Search found 1002 matches

by sluggo
Fri Oct 14, 2005 11:25 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 25104

A trading buddy of mine opened a futures account at UBS. After all the paperwork was completed including the USA Patriot Act folderol, UBS sent him an "Indemnification Agreement" to sign which said that if anything goes wrong, including if UBS makes an error and he has it on tape, nevertheless he ag...
by sluggo
Sun Oct 09, 2005 9:39 am
Forum: Testing and Simulation
Topic: Simulation Start
Replies: 2
Views: 3081

http://www.tradingblox.com/forum/viewtopic.php?p=14254&highlight=cross%2A#14254 Here is an easy way to investigate these phenomena: Copy the Dual MA blox to a new name like "Dangerous Experiment" so you can edit them without harming the original. Add another "AND" phrase to the code which will only ...
by sluggo
Mon Sep 26, 2005 9:11 am
Forum: Testing and Simulation
Topic: How to understand the conflit between performance and monte
Replies: 7
Views: 5462

Your software has a bug: it reports drawdowns bigger than 100%, which isn't realistic. Some traders and some Mechanica customers, like to focus on "CAGR" as a measure of profit, and "Max Drawdown" as a measure of risk. But not all people prefer these choices, which is why there are a vast profusion ...
by sluggo
Fri Sep 23, 2005 1:43 pm
Forum: Money Management
Topic: Eckhardt is better than Richard Dennis in money management ?
Replies: 7
Views: 9073

A nice introduction to bootstrap methods can be had for US $16.00 plus shipping http://www.amazon.com/exec/obidos/tg/detail/-/080395381X/ Beware: this is a math book. If you hate math, don't bother with the above link. While you're browsing at amazon you might also enjoy looking at the other product...
by sluggo
Thu Aug 18, 2005 4:27 pm
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar data
Replies: 11
Views: 10529

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 contracts that didn't trade that day. I would like to test rolling the day before 1st notice. I agree with both of these sentiments. In my opinion the...
by sluggo
Wed Aug 17, 2005 8:42 am
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar data
Replies: 11
Views: 10529

I trade "ED2" (CME Eurodollars, day session only) in a real account with real money, using a mechanical system that reads CSI continuous contracts to generate its daily signals. I haven't been seeing any problems, screen capture image below. The ninth column of data is the contract month; it smoothl...
by sluggo
Mon Aug 15, 2005 6:43 pm
Forum: Money Management
Topic: Phantom of the pit $ mgmt Strategy - Going in 3-1-1-1
Replies: 3
Views: 5808

A quick Google search didn't find any products for sale that include this methodology, nor any test reports from people who put it into a computerized testing platform and simulated its performance on historical data. That's rather odd; the publication is almost eight years old. Yet no one is market...
by sluggo
Tue Jul 26, 2005 9:29 am
Forum: Testing and Simulation
Topic: Requirements before buying backtester software
Replies: 10
Views: 7356

I noticed an amusing parallel, hope you enjoy it too:
damian wrote:I have benefited by my involvement from the start more so than the developers have benefited.
Winston Churchill wrote:I have taken more out of alcohol than alcohol has taken out of me.

http://www.quotedb.com/quotes/2449
by sluggo
Tue Jul 19, 2005 12:58 pm
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 6078

For those who have purchased the "Ocean" trading indicators from Jim Sloman (originator of the phase-of-the-moon Delta Phenomenon, marketed by J. Welles Wilder): You may wish to analyse the Ocean indicators and ask yourself whether or not they have this very problem that damian, TM, and JC are discu...
by sluggo
Tue Jul 19, 2005 11:36 am
Forum: Testing and Simulation
Topic: Contract Liquidity when testing
Replies: 1
Views: 2186

I think this message might be helpful

viewtopic.php?p=12115&highlight=#12115
by sluggo
Thu Jul 14, 2005 11:21 am
Forum: Testing and Simulation
Topic: Requirements before buying backtester software
Replies: 10
Views: 7356

I recommend you ask the vendor for a copy of the bug list. If they say no, and give an excuse, be very skeptical. Why is it a secret what's wrong with the program? Happy to answer any other questions that may arise from this excellent topic. Tim, here is my question: May I have a copy of the bug li...
by sluggo
Fri Jul 08, 2005 12:49 pm
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 11663

Thanks Nick! I pulled it into Excel and made this plot of the M/E ratio of the above scaleout system.
by sluggo
Fri Jul 08, 2005 9:51 am
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 11663

It sounds like my reply to Andy has annoyed you; I'm sorry to hear that. The system and its parameters are fully disclosed in the prior message, you can test it yourself if you like. However if you want to look at a graph of Margin-to-Equity ratio, you'll have to use a different software package; th...
by sluggo
Wed Jul 06, 2005 5:55 pm
Forum: Testing and Simulation
Topic: Exit Strategy and Profitability
Replies: 13
Views: 11663

Perhaps a hybrid system that does both, might be preferable? Here's a test of a little system that takes a new position when the 75-day EMA crosses over the 200-day EMA. At a profit target of 8 ATR's, the system exits 25% of its position. This is what you've called "exiting on strength with no give-...
by sluggo
Tue Jul 05, 2005 8:30 am
Forum: Testing and Simulation
Topic: Are the results of backtesting reasonable?
Replies: 4
Views: 4382

In Trading Blox Builder you would write a Portfolio Manager script that ranked all stocks in the portfolio, each day, according to some "desirability" criterion of your own choosing. If your trading system follows trends then perhaps you want to rank stocks according to "how strongly have they alrea...
by sluggo
Tue Jun 28, 2005 9:01 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 10337

It may be enjoyable to look at Market Wizards (Copyright 1990) page 110: The secret is being as short term or long term as you can stand, depending on your trading style. It is the intermediate term that picks up the vast majority of trend followers. The best strategy is to avoid the middle like the...
by sluggo
Mon Jun 27, 2005 9:37 pm
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 10337

An acquaintance is running one of the Veritrader 1.6 systems at a robo-broker. Here is a simulation of his system + portfolio, which begins on 1/1/1997 using $200K of initial equity. As you say, calendar 2003 was unpleasant, but not unbearably so. The drawdown was overcome and it has been a steady u...
by sluggo
Mon Jun 06, 2005 11:19 am
Forum: Data Providers and other non testing software
Topic: Propane from CSI
Replies: 11
Views: 10252

These two messages from the Customer area, might be helpful:
viewtopic.php?p=9891&highlight=rol%2A#9891
viewtopic.php?p=8498&highlight=rol%2A#8498
by sluggo
Sat Jun 04, 2005 7:43 pm
Forum: Data Providers and other non testing software
Topic: Propane from CSI
Replies: 11
Views: 10252

Look at the table entry for 01 June. A rollover from the June contract to the December contract (see "Delivery" column), followed by three days of zero volume and semi-fictitious quotes (Open = High = Low = Close). The spread between December propane and June propane on rollover day (01 June) was hu...
by sluggo
Fri Jun 03, 2005 9:37 pm
Forum: Data Providers and other non testing software
Topic: Propane from CSI
Replies: 11
Views: 10252

The attached chart came from CSI, it doesn't show 160.