Search found 1002 matches

by sluggo
Tue May 31, 2005 8:46 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 33612

SC, the All Liquid portfolio (filename All Liquid.set) was prepackaged with the beta software, not the full release Veritrader. Fortunately it draws upon the same market data that is shipped with regular non-beta software, so anyone can experiment with it if they like. The composition of the All Liq...
by sluggo
Fri May 27, 2005 12:39 pm
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 33612

If you're thinking about trading real money , you may wish to think about testing with real data . For example, if your experiments have been with the Veritrader-presupplied Forex data, you may wish to become a customer of a Forex data seller and purchase the Forex data that you'll actually be tradi...
by sluggo
Fri May 27, 2005 12:29 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 40292

I think your equation is incorrect. It has you increasing from one lot to two lots when the account equity is greater than delta. But that is clearly opposite to every F.R. example in Jones's book and articles. I think you have totally omitted a variable which I will call "B", the Beginning equity. ...
by sluggo
Sat May 21, 2005 7:46 am
Forum: Testing and Simulation
Topic: adjusted or not adjusted
Replies: 5
Views: 3910

There is a great deal more to test than just the difference between non adjusted and adjusted contracts. Endless hours of fun. Very well said! I agree completely. Searching around on the Roundtable unearthed the following message, in which somebody has already done the first half of an experiment (...
by sluggo
Fri May 20, 2005 9:46 am
Forum: Testing and Simulation
Topic: Free Testing of Basic System in Excel
Replies: 1
Views: 2671

A trendfollowing system called Pretty Good Oscillator (abbreviated PGO) was implemented in Excel and posted as an attachment on this Roundtable website. Maybe the Search page can find it. Who knows whether it will be profitable on your equities test? Perhaps it won't be. But at least it is free.
by sluggo
Sun May 15, 2005 6:13 pm
Forum: Trader Psychology
Topic: Overcoming bad habits acquired from day trading
Replies: 17
Views: 20271

by sluggo
Tue May 10, 2005 3:12 pm
Forum: Money Management
Topic: Article: The Hidden Cost of the Stoploss
Replies: 3
Views: 5882

Nope. I learned that expression during a four-year imprisonment in a torture chamber called "the University". The expression recurs with bone-numbing regularity in the miserable chatter among the swamp dwellers of academe: http://www.ddj.com/documents/s=1117/ddj0403o/ http://penguin.ewu.edu/~trolfe/...
by sluggo
Tue May 10, 2005 2:10 pm
Forum: Money Management
Topic: Article: The Hidden Cost of the Stoploss
Replies: 3
Views: 5882

The following sentence is incorrect:
If there is a 36% chance we are stopped out, we need to make bets 1 / (1 - 0.36) = 1.56x as large just to maintain the same average exposure.
The proof is left as an exercise for the reader. :P
by sluggo
Wed Apr 27, 2005 12:55 pm
Forum: Data Providers and other non testing software
Topic: German Bund data
Replies: 3
Views: 5303

That's because you're looking at the Chicago Board of Trade contract, CSI commodity number 930. hyperlink: CBOT to launch Bund Futures on April 23, 2004 The DTB/EUREX Bund contract, on the other hand, goes back much farther. It is CSI commodity number 552. On my CSI setup the first day of data is 23...
by sluggo
Sun Mar 27, 2005 10:08 am
Forum: Money Management
Topic: Portfolio-Level Simulation Tools
Replies: 2
Views: 4456

Suppose you have three systems (S1, S2, S3) that each trade three markets (Ma, Mb, Mc). Your approach creates twelve new optimizable parameters (p1 thru p12) that are the weights of the individual markets within the systems, and the weights of the systems themselves: System S1 trades (p1*Ma) and (p2...
by sluggo
Fri Mar 25, 2005 12:49 pm
Forum: Market Psychology
Topic: Are Stock Indices Different?
Replies: 12
Views: 22411

Here is a profitable long term trendfollowing system that trades stock indexes ONLY, using moving averages

viewtopic.php?p=13597&highlight=#13597

My guess is, the system performs pretty well on other futures markets too
by sluggo
Tue Mar 08, 2005 9:03 am
Forum: Trader Psychology
Topic: Are You Suited to Trend Following
Replies: 42
Views: 63365

Whereas if you had invested according to the "buy and hold" principle, purchasing in June 2003 and holding until today, If you bought the S&P 500 tracking stock ("SPY"), your gain would be +25.9% If you bought the Nasdaq 100 tracking stock ("QQQQ"), your gain would be +24.8% [/color]On the other han...
by sluggo
Thu Feb 10, 2005 8:43 am
Forum: Testing and Simulation
Topic: Trade sequencing
Replies: 8
Views: 5992

The situation is even more complicated than you describe. Your mechanical trading system might present those five new trades that you mention, using Stop orders (or Limit orders). For example the Original Turtle System would definitely present you the new trades using Stop orders. Your computer soft...
by sluggo
Mon Dec 13, 2004 8:50 am
Forum: Testing and Simulation
Topic: Cointegration vs correlation
Replies: 4
Views: 5556

Paul Wilmott didn't think "cointegration" was important enough to include in his book http://www.amazon.com/exec/obidos/tg/detail/-/0471498629/ Cointegration seems to be a binary indicator: a vector of time series are cointegrated, or they aren't. It doesn't sound all that useful to me but then I'm ...
by sluggo
Fri Nov 26, 2004 9:38 pm
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 8551

I take a look at different rollover "triggers" and inevitably they produce different backtest results. In some cases/markets the differences are small and it's easy to conclude that it doesn't matter what rollover trigger you choose, they're all pretty much the same. Other times the differences are ...
by sluggo
Mon Oct 11, 2004 8:46 am
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 15035

They were "invented" and popularized by John Sweeney, who writes a column for Technical Analysis of Stocks and Commodities magazine. Sweeney wrote a book about MAE/MFE, the same book that Chuck B. (post on Oct 9, 2003) thinks is so ridiculous. Amazon has it new for $34 and used for $26: http://www.a...
by sluggo
Tue Oct 05, 2004 9:39 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 21614

c.f.'s definition of "parameter sensitivity" perfectly coincides with the mathematical definition of partial derivatives as used in calculus. If you wish to compute the parameter sensitivities yourself, it'd be natural to perform ordinary garden variety numerical differentiation. Assuming the grid o...
by sluggo
Tue Oct 05, 2004 8:39 am
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 21614

For those who've studied calculus, "parameter sensitivity" = "partial derivative".
by sluggo
Mon Sep 27, 2004 7:55 pm
Forum: Testing Software
Topic: VT, TR, WLD, AmiBroker Which one for me?
Replies: 17
Views: 14681

System Writer Plus and Tradestation (both from Omega Research) actually compiled the user's "Easy Language" into machine code. All it took was an embedded Pascal compiler with the EL extensions and libraries. Fortunately, Pascal compilers were available for free, thanks to UCSD. Any of Omega's compe...
by sluggo
Wed Sep 22, 2004 10:22 pm
Forum: Testing and Simulation
Topic: System performance
Replies: 9
Views: 7643

Someone named "levi" has posted the same query to Van Tharp's board and has developed a fast friendship / greenhorn-to-expert-worshipful-relationship with Paul "PMK". A couple weeks ago "levi" requested similar assistance and received pointers to free, public-domain systems on the Wealth-Lab website...