Search found 200 matches
- Thu Oct 06, 2005 10:35 am
- Forum: Futures Markets
- Topic: Correlation
- Replies: 4
- Views: 4433
Correlation
Will you be grouping SB in with CL, NG, HO and HU?
- Thu Oct 06, 2005 9:31 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39569
- Thu Oct 06, 2005 9:09 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39569
Within TB I would like to be able to step between predefined (in Dean's terms, static) portfolios, where the definition of each portfolio could be anything. In this case the definition would be market sector. Then you would be able to take the next step as suggested by nickmar, that being using the ...
- Fri Sep 30, 2005 11:26 am
- Forum: Money Management
- Topic: risk control in all-in portfolio system
- Replies: 11
- Views: 11864
- Fri Sep 23, 2005 6:48 am
- Forum: Money Management
- Topic: Eckhardt is better than Richard Dennis in money management ?
- Replies: 7
- Views: 10727
Our aversion to summary statistics that obliterate structure extends to the trading systems themselves. For instance, we avoid moving averages of price in making trades. Such moving averages are popular mostly because they’re mathematically tractable, but they smooth away all the structural infor...
- Tue Jul 26, 2005 11:43 am
- Forum: Testing and Simulation
- Topic: Requirements before buying backtester software
- Replies: 10
- Views: 9004
- Tue Jul 19, 2005 1:01 pm
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7755
I see Damian made some of my points for me as I wrote my last message. To be clear, Momentum / ATR presents no problem for backadjusted data, if momentum is defined as price minus price some bars back (i.e. a price change described in points). oops, you are of course correct, Jake. :oops: Um, in my...
- Tue Jul 19, 2005 12:31 pm
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7755
....but I can't believe VeriTrader (and any other software) would not get screwed up by gross distortions in the relationship of OHLC. Hi Trendmonkey, Your concern is a valid, but you need to first consider what types of indicators and price relationships a particular system (in VeriTrader or other...
- Thu Jul 14, 2005 7:09 pm
- Forum: Testing and Simulation
- Topic: Requirements before buying backtester software
- Replies: 10
- Views: 9004
In this thread and others I can’t help but detect feelings of perhaps resentment, bad blood, a gung-ho ‘take no prisoners’ attitude. Product developers aren’t our enemy. If you don’t like it then don’t buy it. There seems to be self promoted sheriffs of product quality that rather than j...
- Thu Jul 14, 2005 11:24 am
- Forum: Testing and Simulation
- Topic: Requirements before buying backtester software
- Replies: 10
- Views: 9004
I quite agree with Tim. Intimacy with your testing platform is a very valuable asset as is an established working relationship with those that develop the product. Both can be can be obtained by being involved from the beginning, seeing a little of the intestines behind the scenes and growing moment...
- Thu Jul 14, 2005 10:16 am
- Forum: Testing and Simulation
- Topic: Requirements before buying backtester software
- Replies: 10
- Views: 9004
- Fri Jul 08, 2005 11:32 am
- Forum: Custom C++ or Java Platforms
- Topic: Yet another ATS platform (Erlang)
- Replies: 7
- Views: 11416
- Wed Jun 29, 2005 9:03 am
- Forum: Futures Markets
- Topic: Reported CME / CBOT merger proposal
- Replies: 0
- Views: 2974
Reported CME / CBOT merger proposal
CME being the instigator.
- Tue Jun 28, 2005 10:24 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12698
Yes, I suppose that it is an extreme time frame difference. But that does not imply bad. After all, winning trader Mr John Lynch trades likewise as erstwhile Sluggo referenced ;) In answer to your question, 'what do I mean by LTTF and 1 minute day trading system': system 1: LTTF on 45 markets using ...
- Tue Jun 28, 2005 9:56 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12698
- Tue Jun 28, 2005 7:24 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12698
I am happy with 200-300 trades over 10 years and 50 markets. Each market trading an average of 5 times over ten years seems like a good way to make money to me, particularly when a winning trade lasts for years. In fact, with wider stops I am happy with 150-200 trades over the same period and portfo...
- Tue Jun 28, 2005 6:16 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12698
:D My tongue in cheek cynical attitude is that portfolio selection is at worst blind luck and at best turns pure system trading into discretionary trading. I am not unhappy. My LTTF system produces a hypothetical monthly EC shows a MAR of 3.3, 45 markets, start capital $150,000, with Max DD of 10% o...
- Tue Jun 28, 2005 4:38 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12698
The drawdown was overcome and it has been a steady uninterrupted march to the heavens since then. An understatement. Nice skyrocket. Trend Monkey - I have a few great model systems that look dreadful from Q1 2003 there after. Of course it depends on the portfolio composition. I also have a few that...
- Sat Jun 04, 2005 2:38 pm
- Forum: Data Providers and other non testing software
- Topic: Propane from CSI
- Replies: 11
- Views: 12097
- Thu Jun 02, 2005 9:46 am
- Forum: Money Management
- Topic: risk control in all-in portfolio system
- Replies: 11
- Views: 11864
damian, By typical 1-2% i was referring to how it is often said that you shoudn't risk more than 1-2% on any trade. Such a rule doesn't seem applicable to an all-in system, since in such a system you don't abandon a trade once you lose 1-2%, but rather you take a loss until you get a reversal signa...