Search found 41 matches
- Wed Jan 11, 2012 10:01 am
- Forum: Testing and Simulation
- Topic: This is good
- Replies: 7
- Views: 5374
Marriot, a few passing thoughts: --If this is a short-term system, the slippage being used by the model becomes extremely important. --How does the system test over other timeframes? Might it be overfit to the current environment? --If you would achieve that kind of compounding, you will find the ac...
- Wed Sep 21, 2011 7:16 pm
- Forum: Trader Psychology
- Topic: Beware the outside investor with the iron stomach...
- Replies: 5
- Views: 7482
Thanks svquant. I was being somewhat facetious about the legal clause, and like you said, it would be pretty futile, but one can always fantasize! As part of the whole spirit of transparency post-Madoff, I allowed my investors access to my trade execution emails figuring it would put them at more ea...
- Wed Sep 21, 2011 3:29 pm
- Forum: Trader Psychology
- Topic: Beware the outside investor with the iron stomach...
- Replies: 5
- Views: 7482
Beware the outside investor with the iron stomach...
As I've mentioned before, I recently launched a small exempt fund to test the Donchian system with a few colleagues of mine. Of course, they all assured me that drawdowns of 35-40% were fine, and that they were putting in money that they didn't need. "If it takes 15 years to average out with a ...
- Wed Jul 20, 2011 7:35 pm
- Forum: Testing and Simulation
- Topic: My research says: the markets haven't changed in 31 years
- Replies: 14
- Views: 9656
- Tue Jul 19, 2011 2:31 pm
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15144
Sluggo -- does it count if a different person (me) sends the person above (author of question) a link to a thread written by you? :) Seriously, I consider your post in the link below to be a great, succinct summary on the four ways systems can vary (under the assumption one wants to use systems that...
- Mon Jul 18, 2011 9:24 am
- Forum: Futures Markets
- Topic: Pork Bellies to be delisted Friday
- Replies: 0
- Views: 2544
Pork Bellies to be delisted Friday
Not that anyone on this forum was probably trading these anymore over the past couple of years given lack of volume, but still sad in a sentimental way. One of the first futures contracts I ever bought: http://www.washingtonpost.com/business/markets/after-50-years-the-chicago-mercantile-exchange-dro...
- Fri Jun 17, 2011 8:08 pm
- Forum: Testing and Simulation
- Topic: Portfolio Filter inflection point and trades
- Replies: 6
- Views: 4317
- Fri Jun 17, 2011 3:23 pm
- Forum: Testing and Simulation
- Topic: Portfolio Filter inflection point and trades
- Replies: 6
- Views: 4317
Portfolio Filter inflection point and trades
I noticed the last few days that my MACD filter on the Donchian system is at an inflection point on one commodity I trade. So it will show long trade entries for a few days, then the next day the long disappears (it is rejected) and the order list shows a short trade entry point as the MACD flips ab...
- Mon Jun 13, 2011 8:54 pm
- Forum: Futures Markets
- Topic: Q on when others roll new old crop to new crop
- Replies: 10
- Views: 7298
Eric -- very novel (to me) way of approaching it. Almost like going long the cash or spot and storing it versus playing different crops/delivery dates. Sluggo, you make a great point of effort versus contracts. The majority of contracts I trade are financial. And for some, I have no idea on differen...
- Sun Jun 12, 2011 3:20 pm
- Forum: Futures Markets
- Topic: Q on when others roll new old crop to new crop
- Replies: 10
- Views: 7298
Thanks guys. My issue isn't on how to do the rollovers but on whether I should over-ride my system this one instance due to unique fundamental issues as opposed to technical ones; fundamental issues which may continue to drive a bull market in July/Sept contracts but not in the December into which I...
- Sat Jun 11, 2011 8:22 pm
- Forum: Futures Markets
- Topic: Q on when others roll new old crop to new crop
- Replies: 10
- Views: 7298
Q on when others roll new old crop to new crop
Just got a roll alert based on my settings to go from July corn to Dec. But there is almost an 80 cent disparity in prices, and I think there is a potential for the trend to split along new/old crops.... Should I override the system and force the CSI data to stay in July or roll to Sept, or should I...
- Sat May 28, 2011 4:11 pm
- Forum: Testing and Simulation
- Topic: Would I enter this "Order Generated" trade at mark
- Replies: 1
- Views: 1977
Would I enter this "Order Generated" trade at mark
One of the systems I am running with live money since May 1st is a Donchian variation, and noticed that inn Oats, my entry price was leaped over. Meaning, 20+ days ago, the price of Oats collapsed, so there were several large range bars. Say for simplicity, my buy point was 400. When the 20-day roll...
- Fri May 06, 2011 12:13 pm
- Forum: Futures Markets
- Topic: Do you allow order executions outside of hours?
- Replies: 1
- Views: 2280
Do you allow order executions outside of hours?
Interesting the issues one runs into when one starts to trade money with a partner (either GP or noisy LPs!) Here is one issue: I use GTC orders that are always live. Around 2:00AM this morning, I was filled in one market. My partner in my fund called up this am and was yelling that we are down beca...
- Thu Apr 21, 2011 11:43 am
- Forum: Testing and Simulation
- Topic: Swapping entry day stops to trailing after entry
- Replies: 4
- Views: 3265
- Wed Apr 20, 2011 4:43 pm
- Forum: Testing and Simulation
- Topic: Swapping entry day stops to trailing after entry
- Replies: 4
- Views: 3265
Swapping entry day stops to trailing after entry
I am curious how people handle the changing of stops if one's system uses a particular stop on entry day, and then switches to a trailing or reversal exit on all following days (I believe the Donchian system provided with TB uses this type of logic). Currently I just leave the original stop in while...
- Sat Feb 26, 2011 3:54 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47234
I hope you realize that we are measuring the correlation of Equity Curves Yes, I did read your original post. Therefore the correlation of their outputs (equity curves) is very different than the correlation of their inputs (price data). This is a second, underappreciated, free lunch on Wall Street...
- Fri Feb 25, 2011 7:44 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47234
I am a fan of research like this, and having run smaller variations of this for a grad school project, I can appreciate the computing power necessary to do it! Thank you sluggo. As is mentioned by drm7, rabidric, and AFJ Garner, it is also good to take such research and keep an eye towards the marke...
- Fri Feb 18, 2011 2:22 pm
- Forum: Futures Markets
- Topic: Cotton Lock Limit Day
- Replies: 9
- Views: 6428
As stated above, you can most definitely sell on lock limit up days, and buy on lock limit down days. But just because something is locked limit does not mean it cannot unlock. Today is a perfect example, where CT was lock limit up, and now has reversed and gone lock limit down! So just because some...
- Thu Jan 06, 2011 11:46 am
- Forum: Testing and Simulation
- Topic: Choosing between two similar systems
- Replies: 4
- Views: 3460
Paul, thank you for the suggestion. I haven't thought of doing that because in essence they are the same system; not in the logic or mechanics, but in taking the same trends. For example, an ATR-based entry vs a Bollinger vs an RSI: all these systems will go long and short the same trends, just at d...
- Thu Jan 06, 2011 11:19 am
- Forum: Testing and Simulation
- Topic: Choosing between two similar systems
- Replies: 4
- Views: 3460
Choosing between two similar systems
I wanted to see what people's thoughts are on the following: I have two systems that I have been backtesting for a long time, as well as running them "on paper" for over a year. Having recently bought TB, I've re-run the backtests and walk-forwards as I find this technology much easier to ...