Search found 127 matches

by Chelonia
Sun Sep 30, 2007 9:12 am
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 42185

Ever tryed to exit 2000 Orange Juice futures when your stop gets triggered, or initiating a new position with 1500 Coffee futures? If you do so you probably appear on National Television later that day!!! Did you take liquidity into account. I see many markets in your test that won't allow for relat...
by Chelonia
Mon Aug 06, 2007 5:50 pm
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6772

Ending Modified Annual Max Total Longest Test Balance CAGR% MAR Sharpe Sharpe Equity DD DD (mo) # Trades ................................................................................. 1 $0.00 191.2% 4.27 2.32 1.89 44.8% 7.3 11,771
by Chelonia
Mon Aug 06, 2007 5:48 pm
Forum: Testing and Simulation
Topic: A systematic way to portfolio optimzation
Replies: 6
Views: 6772

Hi Jens,

Do me a favor and test your ATR stop between 0.1 and 2 and then show me the results. You be suprised!
by Chelonia
Sun Jun 17, 2007 2:47 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 38006

It's from Pinnacle. I'm testing these and other settings on the various products in the portfolio now, altough i'm already confident with the open interest trigger. I like the simplified explanation of the roll over settings (1,2,3,4) as set out by Mr. Garner, but i'm looking into markets that go fr...
by Chelonia
Sun Jun 17, 2007 1:12 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 38006

Here's a list with very workable roll days. DM = Delivery Month, MPDM = Month Prior to DM STARTING DATES AND ROLL OVER DAYS COMMODITY START DATE ROLL DAY Australian $$, Day Session 1988 8th Day of DM Australian $$, Composite Session 1990 8th Day of DM British Pound, Day Session 1976 8th Day of DM Br...
by Chelonia
Sat Jun 16, 2007 5:21 pm
Forum: Testing and Simulation
Topic: Anybody using Quad Core Machine for testing
Replies: 28
Views: 21461

I can tell you that testing is alot faster on a Q6700 Quadcore/64bit Vista machine, but then i'm only testing futures so for me the difference in speed is not that important, but gaming is a blast while waiting between new orders!!!
by Chelonia
Sat Jun 16, 2007 3:27 am
Forum: Testing and Simulation
Topic: Roll/order problem
Replies: 0
Views: 2738

Roll/order problem

In back testing the Dual Moving average system with the following parameters in EC (Euro currency) 24 long MA 8 short term MA Use and hold ATR FALSE Risk 1% I have noticed there is a problem with the rolls for example run the data from 2007-01-01 to 2007-05-01. When you generate orders you will noti...