Search found 143 matches
- Wed Jan 25, 2006 4:42 pm
- Forum: Futures Markets
- Topic: Daily Pricing
- Replies: 1
- Views: 2931
Hi Sandor. You could buy it from CBOT: http://cbotdataexchange.if5.com. Or you could subscribe to a daily data supplier – either way you get quality data that can be relied on, but with vendor-supplied data you also get a means to handle the rollover calculation. I use www.pinnacledata.com and I a...
- Sun Jan 08, 2006 11:57 pm
- Forum: Money Management
- Topic: Ryan Jones on his Fixed Fractional strategy.......
- Replies: 12
- Views: 19615
- Sun Jan 01, 2006 5:03 pm
- Forum: Brokers
- Topic: Brokers and the Patriot Act
- Replies: 9
- Views: 10363
- Sat Dec 31, 2005 8:45 pm
- Forum: Brokers
- Topic: Brokers and the Patriot Act
- Replies: 9
- Views: 10363
- Sat Dec 31, 2005 5:21 am
- Forum: Brokers
- Topic: Brokers and the Patriot Act
- Replies: 9
- Views: 10363
Brokers and the Patriot Act
I read somewhere in the media that the Patriot Act now requires, among many other things, that your bank or broker file a ‘Suspicious Activity Report’ to the Federal government on any client who transfers more that some nominal sum like $10,000 or any repetitive transfers of smaller amounts. Upo...
- Thu Dec 29, 2005 6:14 am
- Forum: Testing and Simulation
- Topic: Trading Solutions Software
- Replies: 24
- Views: 18861
Hi Marc, OK, I’m your basic cynic I guess – what I am suggesting is that the items that are neatly packaged for your convenience may not perform as well as the packaging suggests. I have bought a few systems over the years and none of them have been even mildly impressive really. OTOH a few of t...
- Sun Dec 18, 2005 6:06 pm
- Forum: Testing and Simulation
- Topic: Trading Solutions Software
- Replies: 24
- Views: 18861
Hi Marc, A couple of comments: if it sounds too good to be true then it very probably is too good to be true; and your own results will be proportional to the amount of effort you are prepared to put in. I'm sorry but there really is no free lunch. From this and your other posts I gather that you ar...
- Sat Nov 05, 2005 5:53 pm
- Forum: Testing and Simulation
- Topic: Ralph Vince Test Metrics - Discussion
- Replies: 2
- Views: 3242
- Fri Nov 04, 2005 10:46 pm
- Forum: Testing and Simulation
- Topic: Ralph Vince Test Metrics - Discussion
- Replies: 2
- Views: 3242
Ralph Vince Test Metrics - Discussion
Is anyone interested in discussing the test metrics that Mr Vince describes in his book "The Mathematics of Money Management", specifically the metrics in Chapter 1 "The Emprical Techniques"?
- Thu Oct 13, 2005 7:06 am
- Forum: Trader Psychology
- Topic: Overcoming fear when you increase your position size ...
- Replies: 7
- Views: 10190
- Fri Sep 30, 2005 6:50 pm
- Forum: Money Management
- Topic: risk control in all-in portfolio system
- Replies: 11
- Views: 11781
Hi Hubster. Has anybody ever researched the idea of trading a system across a portfolio of commodities, but adding or removing markets (e.g., corn) based on the trendiness of the particular market. This is the subject of ongoing research here. The conceptual key is to define the probability of succe...
- Fri Aug 05, 2005 5:39 pm
- Forum: Money Management
- Topic: Larry Hite on "why a high % of speculators lose money ?
- Replies: 9
- Views: 12737
Hello Paul, I have found that the 5% you can't code/automate can make a big difference to your performance. Could you describe some examples of the things that you can't code/automate please? I would like to try with my setup just out of curiosity. BTW, thanks for your e-books. I have read Expectanc...
- Wed Jul 13, 2005 7:00 pm
- Forum: Data Providers and other non testing software
- Topic: Data Manager Software?
- Replies: 4
- Views: 6510
Data Manager Software?
Does anyone know of any "Data Manager"-type software? What I want is an application that integrates futures data from a wide range of EoD vendors into a single, consistent format (which may include mapping symbol names to a uniform standard and adjusting decimal places, etc, etc.), prefera...
- Fri May 27, 2005 3:42 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45965
Did you source this from his book/recent material? No, I got it from a mathematically clever friend and the results closely match my understanding/calculation of Ryan's book. I would like to work out ways to incorporate starting equity into the equation. I have tried the following variations: if(Cu...
- Fri May 27, 2005 2:14 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 45965
I am using this:
Code: Select all
if(CurrentProfit > 0)
NumContracts = max(1,(int)(sqrt(2*CurrentProfit/Delta+.25)+.5));
else
NumContracts = 1;
- Thu May 19, 2005 6:10 pm
- Forum: Testing and Simulation
- Topic: adjusted or not adjusted
- Replies: 5
- Views: 4900
- Tue May 03, 2005 7:55 pm
- Forum: Money Management
- Topic: reasonable approach of the Kelly formula
- Replies: 5
- Views: 9608
Thanks Murray, I will code up your suggested variation to the Weighted Geometric Mean and see how it looks. My aim in all of this is to find a test metric that allows meaningful assessment of the robustness of a system, and using Mr. Vince’s unweighted HPR (which describes each trade as a multipli...
- Mon May 02, 2005 8:10 pm
- Forum: Money Management
- Topic: reasonable approach of the Kelly formula
- Replies: 5
- Views: 9608
Re: Tutorial on Optimal f
Hi Murray,Murray Ruggiero wrote:If anyone has any questions , I will be happy to answer them in this forum.
I would be interested to hear your opinion of using Ralph Vince’s Estimated Geometric Mean (which requires first finding optimal f to calculate) as a system performance metric.
- Wed Apr 27, 2005 7:24 pm
- Forum: Data Providers and other non testing software
- Topic: German Bund data
- Replies: 3
- Views: 6114
Pinnacle have Bund data starting from 11/23/1989.
- Mon Apr 25, 2005 7:41 pm
- Forum: Testing and Simulation
- Topic: 20/10 Channel Breakout Results In Mechanica
- Replies: 5
- Views: 6257