Search found 154 matches
- Wed Apr 04, 2007 12:58 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39450
- Fri Mar 02, 2007 11:48 am
- Forum: Testing and Simulation
- Topic: Hypothetical Slippage and Fees
- Replies: 2
- Views: 4629
Maybe even more interesting than the actual vs. backtest comment is this one: John Gallwas: Do you have an opinion on whether or not the markets have changed since you began investing in futures? Charlie Wright: Most definitely. The major assumption that trend-following managers made in the last 30 ...
- Wed Feb 28, 2007 6:49 pm
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50201
Nickmar - truly incredible - thank you so much for sharing this - I could never have programmed this. Once I jiggered all my group names (using global replace in Notepad) to match exactly your strings, this blox ran beautifully. This is a very useful and powerful tool. If a system can produce good r...
- Mon Feb 19, 2007 4:36 pm
- Forum: Data Providers and other non testing software
- Topic: CSI vs Pinnacle data ?
- Replies: 26
- Views: 26709
Cost of CSI Data?
Been looking into getting a CSI subscription and already are running into confusion just understanding their price structure. Emailing back and forth with their sales person is only making things worse. First of all, why is it that they only "allow" customers to buy data from 1982 onwards?...
- Thu Jan 11, 2007 8:54 am
- Forum: Brokers
- Topic: Open E-Cry - Gone Quiet?
- Replies: 5
- Views: 11659
- Sat Dec 30, 2006 1:28 pm
- Forum: Testing and Simulation
- Topic: Who made money in 2006?
- Replies: 10
- Views: 11016
Who made money in 2006?
Year end is here and always good to reflect and examine. Looking at my results for the year I did just fine - certainly compared to industry averages that I might compare myself with. I found it interesting though to run all the trading systems that I now have in TB - both the 12 that it came with a...
- Sun Dec 24, 2006 2:13 pm
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 17980
- Fri Dec 15, 2006 2:09 pm
- Forum: Futures Markets
- Topic: Does a weak dollar lead to rising commodity prices?
- Replies: 3
- Views: 4435
Re: Does a weak dollar lead to rising commodity prices?
Only asking as there was an article in the Investors Chronicle which proposed that it did. Wrong cause-effect relationship here or not? http://www.investorschronicle.co.uk/content/free/2006/Markets/article_gen_05108.html Can't get to the article 'cause you need a key, but... Depends which commodite...
- Sat Nov 25, 2006 10:07 am
- Forum: Testing and Simulation
- Topic: My performance is ? no idea
- Replies: 18
- Views: 12976
If you want to compare the results of a private trader against the IASG results of a professional money manager who charges for her services, you may wish to calculate the answers to one or both of these questions: What would my results be, if I deducted the same fees as a pro would deduct? What wo...
- Mon Nov 20, 2006 8:39 am
- Forum: Testing and Simulation
- Topic: Testing With RTH Data vs Composite Data
- Replies: 3
- Views: 4147
A very good question. Not a straight forward answer. What I do is use the pit history for backtesting and signal generation, but trade in the electronic where ever the volume allows. That turns out to be most of the markets I trade, except Rough Rice (the softs aren't electronic yet). It comes down ...
- Fri Nov 17, 2006 9:05 am
- Forum: Testing and Simulation
- Topic: My performance is ? no idea
- Replies: 18
- Views: 12976
Re: My performance is ? no idea
I can find no reference to what anyone is using as an initial account balance. Without knowing this you can quote all sorts of statistics but it is apples and oranges unless we are all using the same initial amount. Is there some secret number that I don't know about? I have enjoyed reading the pos...
- Wed Nov 15, 2006 12:49 pm
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39264
Dynamic Portfolio Selelction
I still think Dean is pointing to a good idea here. What I am interested in is designing some tests for it. One thought might be, if I have a large enough universe of products to trade (cars) and a limited number of parking spaces (due to small risk capital) I might want to have in my portfolio posi...
- Tue Nov 14, 2006 3:30 pm
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39264
Filling and shuffling parking lots.
Thank you Dean for initiating this thread and posting some example results. I've been recently examining this area as a further way of justifying purchasing TB and wonder how far users have gotten with actually doing Dynamic Portfolio Selection (after Tim posted some examples). As Dean's examples sh...
- Thu Oct 12, 2006 3:12 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 44723
Don't want to get off topic, but this has to be an example of when modeling riks just might not capture an event like today in OJ... Quote: Oct. 12 (Bloomberg) -- Orange-juice futures soared to a 16- year high after the U.S. government said Florida's orange crop will be the smallest in 17 years as c...
- Thu Oct 12, 2006 2:03 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 44723
- Thu Oct 12, 2006 12:50 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 44723
Novie OJ this morning - what a gap up and then some. I was fortunate to be out of my shorts 2 days ago when I didn't like the dull action (inefficient use of my margin money). But oh boy! To be caught in that updraught would be quite sobering - enough to make one want to stop trading. I wonder where...
- Tue Oct 10, 2006 1:55 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 44723
The one stat that I would be vitally interested in would be the average daily change percentage. Larger daily volatilities (percentage changes) foretell of bigger potential risks in my opinion. I think this metric is one of the most important and simultaneously underused. I couldn't agree more with...
- Mon Oct 09, 2006 1:25 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 40365
Lumber is limit up today. 8) Anyone's trading Wheat? I am biased its going to 500 cents and then sells off, but we'll see The trick of course was to get in to lumber Friday which requires a very short term trading approach. I doubt any LTTF would be in lumber yet, but they might be soon if it goes ...
- Thu Oct 05, 2006 12:14 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 44723
Trade outcomes versus equity percentage changes.
One of the several good points Dean makes is doing MC runs on percentage changes in equity (not the trade sequencing of outcomes of wins versus losses). Not yet being a proud owner of TB (soon I hope) can Ted, Tim or any other user tell me if TB does this? Seems fairly important, no? Thanks in advan...
- Tue Sep 26, 2006 5:42 pm
- Forum: Futures Markets
- Topic: The New Age of Commodity Trading
- Replies: 4
- Views: 5701
The New Age of Commodity Trading
Not sure what to call this subject, but what does everyone think of the markets for commodity trading over the past 2 to 4 years? During this period there has been an unprecedented amount of new money poured into trading the little commodity markets (compared to the huge equity markets) and a gazill...