Search found 154 matches

by LeapFrog
Wed Apr 04, 2007 12:58 pm
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 39413

(deleted)
by LeapFrog
Fri Mar 02, 2007 11:48 am
Forum: Testing and Simulation
Topic: Hypothetical Slippage and Fees
Replies: 2
Views: 4628

Maybe even more interesting than the actual vs. backtest comment is this one: John Gallwas: Do you have an opinion on whether or not the markets have changed since you began investing in futures? Charlie Wright: Most definitely. The major assumption that trend-following managers made in the last 30 ...
by LeapFrog
Wed Feb 28, 2007 6:49 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 50146

Nickmar - truly incredible - thank you so much for sharing this - I could never have programmed this. Once I jiggered all my group names (using global replace in Notepad) to match exactly your strings, this blox ran beautifully. This is a very useful and powerful tool. If a system can produce good r...
by LeapFrog
Mon Feb 19, 2007 4:36 pm
Forum: Data Providers and other non testing software
Topic: CSI vs Pinnacle data ?
Replies: 26
Views: 26682

Cost of CSI Data?

Been looking into getting a CSI subscription and already are running into confusion just understanding their price structure. Emailing back and forth with their sales person is only making things worse. First of all, why is it that they only "allow" customers to buy data from 1982 onwards?...
by LeapFrog
Thu Jan 11, 2007 8:54 am
Forum: Brokers
Topic: Open E-Cry - Gone Quiet?
Replies: 5
Views: 11615

Roscoe, I trade with them every day - as of a moment ago they are still in business. I'm sorry to hear of your experience with them so far though. On your behalf I have emailed both Rick and Daniel to see what the problem is. PM me if I can help you further. - Leapfrog.
by LeapFrog
Sat Dec 30, 2006 1:28 pm
Forum: Testing and Simulation
Topic: Who made money in 2006?
Replies: 10
Views: 10987

Who made money in 2006?

Year end is here and always good to reflect and examine. Looking at my results for the year I did just fine - certainly compared to industry averages that I might compare myself with. I found it interesting though to run all the trading systems that I now have in TB - both the 12 that it came with a...
by LeapFrog
Sun Dec 24, 2006 2:13 pm
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 17971

[quote="Sabrinian"]steady_jake,

I do a lot of system proto-typing in WealthLab and have coded 4 similarly “Greatâ€
by LeapFrog
Fri Dec 15, 2006 2:09 pm
Forum: Futures Markets
Topic: Does a weak dollar lead to rising commodity prices?
Replies: 3
Views: 4432

Re: Does a weak dollar lead to rising commodity prices?

Only asking as there was an article in the Investors Chronicle which proposed that it did. Wrong cause-effect relationship here or not? http://www.investorschronicle.co.uk/content/free/2006/Markets/article_gen_05108.html Can't get to the article 'cause you need a key, but... Depends which commodite...
by LeapFrog
Sat Nov 25, 2006 10:07 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 12969

If you want to compare the results of a private trader against the IASG results of a professional money manager who charges for her services, you may wish to calculate the answers to one or both of these questions: What would my results be, if I deducted the same fees as a pro would deduct? What wo...
by LeapFrog
Mon Nov 20, 2006 8:39 am
Forum: Testing and Simulation
Topic: Testing With RTH Data vs Composite Data
Replies: 3
Views: 4141

A very good question. Not a straight forward answer. What I do is use the pit history for backtesting and signal generation, but trade in the electronic where ever the volume allows. That turns out to be most of the markets I trade, except Rough Rice (the softs aren't electronic yet). It comes down ...
by LeapFrog
Fri Nov 17, 2006 9:05 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 12969

Re: My performance is ? no idea

I can find no reference to what anyone is using as an initial account balance. Without knowing this you can quote all sorts of statistics but it is apples and oranges unless we are all using the same initial amount. Is there some secret number that I don't know about? I have enjoyed reading the pos...
by LeapFrog
Wed Nov 15, 2006 12:49 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39198

Dynamic Portfolio Selelction

I still think Dean is pointing to a good idea here. What I am interested in is designing some tests for it. One thought might be, if I have a large enough universe of products to trade (cars) and a limited number of parking spaces (due to small risk capital) I might want to have in my portfolio posi...
by LeapFrog
Tue Nov 14, 2006 3:30 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39198

Filling and shuffling parking lots.

Thank you Dean for initiating this thread and posting some example results. I've been recently examining this area as a further way of justifying purchasing TB and wonder how far users have gotten with actually doing Dynamic Portfolio Selection (after Tim posted some examples). As Dean's examples sh...
by LeapFrog
Thu Oct 12, 2006 3:12 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 44546

Don't want to get off topic, but this has to be an example of when modeling riks just might not capture an event like today in OJ... Quote: Oct. 12 (Bloomberg) -- Orange-juice futures soared to a 16- year high after the U.S. government said Florida's orange crop will be the smallest in 17 years as c...
by LeapFrog
Thu Oct 12, 2006 2:03 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 44546

BARLI wrote:same with Oats and Corn eh?
More likely traders would be long the Corn and Oats, but the OJ has been trending down, that's why the huge reversal must have caught quite a few - I could easily have been short the OJ coming into today.

I'm long corn and the wheats - for now.
by LeapFrog
Thu Oct 12, 2006 12:50 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 44546

Novie OJ this morning - what a gap up and then some. I was fortunate to be out of my shorts 2 days ago when I didn't like the dull action (inefficient use of my margin money). But oh boy! To be caught in that updraught would be quite sobering - enough to make one want to stop trading. I wonder where...
by LeapFrog
Tue Oct 10, 2006 1:55 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 44546

The one stat that I would be vitally interested in would be the average daily change percentage. Larger daily volatilities (percentage changes) foretell of bigger potential risks in my opinion. I think this metric is one of the most important and simultaneously underused. I couldn't agree more with...
by LeapFrog
Mon Oct 09, 2006 1:25 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 40308

Lumber is limit up today. 8) Anyone's trading Wheat? I am biased its going to 500 cents and then sells off, but we'll see The trick of course was to get in to lumber Friday which requires a very short term trading approach. I doubt any LTTF would be in lumber yet, but they might be soon if it goes ...
by LeapFrog
Thu Oct 05, 2006 12:14 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 44546

Trade outcomes versus equity percentage changes.

One of the several good points Dean makes is doing MC runs on percentage changes in equity (not the trade sequencing of outcomes of wins versus losses). Not yet being a proud owner of TB (soon I hope) can Ted, Tim or any other user tell me if TB does this? Seems fairly important, no? Thanks in advan...
by LeapFrog
Tue Sep 26, 2006 5:42 pm
Forum: Futures Markets
Topic: The New Age of Commodity Trading
Replies: 4
Views: 5691

The New Age of Commodity Trading

Not sure what to call this subject, but what does everyone think of the markets for commodity trading over the past 2 to 4 years? During this period there has been an unprecedented amount of new money poured into trading the little commodity markets (compared to the huge equity markets) and a gazill...