Search found 109 matches

by Jake Carriker
Wed Sep 15, 2004 6:31 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 19951

Here is an update on my experience with the Chande method of creating synthetic data. I decided to take a relatively simple system that has known (to me) performance characteristics on a broad portfolio of 50 futures markets and subject it to synthetic data for the same markets. The synthetic data i...
by Jake Carriker
Mon Sep 13, 2004 11:10 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 19951

Forum Mgmnt, I agree with your idea of using synthetic data as a confirmation check for system robustness. Another way to approach the situation is to develop a system entirely on synthetic data and then do the out of sample testing on the real data. This is one way to keep your system from being cu...
by Jake Carriker
Sun Sep 12, 2004 3:34 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 19951

I would like to talk about this topic. I propose that the forum members evaluate the following method of creating synthetic data series. It is outlined in Tushar Chande's book "Beyond Technical Analysis" . I don't consider it to be off limits for description here, as it is presented in the...
by Jake Carriker
Tue Sep 07, 2004 11:13 am
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 14757

I am back from the weekend, and I have had a chance to peruse the replies to my original post as well as some very thoughtful private messages I recieved. Thanks for your input and keep it coming if you have more. I am doing some serious thinking and testing regarding "managing" entries an...
by Jake Carriker
Fri Sep 03, 2004 2:16 pm
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 14757

A swan strikes

OK…so maybe it is not quite a black swan, but at the very least a dark gray one. This morning when the employment report came out, some of the bond markets went extremely volatile temporarily. I had stop orders in to enter a long Eurodollar position along with contingent stop loss orders that acti...
by Jake Carriker
Thu Sep 02, 2004 10:20 am
Forum: Brokers
Topic: One broker for Futures and Stocks
Replies: 5
Views: 6818

Hi Spanky, Technically, nobody offers stock and futures trading from one common account. Due to regulatory procedures, the funds are always segregated from one another. However, firms like IB do present the client a front end that looks like one account. In actuality they maintain the account "...
by Jake Carriker
Wed Sep 01, 2004 4:58 pm
Forum: Futures Markets
Topic: A Basic Question: Pit & Electronic
Replies: 9
Views: 7702

You might want to check the exchange websites and search on the term "fungible" . Fungibility determines whether contracts that are traded on different platforms (electronic vs. pits) or exchanges may offset one another. When contracts are fungible with others, liquidity tends to improve i...
by Jake Carriker
Fri Jul 30, 2004 2:22 pm
Forum: Trend Indicators and Signals
Topic: changing moving average intervals based upon volatility
Replies: 2
Views: 5395

There is also Kaufman's Adaptive Moving Average described in his book Smarter Trading . BTW Richard, what moving average are you talking about in the Turtle system. The only one I am aware of is the exponential moving average of ATR (dubbed "N"). The length of this moving average does not ...
by Jake Carriker
Fri Jul 02, 2004 10:08 am
Forum: Trader Psychology
Topic: dealing with whipsaws
Replies: 14
Views: 22490

Sort of, yes.
by Jake Carriker
Fri Jul 02, 2004 12:24 am
Forum: Trader Psychology
Topic: dealing with whipsaws
Replies: 14
Views: 22490

www.tradingtribe.com

Only a suggestion. Everyone has their own way of dealing with such issues.

Jake
by Jake Carriker
Thu Jul 01, 2004 10:27 am
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 16761

Here is an interesting qoute from Michael Clarke's description of his trading programs. If someone is looking for opinions from those that have been there and done that, then this is one. Clarke certainly qualifies as a succesful trader that is extremely versed in mechanical system testing. He has a...
by Jake Carriker
Sun May 30, 2004 3:30 pm
Forum: Testing and Simulation
Topic: Variability Due to Differing Rolling Algorithms
Replies: 8
Views: 7812

RTH vs. consolidated data

I am interested in hearing the views of the board regarding testing and trading on day session only data, rather than composite data that covers non-RTH (RTH = Regular Trading Hours) where they exist. I have made my decision about which to test and trade based on my own testing, but I am interested ...
by Jake Carriker
Fri Apr 30, 2004 7:26 pm
Forum: Testing and Simulation
Topic: Journey to turn the worst system into the best one!
Replies: 12
Views: 12930

John, not at all. My comment was meant to imply that if you want to be on the profitable side of commission or slippage, you had better be a floor trader or broker. I don't think there is much profit potential in fading popular systems, ala "turtle soup". No worries, Jake P.S. - I have bee...
by Jake Carriker
Fri Apr 30, 2004 3:12 pm
Forum: Testing and Simulation
Topic: Journey to turn the worst system into the best one!
Replies: 12
Views: 12930

K1, There is a discussion of this type of fading strategy in The Ultimate Trading Guide by Pruitt, Hill, and Hill. They use Bollinger Bands as an example of a "good idea applied incorrectly" and use Bollinger Band breakouts (the modus operandi of some good trend following systems) as signa...
by Jake Carriker
Tue Apr 20, 2004 11:26 am
Forum: Testing and Simulation
Topic: Designing System Failsafes
Replies: 2
Views: 3567

For a different viewpoint, I think that a systematic trading system is much more discretionary than most traders recognize. A trader first uses ultimate discretion in building and testing the system, then in choosing markets to trade, allocating capital to the system, and choosing when to begin trad...
by Jake Carriker
Fri Feb 27, 2004 9:13 am
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 9862

Kevin, I don't think that is too fancy at all. What I would avoid is making small increments in the starting capital until MAR is maximized or you avoid that one trade in October 1987 that created a drawdown spike, and so forth. Using peaks and valleys as starting points in order to gain information...
by Jake Carriker
Fri Feb 27, 2004 12:19 am
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 9862

I agree with both c.f. and stancramer here. c.f. has a good point that you want your system to work with whatever amount of capital you will be trading. Stan has a good point that it is useful to see how different amounts of capital affect your testing results, thus giving you a clue as to the capit...
by Jake Carriker
Sat Feb 21, 2004 7:19 pm
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 33357

Is historical backtesting on indexes representative for actual index futures trading ? No! Nor is testing continuous contracts and trading actual ones, or testing contracts backadjusted using one method and trading contracts that are backadjusted using another method. Granted, the differences becom...
by Jake Carriker
Mon Feb 16, 2004 5:26 pm
Forum: Testing and Simulation
Topic: Realistic Returns?
Replies: 1
Views: 3854

Hi JD, You have hit on the weakness of MAR as a performance metric. Any system or combination of systems is statistically gauranteed to have a worse MAR in the future than it does right now. This is the reason you see traders with long track records sometimes "unfairly" penalized by MAR. I...
by Jake Carriker
Fri Feb 13, 2004 12:46 pm
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

Point well taken Mark. I fired up Unfair Advantage and checked several examples using crude. I used a 21 day ATR as calculated by UA. The ATR does seem to stay proportional to price for actual contract data and backadjusted contracts that are raised to prevent negative prices, thus giving an actual ...