Search found 68 matches
- Thu Jan 13, 2011 3:56 pm
- Forum: Money Management
- Topic: Positive Trade Ratio
- Replies: 2
- Views: 3461
I may be wrong here but ... Sortino uses a different numerator AND a different denominator. The denominator is different in two ways from Gardner's statistic: Sortino numerator: cumulative average return (geometric return) less target return Gardner Numerator: average (arithmetic) trade return. Sort...
- Wed Jan 12, 2011 1:44 pm
- Forum: Testing and Simulation
- Topic: Tests using only closing data
- Replies: 2
- Views: 2406
- Mon Jan 03, 2011 1:29 pm
- Forum: Testing and Simulation
- Topic: counter trend systems
- Replies: 13
- Views: 8788
LTTF systems suffer at the end of a trend. I found that adding a system that attempts to pick potential trend reversals (I used momentum divergences) enhanced returns EVEN THOUGH the top-picking system barely has a positive mathematical expectation. This idea enhances overall return because, even th...
- Fri Dec 31, 2010 6:31 pm
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 49701
Thanks Cordura, Typical delphic response from Bloomberg. As for whether there is money to be made from Price-volume charts, I don't know except to say that IF the volume data contains information THEN one ought to be able to exploit it! I remember a chap named Steve Woods who invented (or at least p...
- Fri Dec 31, 2010 10:45 am
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 49701
Cordura21 That's an interesting chart. Which service provided it - or do you roll your own? I am curious as to the data used to construct the chart. I assume the histograms represent the cumulative trades that executed at a given price divided into those that went at the bid and those at the ask. Bu...
- Sat Dec 18, 2010 10:08 am
- Forum: Futures Markets
- Topic: Transtrend: trading pork bellies
- Replies: 18
- Views: 12490
fib21: Another thing that I'm sure many of the larger firms do is assign a trader to a market or a sector and when there's a signal they spend the entire trading day (or days) buying or selling as many contracts as needed and this could at times equal 100% or more of the average daily liquidity for ...
- Wed Nov 03, 2010 9:12 pm
- Forum: Testing and Simulation
- Topic: Cotton / Blow offs and nasty odours
- Replies: 6
- Views: 4472
- Wed Nov 03, 2010 9:02 pm
- Forum: Testing and Simulation
- Topic: ODD Data in DX
- Replies: 7
- Views: 5055
I use the free CSI data made available on the TBB site. I use an R script to roll my own ratio-adjusted contracts rather than using the Panama-style contracts included in the files. As part of the process I go through a data-validation step checking various characteristics of the raw closes, then I ...