading (usually in Forex and/or equities). A high bandwidth live datafeed, tick by tick, goes into a fast server computer running trad...
by sluggo
Sat Dec 03, 2005 10:50 pm
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 25916

It is actually a wonderfully instructive little exercise to put together a portfolio of ten or twelve "poorly trending" markets, then find a parameter set for (lets just say) the Dual Moving Average system, whose performance is "optimum" for the Crappy Portfolio. Now take this same system and parame...
by sluggo
Wed Nov 23, 2005 6:24 pm
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 25916

In this example, a profit target (run #2) increases CAGR, decreases drawdown, increases MAR ratio, and increases Sharpe ratio.
by sluggo
Tue Nov 22, 2005 12:45 pm
Forum: Futures Markets
Topic: How do I deal with quote differences
Replies: 8
Views: 6426

It appears you are using CSI commodity number 8, symbol "HG", which includes floor trading only. There is another possibility, namely CSI commodity number 809, symbol "HG2", which is Floor+Electronic Combined. I looked up HGH06 on this second possibility and found that CSI says O=191.70, H=192.45, L...
by sluggo
Tue Nov 22, 2005 9:28 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 25916

I doubt that Bill Dunn and John Henry and Jerry Parker and Liz Cheval and Robert Rotella have altered their approach towards profit targets. Since they represent 100X more market muscle than the sum total of all us retail scum on this message board system, I doubt that "new attitudes towards profit ...
by sluggo
Fri Nov 18, 2005 12:51 pm
Forum: Money Management
Topic: CAPITAL REQUIREMENT
Replies: 10
Views: 11565

Jake, one thing to consider is the "minimum ticket charge" at some stockbrokerages. Suppose Bartholomew wants to trade a $20,000 account, risking 2% per trade. If his system tells him to buy a $10 stock, the correct position size is 40 shares. If his commission rate is 1 cent per share, that's 40 ce...
by sluggo
Thu Nov 17, 2005 7:22 pm
Forum: Money Management
Topic: CAPITAL REQUIREMENT
Replies: 10
Views: 11565

I find that the Parameter Stepping feature of Trading Blox, helps a lot with these kinds of inquiries. Once I've got a set of trading rules (a "system") that I like, and a set of parameter values that I like, and a portfolio of tradeable instruments that I like, I run a bunch of Parameter Stepping t...
by sluggo
Sat Nov 12, 2005 11:00 am
Forum: Testing and Simulation
Topic: Contract Rollover Slippage
Replies: 1
Views: 2435

Maybe one way to get a different viewpoint on this, is to first estimate your slippage in dollars-per-contract, then convert back to ATR%. Or perhaps figure out what you want your slippage to be in dollars-per-contract, then with your current settings see what it actually is , and adjust the slippag...
by sluggo
Fri Nov 11, 2005 8:12 am
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 5063

Boy, that's embarrassing. Although I did manage to remove sixteen bonds and interest rate futures, Damian's absolutely right: I mistakenly left four of them behind. Correctly omitted: Canadian 10 Yr bond (CGB), Swiss Confederation Bond (CON), Euro Bund (EBL), Eurobobl (EBM), Eurodollars (ED), Libor ...
by sluggo
Thu Nov 10, 2005 10:17 pm
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 5063

I did a simple test in which I omitted ALL interest rate futures. You can see which ones were left, in the image file below. Even so, there appeared to be higher performance for Long Only, than for Short Only.
by sluggo
Thu Nov 10, 2005 4:28 pm
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 5063

This thread may be of interest: viewtopic.php?p=11185&highlight=symmetr%2A#11185
by sluggo
Wed Nov 09, 2005 1:54 am
Forum: Money Management
Topic: Ryan Jones on his Fixed Fractional strategy.......
Replies: 12
Views: 17212

Maybe it's possible to program the Fixed Ratio idea in computer software? If so then you could run the software yourself, try it out for yourself, and see it work (or fail to work!) with your own eyes. I suspect that a sufficiently motivated person could write this software (or pay a consultant to h...
by sluggo
Sat Nov 05, 2005 8:29 am
Forum: Testing and Simulation
Topic: Ralph Vince Test Metrics - Discussion
Replies: 2
Views: 2690

I don't really see very many "test metrics" in that chapter. What I think I see is The runs test for serial dependency of trade outcomes Pearson's coefficient of serial correlation of trade outcomes The Geometric Mean of trade outcomes The Optimal f for a set of trade outcomes Not covered in that ch...