Search found 51 matches
- Wed Oct 01, 2003 9:16 pm
- Forum: Testing and Simulation
- Topic: Random Trades
- Replies: 12
- Views: 13887
I modified your code to run through the Coffee data multiple times: # # Usage: perl base.pl <kch90.txt # $iterations = 3000000; $scale = 375; $nticks = 0; while(<STDIN>) { chop; ($date[$nticks],$time[$nticks],$price[$nticks]) = split(/\s/); $nticks++; } $total_profits = 0.0; $total_trades = 0.0; for...
- Sat Sep 13, 2003 9:05 am
- Forum: Trader Psychology
- Topic: How do you handle a huge drawdown?
- Replies: 8
- Views: 11382
The most popular mechanical trading system of all time is BUY AND HOLD . It's vigorously promoted by authors, TV talking heads, and Nobel Prize winning economists. Millions of people use the system for their trading, especially in their IRA and 401(k) accounts. Buy and hold has large drawdowns. Thos...
- Fri Sep 12, 2003 11:30 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52395
It seems to me you could formalize damian's suggestion and turn it into a new test of trading systems: Run system S on price dataset D, record entry/exit dates and per trade profits Create modified price dataset M: add 100.0 to all prices (O,H,L,C) in dataset D Run system S on price dataset M, recor...
- Wed Sep 10, 2003 8:51 pm
- Forum: Testing and Simulation
- Topic: Random Trades
- Replies: 12
- Views: 13887
- Wed Sep 10, 2003 7:03 pm
- Forum: Testing and Simulation
- Topic: Random Trades
- Replies: 12
- Views: 13887
I conclude that you don't yet have a good handle on the rate of convergence of your Monte Carlo approximation. The exercise of calculating an error estimate will be illuminating. Percentage wins minus percentage losses was 2.5% plus or minus what? I ran a test even simpler than yours, as it randomly...
- Mon Sep 08, 2003 6:46 pm
- Forum: Testing and Simulation
- Topic: Weight assignment to indicators
- Replies: 7
- Views: 6922
- Thu Aug 21, 2003 4:18 pm
- Forum: Custom C++ or Java Platforms
- Topic: What Language to Learn ? (VB / VC / C# ... or ?
- Replies: 26
- Views: 43403
- Mon Aug 11, 2003 5:30 pm
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14841
- Wed Jul 30, 2003 1:24 pm
- Forum: Money Management
- Topic: Trading several systems at the same time
- Replies: 6
- Views: 10771
Trading several systems at the same time
Using two or more different trading systems, each with positive expectancy, should provide a trader with more opportunities to trade and, thus, realize on the positive expectancy of the systems. Has anybody had any experiences they would like to share regarding the construction, testing and trading...
- Tue Jul 22, 2003 7:23 pm
- Forum: Testing and Simulation
- Topic: Risk Adjusted Returns
- Replies: 7
- Views: 15744
- Mon Jul 21, 2003 8:59 am
- Forum: Testing and Simulation
- Topic: Risk Adjusted Returns
- Replies: 7
- Views: 15744
It isn't a dimensionless quantity: (percent cubed) in the numerator and (percent squared) in the denominator means that the ratio has the dimensions (percent to the 1st power). This may or may not be acceptable to you. I prefer figures of merit that are dimensionless, like the Sharpe Ratio or the MA...
- Thu Jul 17, 2003 11:14 am
- Forum: Trader Psychology
- Topic: Please Understand Me: Character and Temperament Types
- Replies: 21
- Views: 27131
- Tue Jun 24, 2003 7:17 pm
- Forum: Custom C++ or Java Platforms
- Topic: What Language to Learn ? (VB / VC / C# ... or ?
- Replies: 26
- Views: 43403
Funny you should mention FORTRAN. By a startling coincidence there are two guys in my office who both started programming in 1974, both using FORTRAN, and are now both trading baskets of commodities using well known vendor systems (one in an IRA, the other in a cash account). Victor Niederhoffer cla...
- Tue Jun 24, 2003 1:40 pm
- Forum: Money Management
- Topic: Algorithms for trading the equity curve
- Replies: 31
- Views: 36466
- Mon Jun 23, 2003 10:01 am
- Forum: Money Management
- Topic: Algorithms for trading the equity curve
- Replies: 31
- Views: 36466
Trading the equity curve of I-Master, some test results
To stimulate your thinking and to encourage you to perform some research on your own, I'm attaching a graph of a little research experiment. I ran the vendor-sold system I-Master with and without "trading the equity curve". The first run (purple line) is I-Master trading a constant 2 contr...
- Fri Jun 13, 2003 2:06 pm
- Forum: Futures Markets
- Topic: Adding to your portfolio
- Replies: 8
- Views: 8444
- Mon Jun 02, 2003 12:30 pm
- Forum: Stocks
- Topic: Untested System
- Replies: 3
- Views: 7574
I keypunched Value Line's data from their website to see if I could duplicate their plots. (Answer: yes). In case anybody else wants to fool around with this, let me save you the pain of typing: ,Group 1,Group 2,Group 3,Group 4,Group 5 1965,0.336,0.189,0.089,0.008,-0.012 1966,-0.031,-0.060,-0.097,-0...
- Sat May 24, 2003 8:00 am
- Forum: Market Psychology
- Topic: Concepts of behavioral finance ...
- Replies: 11
- Views: 26259
trading and behavioral finance
Just finished a book by Richard Thaler, one of the good ole Behavioral Finance boys, called The Winners Curse ( http://www.amazon.com/exec/obidos/tg/detail/-/0691019347?tag=tradingblox-20 ). He discusses several "anomalies", disagreements between economic theory and the real world. Traders...
- Fri May 23, 2003 2:21 pm
- Forum: Money Management
- Topic: perplexed: Position Sizing
- Replies: 10
- Views: 15538
What Chuck said and when he said it and all other details, are contained within the original. It is located at http://traderclub.com/discus/messages/1 ... 20031022am
Here are a couple of plots I did at the time:
MODERATOR'S NOTE: Changed graphs to vertical format.
Here are a couple of plots I did at the time:
MODERATOR'S NOTE: Changed graphs to vertical format.
- Fri May 23, 2003 8:35 am
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 68189
about the free system Thirteen
Thirteen was released about 2 years ago (5/28/01). The original discussion is found in http://traderclub.com/discus/messages/18/1464.html (scroll down to the bottom). Since people are asking about stops and so forth: Some folks like to look at summary statistics such as the table above. Others prefe...