Search found 38 matches
- Wed Mar 14, 2012 10:33 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 96186
- Mon Mar 12, 2012 4:46 pm
- Forum: Testing and Simulation
- Topic: Testing Results Question
- Replies: 17
- Views: 11011
It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. With an ...
- Mon Mar 05, 2012 10:14 pm
- Forum: Futures Markets
- Topic: Differences between Micro / Mini contracts Vs Normal
- Replies: 1
- Views: 2239
Re: Differences between Micro / Mini contracts Vs Normal
Hi, I am quite new to Futures and I had a specific query. What is the difference between Micro / Mini contract Vs Normal contract excluding size? i.e what are the price differences between OHLC on a normal contract Vs Mini / Micro contract. regards There are several ways you can do some research on...
- Fri Mar 02, 2012 7:11 pm
- Forum: Money Management
- Topic: Avoiding/reducing taxes
- Replies: 8
- Views: 13072
As a staunch libertarian of the Rothbardian coterie,I can relate to your issue,which for me carries not only a monetary,but an ethical value as well. While taxation is a question of morality and ethics, its greatest impact is mathmatical. Simply compute the difference between $1 compounded (once) a...
- Fri Mar 02, 2012 6:51 pm
- Forum: Testing and Simulation
- Topic: Trading bonds and rates in small lots
- Replies: 3
- Views: 3053
Thank you Sluggo, much appreciated. Yes i found the mini Eurodollar contract. Unfortunately i couldn't find anything on the 10Y note or even international Bonds and rates. There is a mini Eurodollar that trades on CME/IMM, but if you take a look at it you will notice that it has severe problems wit...
- Mon Feb 20, 2012 4:56 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40412
There seems to be an underlying assumption that past performance (from which Sharpe is computed) is indicative, or highly correlated to future performance. My testing has shown me that this isn’t the case. Jack Schwager drew similar, (but not identical) conclusions years earlier in a similar stud...
- Mon Feb 20, 2012 4:49 pm
- Forum: Testing and Simulation
- Topic: Complimentary system to Trend following
- Replies: 20
- Views: 12444
I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know The best thing about this system was it has had 1 trade in 30 years so the commissions and sl...
- Tue Feb 14, 2012 4:09 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40412
- Wed Jan 18, 2012 3:18 pm
- Forum: Data Providers and other non testing software
- Topic: Gold Hourly Data
- Replies: 14
- Views: 12476
- Sun Dec 04, 2011 8:52 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 23892
- Sat Nov 19, 2011 9:54 pm
- Forum: Money Management
- Topic: Will Notional Funding Now Become the New Standard?
- Replies: 10
- Views: 11695
When trading through a publicly listed clearing firm you may also want to build in a rule to change broker when their share price drops by 50% (or whatever number you deem fit). After all we are trend followers. Yes, but is share price the optimal measurement by which we gauge the risk of the insti...
- Thu Oct 06, 2011 10:11 pm
- Forum: Stocks
- Topic: US T-bonds
- Replies: 6
- Views: 7306
I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts. I do not believe there are mini Treasury futures. ZT , ZF , ZN (10y) and ZB (30y) are the Globex (electronic) codes for the Treasury futures, this is how they're represented on the CME's website...
- Thu Oct 06, 2011 10:00 pm
- Forum: Money Management
- Topic: What happens when your porfolio correlates to 1?
- Replies: 4
- Views: 6673
Re: What happens when your porfolio correlates to 1?
One concern is the robustness of this rule. If we want to reduce position size if vol > x% and this rule only is triggered 10 or so times over the life of a test, is it something we should hang our hats on? Although perhaps we are erring on the side of caution if we do... I believe you've hit an im...
- Thu Oct 06, 2011 9:53 pm
- Forum: Testing and Simulation
- Topic: Market filter
- Replies: 10
- Views: 6942
Re: Market filter
Why wouldn't (shouldn't) it be possible?joefcr wrote:is it possible to have filter on Index (like 200 WMA). System will exit all positions if Index falls below 200 Week Moving average.
- Fri Sep 09, 2011 9:55 am
- Forum: Testing and Simulation
- Topic: How do You De-leverage
- Replies: 7
- Views: 6223
- Tue Sep 06, 2011 1:25 pm
- Forum: Testing and Simulation
- Topic: Similar Systems / Different Luck in 2011
- Replies: 15
- Views: 8946
They do not create more pain - thet create more work If you have a portfolio of 100 instruments and therefore you have a 200 orders every day feesibly ?? 100 possible stop entry longs and 100 stop entry shorts With an MOO system you have no orders to watch other than if you get a MOO entry or MOO e...
- Tue Sep 06, 2011 9:44 am
- Forum: Testing and Simulation
- Topic: Similar Systems / Different Luck in 2011
- Replies: 15
- Views: 8946
- Sun Sep 04, 2011 3:36 pm
- Forum: Futures Markets
- Topic: ICE UK Nat Gas (NGL)
- Replies: 7
- Views: 5511
Additionally, I like to double check my full point values by using a mock portfolio from a service like barchart.com, or others. There may be some errors inherent to a free service, especially when you consider that the exchanges themselves can make mistakes. But it adds an added layer of confirmati...