Search found 157 matches

by Roger Rines
Sun Apr 24, 2005 1:15 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 14978

Hello Si, My comment is based upon my focus on the currency and financial markets. In the currency markets I don’t see data going back before the Gold standard was dropped in the early 70s, and even then the earlier data doesn’t seem like a good representation of what is happening now. My last s...
by Roger Rines
Sat Apr 23, 2005 7:05 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 14978

Hello Walker, Thanks for the two leads. I'll spend time studying both approaches. Chande's approach places emphasis upon the relationship between the Open, High, Low, and Close of each individual bar. Prior to this thread, I hadn't gotten past what you mention about Chande's approach. Barnes present...
by Roger Rines
Sat Apr 23, 2005 6:43 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 14978

Thanks for such a great outline Si. From what I’ve read of his work previously, I found myself agreeing with you on some of the points about the writing style. Here is hoping it doesn’t get in the way of his ideas. In thinking about the points he makes about the data being market like, I wonder ...
by Roger Rines
Sat Apr 23, 2005 4:49 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 14978

Thanks, Si. I've just ordered a used copy from Amazon in the UK. Amazon in the US doesn't even know about the book. Before your post, I didn't know anyone had seriously considered this idea. Nearly all of the traders I've spoken with hadn't been about trying to expand the testing range of their data...
by Roger Rines
Thu Apr 21, 2005 1:53 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 14978

Synthetic Contracts

Most markets haven't traded long enough to provide enough trades that a developer can use as a statistical basis for evaluating the robustness of a trading approach. Just as important, as the market data gets older, it stops being representative of current conditions. To get around some of this, I'm...
by Roger Rines
Sun Mar 27, 2005 1:29 pm
Forum: Money Management
Topic: Portfolio-Level Simulation Tools
Replies: 2
Views: 5191

Hello Sluggo, Your scenario does capture some of the complexity of what I'm attempting, and may be the reason why I haven't found any software that will help me get the data I think is needed to prove my idea has merit. As for the calculation versus a Monte Carlo simulation, proven calculations cert...
by Roger Rines
Sat Mar 26, 2005 7:30 pm
Forum: Money Management
Topic: Portfolio-Level Simulation Tools
Replies: 2
Views: 5191

Portfolio-Level Simulation Tools

In this thread: http://www.tradingblox.com/forum/viewtopic.php?t=1926 The topic of distributing money to each of the systems in a trading plan was especially interesting. In the past, I have found that the draw down to gain results can be reduced if the distribution of funds in a trading program isn...
by Roger Rines
Fri Jan 07, 2005 10:56 am
Forum: Testing and Simulation
Topic: Continuous Contracts for futures
Replies: 4
Views: 5584

From our perspective the program is working well. It is in use everyday and does exactly what we need for our long term trading signals. We'll expanding upon the capabilities of the program as time goes on, but for now it is getting the job done quickly and reliably.
by Roger Rines
Sat Nov 13, 2004 2:19 pm
Forum: Testing and Simulation
Topic: Continuous Contracts for futures
Replies: 4
Views: 5584

At the bottom on this page is the link to our Help file for our Continous Contract Data Builder. In that document you should find what you need for Back-Adjusted Continuous (Best for Long Term System Trading), and No-Adjusted Continuation files (Best for Chart Traders). Forward-Adjusted contracts us...
by Roger Rines
Mon Oct 18, 2004 8:57 pm
Forum: Testing and Simulation
Topic: Data tools to build continuous futures eod data?
Replies: 9
Views: 9192

isaac000, Take a look at this page and download the Help file to see if it is what you want to do: http://www.megapathdsl.net/~rdrines/dmw/testers_wanted.htm If you decide this is right for you, use the email link on that page and send your email information. When your information is forward I'll se...
by Roger Rines
Mon Oct 18, 2004 4:33 pm
Forum: Data Providers and other non testing software
Topic: CSI back-adjusted contracts settings
Replies: 8
Views: 9340

kianti, Your response is a good example of how people find a process that is comfortable to how they think and want to trade. I think this need to find what fits our beliefs is probably inherent is all of us, but it has a larger context when there is money is at stake. It would be interesting and he...
by Roger Rines
Sun Oct 17, 2004 4:32 pm
Forum: Data Providers and other non testing software
Topic: CSI back-adjusted contracts settings
Replies: 8
Views: 9340

Ideally, it is always best to keep an eye on the volume and open interest of all the markets you are interested in trading. In addition, I recommend you also keep an eye on the spread to forward contracts, especially in the physicals like the Grains, Foods and Meats. Do your best to always know wher...
by Roger Rines
Sat Oct 16, 2004 12:14 pm
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 13322

Re: Number of trades

Murray Ruggiero wrote:The problem with building a system on a single market is do you have enough trades. That is one place which building them on multiple markets help.
This warning should be pasted onto the screen of all development monitors because it is one of the primary problems that plague all system development.
by Roger Rines
Fri Oct 15, 2004 6:29 pm
Forum: Data Providers and other non testing software
Topic: CSI back-adjusted contracts settings
Replies: 8
Views: 9340

Be selective about which markets you apply a volume only trigger. When large commercial hands are favoring a specific contract, just looking at volume alone can keep you in the contract longer than is prudent. This is especially true of the currencies, which is why you may want to know when the fron...
by Roger Rines
Fri Oct 15, 2004 11:57 am
Forum: Data Providers and other non testing software
Topic: CSI back-adjusted contracts settings
Replies: 8
Views: 9340

I offered some information in this post that you might find useful: http://www.tradingblox.com/forum/viewtopic.php?t=1770 My guess is you're just getting started. If that assumption is true, consider using a date based approach for building your contracts to get started. If you understand the dynami...
by Roger Rines
Fri Oct 15, 2004 11:42 am
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 13322

Once you discover all the things you should and shouldn’t do in developing a system, spend the time paper-trading the signals to see what else you don’t understand about the system. Many systems that follow the best-practice rules don’t survive well when you’ve got to handle them within the ...
by Roger Rines
Thu Oct 14, 2004 2:00 pm
Forum: Testing and Simulation
Topic: Can I buy EOD futures data from someone?
Replies: 3
Views: 6021

If you are new to Back-Adjusted contracts, know that not all contract adjusting processes are the same. In addition, the underlying timing used in creating the back-adjusted contracts is different between many of the markets. For example, the Bonds usually move to the forward month on the Close prio...