Search found 57 matches

by danZman
Tue Oct 09, 2007 3:24 pm
Forum: Data Providers and other non testing software
Topic: Where to get accurate historical tick data?
Replies: 16
Views: 16916

Short term systems with an edge, if they exist Coming from Sluggo, the caveat "if they exist" must be taken seriously. Although, reading between the lines of his posts I don't think Sluggo has ever moved to testing intra day data? I have never ventured into this area nor ever will, unless...
by danZman
Tue Oct 09, 2007 4:57 am
Forum: Data Providers and other non testing software
Topic: Where to get accurate historical tick data?
Replies: 16
Views: 16916

I have to assume this route is being taken for contra-trend following? There is definitely an edge there...but not for large positions. I've seen lots of these on collective2.com. Interesting how the MAR on VST systems is so high while LTTF is so crappy. But will LTTF take the last laugh when money ...
by danZman
Wed Sep 19, 2007 9:51 pm
Forum: Testing and Simulation
Topic: Correlation: Between Markets or MarketSystems?
Replies: 5
Views: 6986

it is entirely likely that different systems in correlated Markets could have non-correlated equity curves Bingo. That's exactly why we try to trade a suite of systems that are non-correlated. If you use several different styles to trade (trend following, reversal systems, volatility, etc) and even...
by danZman
Mon Aug 20, 2007 5:02 pm
Forum: Market Psychology
Topic: IS IT ME OR....... ?
Replies: 2
Views: 11819

Isn't this they way it is supposed to be at a possible major turn? Fighting it all the way before admitting to any of the facts? Yes indeed. Just the fact that the subject has been brought up a few times on this board is almost the same as when my dear old mom asked me how I was doing right at the ...
by danZman
Fri Jul 27, 2007 4:46 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 44619

Thanks for posting, very interesting indeed. For me, the odd part was about his models changing weekly. Markets do change, but on a weekly basis? My guess is that since he's basically marketing his fund, he wants people to know that he's willing and able to change the systems in use. He's probably ...
by danZman
Tue May 29, 2007 7:07 pm
Forum: Trader Psychology
Topic: Times you couldn't take the trade and how you overcame it
Replies: 8
Views: 14239

From my own experience, I've found that trading my mechanical systems without fail took two things: (1) Absoute knowledge of my trading system and how it behaves in real-time (is my slippage similar to backtesting?). (2) The pain that comes from not trusting the signals. The pain from not following ...
by danZman
Tue May 29, 2007 3:46 pm
Forum: Stocks
Topic: Trend Following with EMA + CANSLIM
Replies: 7
Views: 17879

It would be nice if IBD offered their data. However, here's something worth noting in my experience with system trading stocks: I use a long/short filter based on timing the S&P 500. If the indicator says to buy the S&P 500, I'll use a suite of trading systems that only trade long. When it s...
by danZman
Tue Apr 03, 2007 6:20 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 39378

Re: Cats out of the BAG LTTF VS SWINGING

On Way of the Turtle Blog, c.f. says this"Some may think that as a Turtle, I would be largely in the camp of Trend Followers and Systematic traders. This is not true. In fact, I believe that Trend Following is probably not the best starting place for most people who want to trade, and that swi...
by danZman
Mon Mar 05, 2007 6:06 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 50110

I'm glad to hear that you believe Monte Carlo analysis cannot be used to forecast system performance in the future. Although System 1 had a nice smooth equity curve during 1973-1994 (21 years!) and although it outperformed System 2 during that period, the markets changed. System 2 outperformed Syst...
by danZman
Wed Jan 24, 2007 4:52 pm
Forum: Testing and Simulation
Topic: Optimization what it is.
Replies: 8
Views: 7672

by danZman
Mon Jan 22, 2007 5:07 pm
Forum: Testing and Simulation
Topic: Trick in finding Support/Resistance point
Replies: 3
Views: 4505

If you have access to Tradestation, you could copy the source code of the Tradestation User Functions called SwingHigh and SwingLow, as they do exactly what you want. Function: SwingHigh(OCCUR, PRICE, STRENGTH, LENGTH) Parameters: OCCUR which occurrence (i.e. 1=most recent, 2=2nd most recent, and s...
by danZman
Sat Dec 30, 2006 6:52 pm
Forum: Testing and Simulation
Topic: Who made money in 2006?
Replies: 10
Views: 10964

For my systems (which are mostly stock trading systems), breakout systems did poorly. Buying below the breakout worked nicely. Index trading with contrarian data worked great. I'm looking forward to some great things in '07.

Happy New Year to all,

D
by danZman
Mon Dec 04, 2006 5:48 am
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 24451

One thing you might also add is a thought or two on start date dependency; which I am sure you have researched. You might also like to give us your thoughts on portfolio turnover and management. Particularly if you intend to go global, you have either got to have an extremely small allocation to ea...
by danZman
Fri Dec 01, 2006 7:35 am
Forum: Testing and Simulation
Topic: How Do You Test?
Replies: 18
Views: 17672

For stock trading, I want a very robust system. You can't simply choose stocks in the S&P 500 or NASDAQ 100 for backtesting , since many are new to those indices (and their performance got them in there). I have a list of 3200+ stocks for backtesting using TB. I do a lot of filtering such as $ v...
by danZman
Fri Nov 17, 2006 9:51 pm
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 13241

BARLI wrote:hi DanZ, I look more for price action such as OHLC relationship. What kinda indicators you use?
Price relationships...no canned indicators. I like look for gaps and consolidations within a trend.

D
by danZman
Fri Nov 17, 2006 4:13 am
Forum: Testing and Simulation
Topic: Number of optimized variables and ranking of system goodness
Replies: 18
Views: 13241

I have a stock trading system with a large amount of variables and it works REALLY well. Anyone else have a system that's not so simple, yet works well over time? From the posts I've read, most don't stray too far from the donchian, ATR breakout, moving average x-over type of systems. Anyone else go...
by danZman
Fri Nov 17, 2006 4:03 am
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 13558

Let's be frank about something...whether we use Trading Blox or Neural Networks, we're curve fitting to some degree. If I want to find the best pain/gain ratio with TB, I'm going to keep testing all parameters until I get the best. Well, this is what NNs do. Only they use some calculus to get to the...