Search found 98 matches

by babelproofreader
Tue Mar 06, 2012 5:30 pm
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 7161

...It might use "Robust Annual Return" (as described in Way Of The Turtle ) to measure profits... An even more robust measure would be to replace the linear regression in the RAR% calculation with a repeated median regression (explanation here and here ). Some time ago I coded the repeated median (...
by babelproofreader
Fri Feb 24, 2012 6:01 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 11359

Sorry to be imprecise in the wording there. No, of course, they can't move the external market, but they do widen the spreads to catch the stops. Google IG Index and/or Capital Spreads for recent reviews. Would, in turn, be curious to know which direct access spread betting firms you'd recommend. T...
by babelproofreader
Thu Feb 23, 2012 9:02 am
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 11359

Spread betting? Sounds to me like a good way to run through 10k. Not legal in the US afaik, but in the UK the main outfits (IG Index, Capital Spreads, etc) are infamous for moving the market against high rollers to stop them out. Might as well just go to a casino. Can you provide an reference for y...
by babelproofreader
Tue Feb 21, 2012 7:15 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 11359

If you're able to open a financial spread betting account, you will be able to trade futures with a very small account, with minimal risk. Some example minimum bets from my spread betting account provider are:- S&P 500 - $6.00 per point, spread 0.4 Gold - $0.70 per 0.1, spread 0.4 Silver - $2.00 per...
by babelproofreader
Mon Feb 13, 2012 4:27 pm
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 8596

i.e. What systems, other than countertrend/mean reversion, make money during non-trending market action (during directionless markets)
Long/short volatility trading systems (implemented via options) and binary betting.
by babelproofreader
Sat Feb 11, 2012 11:09 am
Forum: Trend Indicators and Signals
Topic: Bloomberg Trender Indicator
Replies: 7
Views: 8839

The parameters appear to be user selected, but you can find a discussion of this indicator by downloading the attached pdf file to post #8 in this forexfactory forum thread.
by babelproofreader
Mon Jan 30, 2012 10:32 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 26906

I recently read this blog post which has a nice graphical summary of this problem. Given the possibility of this sort of situation actually occurring, why would anyone trust any historical performance record as a good indication of future returns, whatever metric one chooses? Not to mention that you...
by babelproofreader
Fri Jan 27, 2012 5:10 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 9273

I understand if you already know Matlab / Octave, you might not want to make the transition to R
Websites such as this one make transitioning between Octave/MATLAB and R much less painful.
by babelproofreader
Tue Jan 17, 2012 5:56 pm
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 9076

Here´s what I could find. 2001 until dec 2010. Will look for missing data.
Download and install a demo version of Metatrader 4 and then use the export function from the history centre to download data from September 2011 to the present for the missing data.
by babelproofreader
Fri Jan 13, 2012 9:37 am
Forum: Trend Indicators and Signals
Topic: consistency of entry method AND symbol
Replies: 10
Views: 7591

By trading in the way you describe you are effectively randomly trading your system as it is applied to any single instrument, which of course will drastically alter its results in an unpredictable way. This very issue was the subject of the NAAIM 2011 Wagner Award winning paper, downloadable from t...
by babelproofreader
Tue Jan 10, 2012 9:37 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 17884

Open Office, GIMP and ImageMagick - good to see someone using and recommending free/open source software!
by babelproofreader
Fri Dec 16, 2011 7:38 am
Forum: Trend Indicators and Signals
Topic: Questions on indicators and time frames
Replies: 7
Views: 6162

I've read a few posts on the forum which use indicator length to dictate STT, LTT, MTT. I was curious to see if anyone had ideas based on use of data i.e (weekly, fortnightly, monthly, etc) rather than use of the indicator length. You could make your indicator length adaptive to the cycle length in...
by babelproofreader
Wed Oct 26, 2011 3:26 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 78514

So is the idea to try to determine the type of market a system does well in and then include it in the suite for those types of markets?
In my opinion yes, but of course easier said than done.
by babelproofreader
Tue Oct 18, 2011 6:46 pm
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 14097

use R for off-line analysis - it is not suited to building a trading system as it is horribly slow for loop processing
There is the Rcpp package which allows C++ to be used from within R. This will considerably speed up loops.
by babelproofreader
Tue Oct 18, 2011 6:34 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 9576

Usually continous contracts inflate back test results.
Would you care to explain why this is so?
by babelproofreader
Fri Oct 07, 2011 8:07 am
Forum: Testing and Simulation
Topic: Market filter
Replies: 10
Views: 4420

I have just come across this paper which proposes using a filter based on the VIX.
by babelproofreader
Thu Oct 06, 2011 7:08 pm
Forum: Testing and Simulation
Topic: Market filter
Replies: 10
Views: 4420

I think 200 WMA means weighted moving average, not weekly moving average!
by babelproofreader
Thu Oct 06, 2011 8:48 am
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 5076

If you can't sell it outright, you might consider hedging it by using an account with another provider.
by babelproofreader
Sun Oct 02, 2011 3:42 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 27116

@AJF Garner I would agree that if some money manager offers a green equity curve as their historical record one would have to be very suspicious of a "Bernie somebody or other" scheme and exercise extreme due diligence. However if, as Chris67 has suggested, one has to place money with a number of TF...
by babelproofreader
Sat Oct 01, 2011 10:31 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 27116

I have written an extremely basic Octave script (available here ) to investigate the issue of correlation, the output of which is shown below. I created 3 simple return streams of consecutive up and down returns return stream a (black) is up 2, down 1 return stream b (blue) is up 3, down 1.5 return ...