Search found 148 matches
- Fri Nov 04, 2011 3:04 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
I agree, and I don't have any specific answers about testing per se other than to try to look outside the box past data puts us all in and be really creative about dreaming up potential future paths. The more future potential paths I can accumulate, the more market maps I can dream up, the more reso...
- Fri Nov 04, 2011 2:41 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
- Fri Nov 04, 2011 2:37 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
- Fri Nov 04, 2011 2:08 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
@Chuck B All your posts in this thread resonate very strongly with my own thinking. I too read widely in the various fields of General Systems Theory, Complex Adaptive Systems, Evolutionary Dynamics, Heuristics, some econo-physics, theories of Warfare etc. Your idea of capacitance/inductance of pit...
- Fri Nov 04, 2011 1:41 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
- Fri Nov 04, 2011 12:51 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
Some central banks have gotten MUCH smarter than in years past however. They know they need to make price action reach certain levels to trigger exits in the big guys for example. How many long term trendfollowers are going to remain in the position when a 12ATR move from the prior close against the...
- Fri Nov 04, 2011 11:43 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
The second thing I think about is the the rise of flash crashes. I believe flash crashes come from a mixture of more people trading with stops and high frequency trading. Those two processes together create a feedback loop that can work against trend traders. I have not enough work on this but I do...
- Fri Nov 04, 2011 11:33 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
In an interview in 2000, Jim Simons stated that commodity markets used to trend nicely but don't any more. He was wrong (see gold for a good example). The day human psychology changes and people stop trading based on their emotions, we will have a problem. I don't see that happening any time soon. ...
- Fri Nov 04, 2011 9:16 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
- Thu Nov 03, 2011 4:39 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22118
- Fri Oct 21, 2011 2:22 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13001
BTW, I should mention to those others that ages ago I settled on specific roll date criteria by market to build proper continuous contracts. The specific reasons for a given market's roll date vary depending on said market, but I've never built or used continuous contracts that depend on volume or O...
- Fri Oct 21, 2011 2:20 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13001
There are still people on this forum who deny the accuracy of back testing using gap adjusted price series (leaving aside the question of ratio dependent calculations). Until these guys have actually gone through the matter in enough depth, the penny will not drop. I suppose the market will help th...
- Fri Oct 21, 2011 1:01 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13001
The real point in all this is: 1. Contango. 2. Backwardation; and 3. Price gaps on rollovers. To fail to account for these will give back tested results which are, for all reasonable purposes, completely useless. Don't forget liquidity (lack thereof) in the non-front-month contract. For example, if...
- Thu Aug 18, 2011 9:14 am
- Forum: Futures Markets
- Topic: Aug 2011: Can't short these Stock Index Futures
- Replies: 14
- Views: 10849
Updated details for the CAC futures:
http://www.amf-france.org/documents/general/10111_1.pdf
http://www.amf-france.org/documents/general/10111_1.pdf
- Wed Aug 17, 2011 4:38 pm
- Forum: Futures Markets
- Topic: Aug 2011: Can't short these Stock Index Futures
- Replies: 14
- Views: 10849
The bigger picture here is also interesting Europe (excluding Germany) cannot even organise a short selling ban without causing mass confusion via its only inability to come up with a coherent policy / framework on what you can and cannot do - Am being told that certain funds are challenging the po...
- Tue Jul 26, 2011 11:24 am
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15122
Let us not forget soon-to-be professional trader LeviF's recommendation: Simultaneously trade several copies of your trend-following system, where each copy uses the exact same entries but different exits, arranged thus: Let copy #1 be the original, unmodified system which Lets Profits Run a la tre...
- Thu Jul 21, 2011 9:06 am
- Forum: Futures Markets
- Topic: YTD performance of Trend Following Wizards
- Replies: 5
- Views: 5051
Re: YTD performance of Trend Following Wizards
It would be interesting to know, if or what these 4 Wizards with "black" YTD numbers have in common? The answer is most likely nothing. It could range from asset selection to risk sizing algos, discretion (i.e. recognizing after the huge 2+ year run-up that the Bin Laden execution was &qu...
- Fri May 13, 2011 9:01 am
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6424
- Thu May 12, 2011 1:16 pm
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6424
From a practical perspective, I have gotten good ideas from looking at the equity curves and/or trades of other managers. While it may be impossible to exactly reverse engineer the system, it is possible to obtain useful information from such an exercise. At the very least you might come to the con...
- Thu May 12, 2011 11:31 am
- Forum: Testing and Simulation
- Topic: How to realise the system is obsolete
- Replies: 7
- Views: 5443
Re: How to realise the system is obsolete
The turtles system, highly succesful as it was in the 70s and 80s became obsolete with its standard parameters in the 90s. Drawdowns and bad performance persisted since then. The system whilst profitable still had temporary periods of bad performance, sometimes going for years before a turnaround. ...