Search found 66 matches

by TK
Wed Aug 25, 2004 6:28 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 48266

Re: New Measures

In this case, there was a 3 in 4 chance that MaxDD didn't exceed 42.3% (or following, a 1 in 4 chance that MaxDD is greater than 42.3%). The question remains: what do you do with the information that the probability of MaxDD greater than 42.3% is 25%? Does it boost your confidence in the system? Do...
by TK
Wed Aug 25, 2004 5:16 pm
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 11240

Forum Mgmnt wrote:It doesn't matter whether you make optimistic or pessimistic assumptions, there is a very large potential for error in either case.
If I insisted on being able to test "pessimistic assumptions" just to be on the safe side, will it be possible in VeriTrader 2.0?
by TK
Wed Aug 25, 2004 10:41 am
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 11240

How does VeriTrader handle stops?

Veritrader testing engine might not treat those stops correctly(No inside bar lookback). If on a given bar both the profit target and stop loss stops may have theoretically been hit, how does VeriTrader handle this situation? The worst-case (and safest) scenario would be to assume that on such days...
by TK
Mon Jul 26, 2004 9:33 am
Forum: Futures Markets
Topic: Which month contract to trade?
Replies: 5
Views: 6334

One possible answer to the Which months to trade question is here: http://www.purebytes.com/archives/omega/1999/msg23934.html If you don't/can't test this solution yourself, then you can at least be pretty sure that the author of this message had done more than extensive research on the subject and ...
by TK
Thu May 27, 2004 4:34 am
Forum: Testing Software
Topic: Multiple-Currency Testing?
Replies: 6
Views: 7401

It is a great feature but most testing platforms don't provide it. I'd say it will widen the gap between VeriTrader and other platforms :D. It seems, however, Trading Recipes allows multiple currency tests: Q15: Can TRADING RECIPES trade markets which are denominated in different currencies? A: TRAD...
by TK
Fri May 07, 2004 9:54 am
Forum: Testing and Simulation
Topic: Forex Data for Backtesting
Replies: 5
Views: 5847

GFT Forex data for download

Efix Polska (the introducing broker of GFT Forex in Poland) provides daily and intraday data for major and Polish currency pairs in Metastock format. These are GFT data and you can download them for free here: http://www.efixpolska.com/dokumenty/?id=7 The Dane historyczne section on the right contai...
by TK
Thu May 06, 2004 2:19 am
Forum: Money Management
Topic: Ryan Jones' Money Management
Replies: 33
Views: 45932

To give a little detail about the system, it starts with FF and adjusts it down for capital, so as the account grows, you will still add contracts, but at an ever decreasing rate. So for the first trade, you might be risking like 8% (yep!) of account value, but when you add the next contract, you w...
by TK
Fri Apr 02, 2004 1:45 am
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 7763

While accounting for all possible tax rates and schemes may be difficult, if not impossible, I think it would be very easy to implement a feature that would allow you to reduce your equity at the end of each year by a user-defined tax rate, be it 10%, 20%, 40% or whatever. So if you paid a 20% capit...
by TK
Wed Mar 31, 2004 9:10 am
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 7763

Taxes

I wonder why no trading system backtesting platform that I know of accounts for taxes. Compounded annual growth rates are calculated as if taxes did not exist. I think taxes are a very important factor to consider. Why do platform designers think otherwise?
by TK
Wed Jan 28, 2004 5:31 am
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 30843

Can you give me a couple of specific examples of something you can't do with the other products that you want to be able I think that the entry/exit module should interact dynamically with the position sizing module. If a program figures out all entries and exits first , and only then determines po...
by TK
Tue Dec 16, 2003 4:10 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 29085

Re: Portfolio heat

to me 30 % of open heat seems huge. One interesting opinion on portfolio heat appeared some time ago on Tharp's forum. Another person, another opinion: I trade a trendfollowing system similar (but not identical) to the one you're talking about. I trade about 30 commodities and limit my total portfo...
by TK
Mon Nov 24, 2003 5:09 pm
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 18922

It seems that you have built a ratio-adjusted contract as proposed by Thomas Stridsman. I think it is the only way to go if you want to get your signals right in systems such as this one: if ATR/C<0.35 then buy from Damian's example . So the Signals are calculated on the "Synthetic" future...
by TK
Wed Nov 19, 2003 5:43 pm
Forum: Testing and Simulation
Topic: Synthetic instruments, based on indicators
Replies: 11
Views: 9947

I went there and... doesn't Habu make you think of someone :?:
by TK
Thu Oct 30, 2003 6:38 am
Forum: Money Management
Topic: Closed-trade vs. open-trade drawdown
Replies: 3
Views: 6980

Closed-trade vs. open-trade drawdown

Hi traders and researchers, Which drawdown figure do you prefer to use when evaluating a trading system: closed-trade or open-trade drawdown? For systems trading multiple markets I prefer open-trade DD calculated every day on the close. I found that closed-trade DD often distorts the reality. For ex...
by TK
Sat Sep 13, 2003 5:17 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 51844

How to define low and high volatility?

In testing different systems for the Polish FW20 stock index future, I liked to use the 2*ATR stop loss and 5% risk per trade to determine my position size. This is the standard % risk model by which your position is bigger when the volatility is low, and it is lower when the volatility rises. Then ...
by TK
Sat Sep 13, 2003 5:08 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 51844

Different systems require different back-adjusting methods

[...] Now, 1 year later and you are building a continuous back adjusted series. - There is a 10 point gap between sep02 and dec02. - Dec is 10 points below sep. - The splice requires the sep02 series to have 10 points deducted from all data points so as to align with the dec02 relative level. - Rem...
by TK
Sat Aug 02, 2003 4:34 am
Forum: Money Management
Topic: Trading several systems at the same time
Replies: 6
Views: 10692

Re: Trading several systems at the same time

I do not know who George Pruitt is, nor to which past "issues" you refer. Would you please enlighten me further? I think Mark referred to the A Trend Follower's Friend or Foe? article by George Pruitt that appeared in the May 2003 issue of the Futures Truth Magazine . Mark, I would like t...
by TK
Wed Jul 23, 2003 4:13 am
Forum: Trader Psychology
Topic: poll for character/temperament types
Replies: 35
Views: 57835

Damian, This could become a long story, so I will save most of it for another time, after all, this is not a discussion about my system. In short, I developed a system that hands down beats any commercially available trend following system I have seen. Please, don't put it off. Tell us your story. Y...
by TK
Mon Jul 21, 2003 1:42 pm
Forum: Testing and Simulation
Topic: CSI Futures Data- anybody know their big point values?
Replies: 8
Views: 7184

Re: What about LB?

Does anyone know why for LB (lumber) CSI lists the contract (#027) size as 80,000 bd feet, while the exchange lists it as 110,000? This is covered as a special case in Bob Fulks's paper on back adjusting futures contracts: http://www.traders2traders.com/papers/backadjusting_futures_contracts.htm Th...
by TK
Mon Jul 07, 2003 6:14 pm
Forum: Money Management
Topic: Timid Equity / Bold Equity - Position Sizing Method
Replies: 8
Views: 13035

Jakub, I understand the logic behind that model and I do differentiate between the two kinds of risks / drawdowns. However, if you use %Risk model and persuade yourself that from that time on the only drawdown to look at will be the drawdown of your initial / timid equity that you want to protect, y...