Search found 51 matches

by yoyo2000
Fri Dec 16, 2005 11:50 pm
Forum: Trend Indicators and Signals
Topic: 'Top Stop Exit' in Traderclub.com's forum ?
Replies: 2
Views: 4921

Thanks,Bondtrader,and I updated it there.

regard
by yoyo2000
Fri Dec 16, 2005 4:33 am
Forum: Trend Indicators and Signals
Topic: 'Top Stop Exit' in Traderclub.com's forum ?
Replies: 2
Views: 4921

'Top Stop Exit' in Traderclub.com's forum ?

I heard of a 'Top Stop Exit' in Traderclub.com's forum,but I couldn't find the exact description about it,anyone here knows it?Could you please give me some clues,please?

Thanks in advance
by yoyo2000
Mon Oct 03, 2005 9:12 pm
Forum: Testing and Simulation
Topic: be in a dilemma for trading futures?
Replies: 3
Views: 3411

[moderator edit] could you please give some suggestion on how to deal with the drawback of back-adjust/forward-adjust continuous data? TrendMonkey,thanks for your hints,could you please give me a detailed address? and here is my revised description about the same question(some snapshots are plused f...
by yoyo2000
Mon Oct 03, 2005 12:32 pm
Forum: Testing and Simulation
Topic: How to understand the conflit between performance and monte
Replies: 7
Views: 5340

Hi,paul king,your statement is very good,of course I know there are much difference between test/simulation and reality,but the purpose of test/simulation is to build some self-confidence with my system before I have to paid for the costly cost,so I want to get a more close way. PS:your article 'The...
by yoyo2000
Mon Oct 03, 2005 12:23 pm
Forum: Testing and Simulation
Topic: be in a dilemma for trading futures?
Replies: 3
Views: 3411

be in a dilemma for trading futures?

I meet dilemmas when I'm developing futures trading system,they are problems of data proceeding. We all know that each futures contract has a starting date and a expiring date,for example,Cu contract usually starts in July and expires in Jan.when we chain all the contracts with the same starting and...
by yoyo2000
Mon Sep 26, 2005 10:19 pm
Forum: Testing and Simulation
Topic: How to understand the conflit between performance and monte
Replies: 7
Views: 5340

Thanks Paul King,from the performance comparision,system A is superior,but from the statistical distribution of 10000 monte carlo simulation,the MDD % and Net % of A are bigger than those of B,from the theory of monte carlo simulation,should we consider that the result from performance report is a s...
by yoyo2000
Mon Sep 26, 2005 12:17 am
Forum: Testing and Simulation
Topic: How to understand the conflit between performance and monte
Replies: 7
Views: 5340

this is a package including 4 snapshots of results of A & B's MC simulation
by yoyo2000
Mon Sep 26, 2005 12:15 am
Forum: Testing and Simulation
Topic: How to understand the conflit between performance and monte
Replies: 7
Views: 5340

How to understand the conflit between performance and monte

I have two systems and I perform them on the same market groups in the same period with the same position sizing rules. And run the monte carlo simulations with their relating data separately.Thus I have two performance reports and two monte carlo simulation results. the problem is there is a sharp ...
by yoyo2000
Mon Jul 25, 2005 2:35 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 22144

There are seveal monte carlo methods,including scattering trades,or equity with discrete and continuous distribution,what's the pros*cons of each of them? I found many guys discussed monte carlo methods,but none talked about it,it should be useful for the monte carlo beginner as me to tell the diffe...
by yoyo2000
Fri Jul 08, 2005 1:42 am
Forum: Testing and Simulation
Topic: Drawing Conclusions from Tests with Too Little Data
Replies: 14
Views: 6914

Re: Drawing Conclusions from Tests with Too Little Data

....... TK, I think you've hit upon the limitation of testing with too little data, as much or more than the effect of changing one market. With five years data, you simply don't have enough information to draw valid trading conclusions. Even 10 years of data is too little in my book (notwithstandi...
by yoyo2000
Wed Jul 06, 2005 12:20 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 12344

Ok,I'v downloaded it,and will study it as soon as posible.
Thanks.
by yoyo2000
Wed Jul 06, 2005 4:26 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 16154

I seperated an index data into several parts by year,and calculated the statistical characteristics of each year,the results showed no orderliness at all,that's we don't know what the statistical characteristics of next year's data at the end of the current year at all...... How disappointed is it!~...
by yoyo2000
Wed Jul 06, 2005 3:16 am
Forum: Testing and Simulation
Topic: Are the results of backtesting reasonable?
Replies: 4
Views: 4315

sluggo,you mean I should take the Priorities of the positions into account,so as to actively reduce the positons before the limitation of cash is hit? But the problem is still there that different algorithms made the different parts of the positions are picked out,maybe the characteristics of these ...
by yoyo2000
Wed Jul 06, 2005 2:52 am
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 12344

Rines,could you please give me a copy of the newest version of your synthetic data generator? My email address is yoyo2000yoyo2000@hotmail.com. And i found a post which discussed 'test date generator',address is here: http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/topic?id=16985&start=0 Hope it's u...
by yoyo2000
Tue Jul 05, 2005 3:19 am
Forum: Testing and Simulation
Topic: Are the results of backtesting reasonable?
Replies: 4
Views: 4315

The core of the problem is,some logical algorithms prevent part of trades to be perform,are the the characteristics of the distribution of the trades changed?if not,how much of the part will result the change.In the case of trend trading,maybe some special algorithms wipe the profitable trades,other...
by yoyo2000
Mon Jul 04, 2005 2:02 am
Forum: Testing and Simulation
Topic: Are the results of backtesting reasonable?
Replies: 4
Views: 4315

When a system bases on a basket of stocks,commodities,or currencies,it possibily meets the problem of the limitation of account cash or other fixed position rules(for example,max 10% account capital for risk,or max 10 position,ect.).They therotically wipe part of the trades,and maybe,the characteris...
by yoyo2000
Sun Jul 03, 2005 11:05 am
Forum: Testing and Simulation
Topic: Are the results of backtesting reasonable?
Replies: 4
Views: 4315

Are the results of backtesting reasonable?

Several weeks ago, when I test my system on a basket of stocks,I met a problem which puzzles me till now: The 2nd Pic is the result of that system performed on 100 stocks out of a whole market,slippage and commission are taken into account,100 shares are hold in each trade.It's not an acceptable one...
by yoyo2000
Fri May 06, 2005 10:50 am
Forum: Testing and Simulation
Topic: the relationship between slippage and volume & volatilit
Replies: 2
Views: 2514

No,actually,I just feel there is a relationship between them,but can't get a clear view.
IMO,it's important when developing a realistic system before real money&loss are made,I posted my opnion here for further guide & help.
by yoyo2000
Fri May 06, 2005 1:43 am
Forum: Testing and Simulation
Topic: the relationship between slippage and volume & volatilit
Replies: 2
Views: 2514

the relationship between slippage and volume & volatilit

In TS/WLD/AB or other platforms,slippage should be taken into account,many guys relate it with volume,or volatility,or both,but what's the relationship between them?(IMO,correlation but not linear),anyone give me some suggestion or references please? and,in the case of volume,how to get the threshol...
by yoyo2000
Sat Dec 04, 2004 2:01 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 80321

:shock: two different statement... anyway,I got some tips from his book,the thought of RRR is very good. below is a table of RRR: http://www.okhere.net/upload/images.asp?id=353 could anyone code it,please? and what's your opnion about rebalancing asset every month? Is it really a good approach to ma...