Traders' Roundtable

For futures, I believe that the fact sheets are coming directly from text files so you don't need to export you can just use the file as is. Inside the "archives" folder in your UA folder is a file called "cdbfacts.adm" which contains the commodities fact sheet. For stocks, it ap...

I've found that the price action on the short side is sufficiently different with stocks that I wouldn't even consider a symetric long/short system.

So different that completely different strategies make sense to me and that is what I do in my research.

- Forum Mgmnt

even at what many might consider very conservative levels of 1 - 3 % of equity per trade

.



If 3% is considered conservative, it's no wonder most traders lose money.

I generally don't like to reply to questions like these until others not affiliated with Turtle Trading Software have had a chance to respond. I hate those forums where the answer to every question is "buy our product". If I were to choose from the existing products, Wealthlab is certainly...

levijean, The returns aren't bad for an unleveraged stock system. However, the risk/reward is not good enough to trade IMHO. I'd look for the same level of returns with a 12% to 15% drawdown at the very minimum for an equities system. In order to get this, you will probably need to diverisfy across ...

Wouldn't the Auto Optimization just return the same parameters as you've identified with your Automatic Robustness Check? I'm wondering if you would be in a circular iteration at this point. No, the first pass is optimizing for the goodness function only. The second genetic optimization pass is opt...

"How do I know that this 'proposed set of parameter values' is within the optimal robust range in the first place? What if this parameter set ends up looking robust and reforms well but there is some other set elsewhere in the parameter set that is superior?" Ah, now you get to the real p...

I agree that checking out fine resolution values around the proposed optiimal values is a good idea. This reminds me of the one other robustness checking feature that I think will be useful. What I call the "Automatic Robustness Check": Here's the basic idea, take a proposed set of paramet...

Kevin, :shock: Cool! That's exactly the analysis which 2.0 will have in a new parameter analysis tab. I call these graphs "Parameter Sensitivity Graphs". I was hoping to keep this feature a secret till release but since you already do it, there's not much point. I haven't even told the Bet...

This is a good topic for discussion as it addresses one of the key concepts in trading system analysis. I said a bit on this subject at: http://www.tradingblox.com/articles/optimization_paradox.htm but it would clearly be useful to cover this topic more completely. I have attached a jpg version of t...

Steve, This is really an issue that arises from the much lower leverage available for stock trading in most instances. So the constraining factor becomes the equity available for investment rather than the risk you want to take. If you could borrow money to purchase as much as you wanted the problem...

Dean, When I run tests, I'm generally only interested in getting the best answer to the question: "what results am I likely to get in the future with this aproach?". In the example you outline, a new investor who has $100K for trading is really interested in the system's performance at tha...

VeriTrader 2.0 will be more comprehensive than TradeSim. Based on a perusal of their web site, I note the lack of the following features: Stepped Parameters - The ability to automatically test a range of values for system parameters. In VeriTrader this can be done with virtually any system value inc...

yoyo, We're pretty informal here, addressing me as c.f. is generally better than Faith, that's probably true for Jake as well. It seems to me that what you are going to do here is create a very sophisticated platform for building a curve fit system. I strongly discourage you from proceeding down the...

I'm not trying to be rude, but did you read the posts in this topic?

They answer your question pretty well and address the Kelly Formula specifically.

In order to answer this question properly, we need to know why you want this data and why you think synthetic data is somehow better than actual historical data for this purpose. There are lots of ways to generate synthetic data but each is better suited to some specific purposes than to others. - F...

Look here:

viewtopic.php?t=238&postdays=0&postorder=asc&start=5

Try to read the other topics and if you still have questions post them at the end of the most relevant topic.

- Forum Mgmnt

Does anyone know what's become of the Erlanger Quote product? Have they been releasing updates and improvements? Is it still based on only the QCharts data feed? Are they actively marketing it? I haven't seen anything in a few years, and their site seems the same as when I first saw it over two year...

Just to put things into perspective. The first graph is Friday, which I'd call a bad day. It could have been a lot worse, and you better count on something like this or worse happening to you if you want to stay alive in this business. I was short 1200 contracts of Eurodollars and 600 TBills for Ric...

1) When you say "...Each exit order is targetted against a particular unit...", do you mean that I have to specify my targetted unit when I issue my orders? Or can I simply issue my orders without worrying about the individual units and that Veritrader would automatically determine which ...