Search found 143 matches

by Roscoe
Wed Feb 09, 2005 5:28 pm
Forum: Testing and Simulation
Topic: MAR Ratio, etc.
Replies: 12
Views: 14161

Re: MAR Ratio, etc.

Anyway, I have a dumb question due to my novice level: what is the MAR ratio? MAR = CAGR / MDD% Also, I have researched many systems by linking through websites, and many seem too good to be legit. For example, there's one called TrendSimplicity that backtested 25 markets to 1984 and returned >100%...
by Roscoe
Mon Feb 07, 2005 10:38 pm
Forum: Testing and Simulation
Topic: Downloading data, keeping format.
Replies: 4
Views: 3932

Hi Nathan, I presume that you mean data like this: http://www.census.gov/foreign-trade/Press-Release/current_press_release/exh2.txt ? (I just followed a link at random from the main page) I just did the following: 1. copied that page referenced above to a text file; 2. Opened Excel and imported it a...
by Roscoe
Mon Feb 07, 2005 4:18 am
Forum: Testing and Simulation
Topic: Downloading data, keeping format.
Replies: 4
Views: 3932

Hi Nathan,

Text files come in few formats and a lot depends on what you are opening the file in – for example, Excel can recognize a lot of different delimiters. If you show a sample of the download and tell me what application you are opening the file with maybe I can help.
by Roscoe
Tue Jan 18, 2005 6:53 pm
Forum: Trend Indicators and Signals
Topic: filtering idea
Replies: 3
Views: 5719

This thread sure interests me, particularly the Corn example as I am still short there 8) For physical commodities it makes sense that there is a cost of production below which the price will not go (or below which the government will bail out producers by buying), but determining that cost is diffi...
by Roscoe
Sat Dec 18, 2004 10:37 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 81936

Old European wrote:I never ever perform tests without dynamic position szing at the market portfolio level.
Thanks Old European, that was the missing piece of the puzzle for me.
by Roscoe
Fri Dec 17, 2004 7:29 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 81936

Old European wrote:The procedure I use is the following. <snip>
Thanks for that, I certainly appreciate your post. One question if I may: is your 'generic market universe' testing done with or without a position-sizing strategy? Thanks in advance.
by Roscoe
Sat Nov 27, 2004 4:47 am
Forum: Brokers
Topic: Xpresstrade, Lind Waldock, IB, etc
Replies: 1
Views: 4559

I like these guys: www.TheFuturesBroker.com - I have used them for years. They use the PFG BestDirect platform which does GTC's.
by Roscoe
Tue Nov 23, 2004 7:23 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 81936

Re: By What Measure? - How do You Know if a System is Good?

But I'd consider adding a system to the portfolio of active systems I traded if it was at least: - Drawdowns < 40% - MAR Ratio > 2.0 - Returns > 50% for futures, 30% unleveraged stocks This would be tested over 20 years using the same system parameters for each year and each market. To re-arrange t...
by Roscoe
Thu Nov 18, 2004 4:49 pm
Forum: Testing and Simulation
Topic: Contract Specifications
Replies: 7
Views: 5776

Did you know that for YX (Pinnacle Data) No OLD NYSE Composite Index® Futures will be listed after the Sep. 2003 Contract Sorry Helmut, my bad - I should have deleted it along with TB , and in fact I thought I had. Rev 2 above reflects those changes. You are absolutely right though - the whole con...
by Roscoe
Thu Nov 18, 2004 1:46 am
Forum: Testing and Simulation
Topic: Contract Specifications
Replies: 7
Views: 5776

daveineagan: may I ask what software you are using for your automated system testing? TIA!
by Roscoe
Wed Nov 17, 2004 6:00 pm
Forum: Testing and Simulation
Topic: Contract Specifications
Replies: 7
Views: 5776

Welcome to a real fun subject! The links below are worthy of a look, and I have attached an Excel speadsheet containing the full contract specs for everything supplied by Pinnacle Data. http://www.usafutures.com/commodityprices.htm http://www.pfgbest.com/traders_tools/research/contract_specs.asp htt...
by Roscoe
Fri Nov 12, 2004 7:24 pm
Forum: Custom C++ or Java Platforms
Topic: What language then...i am confused
Replies: 14
Views: 16375

Re: What language then...i am confused

What language then...i am more confused after reading the posts :roll: That really is the question! If you just want something a little more than point and click then you are really just choosing software, however if you are really serious about powerful applications and you are willing to work at ...
by Roscoe
Mon Nov 08, 2004 5:45 pm
Forum: Data Providers and other non testing software
Topic: Using More Than One Data Source
Replies: 0
Views: 3493

Using More Than One Data Source

I’m getting interested in exploring data sources other than just the “standardâ€
by Roscoe
Mon Nov 01, 2004 5:57 pm
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 8594

I use them and like them, but then again I am not smart enough to come up with anything better on my own.
by Roscoe
Fri Oct 15, 2004 8:25 pm
Forum: Data Providers and other non testing software
Topic: A New Consortium for a New Trading Data Standard
Replies: 10
Views: 11422

Hi Forum Mgmnt,

Great idea and long overdue, thank you for taking the initiative.

My strong preference would be for what I would describe as a “openâ€
by Roscoe
Sat Oct 09, 2004 8:46 pm
Forum: Trader Psychology
Topic: goal setting.
Replies: 5
Views: 7602

Great thread, highly relevant IMHO. I can only agree with Nathan and Richard, however my approach I liken to flying, in particular a gusty crosswind approach and landing (any pilots on the list will know what I mean). In this situation there is only one certainty: that everything will change all of ...
by Roscoe
Mon Sep 13, 2004 9:06 pm
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 29819

The concept of trading trend-following systems in markets that show a tendency to trend makes instinctive sense on the face of it, however the key will be to identify/define that tendency. The attachment shows the result of testing 63 markets over the same 10 year period with three different contend...
by Roscoe
Sat Sep 11, 2004 6:05 am
Forum: Testing and Simulation
Topic: Any help about the price vector model,please?
Replies: 4
Views: 4161

Attached is a random data generator in an Excel file - just copy the formulae down as many rows as you want then copy to a regular ASCII file to work with. I presume this is what you are asking?
by Roscoe
Wed Aug 25, 2004 6:49 pm
Forum: Testing and Simulation
Topic: The future of LTTF system testing
Replies: 4
Views: 4099

Damian,

Good thread. I do a lot of testing on longer-term systems and I do notice a few relatively common characteristics regarding percent drawdowns (hereafter MDD%):
1. Individual MarketSystems in the “marginal to goodâ€
by Roscoe
Thu Aug 19, 2004 5:59 am
Forum: Brokers
Topic: Vision Express
Replies: 3
Views: 4345

Hi TradingCoach, I have tried a heap of order platforms (based on my own requirements for end-of-day futures orders) and VE was the most buggy, which is usually a mark of poor software design. I liked the all-in-one nature of the beast but not the bugs. PFG's BEST Direct and the Open E-Cry platform ...