Search found 148 matches
- Thu May 29, 2003 9:30 am
- Forum: Testing and Simulation
- Topic: Win/ loss ratio and system expectancy
- Replies: 16
- Views: 16889
Re Expectancy: I can think of many systems/data combinations that look great over 100 trades and which fall apart over 1000 trades. Sample size when dealing with market data, aka pathological price distributions, is one of the biggest challenges facing system design. Similarly it's probably one of t...
- Tue May 27, 2003 12:50 pm
- Forum: Testing and Simulation
- Topic: Back Adjusting Futures Data
- Replies: 18
- Views: 18960
How to handle these long duration trades in testing? In Trading Recipes and Athena you can have it use the rollover schedule, by market, that you used to create the continuous contracts and they will charge the commission/slip at each roll point in testing. Since roll slippage is much less than tra...
- Tue May 27, 2003 12:26 pm
- Forum: Testing and Simulation
- Topic: Improve Risk:Reward by using different time frames?
- Replies: 20
- Views: 32262
Thanks Gordon...to complete the story, I thought of using initial risk, R, in a trade to base my system analysis on back in 1994. I was looking for a way to normalize expectation calculations as opposed to looking at it $ terms which was next to useless in system design. I viewed a tape from the &qu...
- Wed May 07, 2003 12:05 pm
- Forum: Stocks
- Topic: Stock data
- Replies: 7
- Views: 9161
if you have errors in the real time data you base your trading diccsions on, then wouldn't it be good to have the same errors in the historical data you use to test your systems? In other words: I see a danger to perform the tests on data which is cleaner then the data which you use for real tradin...
- Thu May 01, 2003 2:53 pm
- Forum: Stocks
- Topic: Stock data
- Replies: 7
- Views: 9161
Stock data
From what testing I have tried to do on stocks in the past, I always ran into significant data quality problems that are far worse than that seen in the futures markets. This is particularly true in real time data delivery on stocks. I found that TickData has the cleanest stock data I could find. I ...
- Mon Apr 28, 2003 8:02 am
- Forum: Futures Markets
- Topic: Historical End of Day Price Data?
- Replies: 8
- Views: 11360
TK, I used to use Pinnacle years back, and they do have very high quality data. My main issue with them came when I needed to specify my own rollover schedule by market as opposed to their designed in one. Particularly, on the STIRs (short term interest rate contracts) where they could not do anythi...
- Mon Apr 28, 2003 6:55 am
- Forum: Futures Markets
- Topic: Historical End of Day Price Data?
- Replies: 8
- Views: 11360
Echoing bbc's sentiments: CSI http://www.csidata.com and Tickdata.inc http://www.tickdata.com
- Fri Apr 25, 2003 1:21 pm
- Forum: Stocks
- Topic: Watching Industry Group Action for Trends
- Replies: 10
- Views: 13078
- Thu Apr 24, 2003 1:41 pm
- Forum: Testing and Simulation
- Topic: Equal position size
- Replies: 8
- Views: 10223
- Thu Apr 24, 2003 1:07 pm
- Forum: Futures Markets
- Topic: Rolling to new contracts
- Replies: 7
- Views: 9971
There is not a simple, one size-fits-all, answer to this question. It is highly market dependent. For most markets where you want to be trading the near month, there is usually a specific date when almost all the liquidity rolls to the next month. For example, in something like the CBOT financials, ...
- Wed Apr 23, 2003 7:29 am
- Forum: Testing and Simulation
- Topic: Computing Skid
- Replies: 10
- Views: 10795
- Wed Apr 23, 2003 6:55 am
- Forum: Testing and Simulation
- Topic: Equal position size
- Replies: 8
- Views: 10223
Hopefully the forum will soon allow uploads of images like LeBeau's forum. I have done a lot of research on open risk management as you are referring to, and I could post a few graphs to illustrate the results. With my long term systems, there is some gain to be made in reward to risk measures (i.e....
- Tue Apr 22, 2003 11:43 am
- Forum: Forex
- Topic: Forex and Trendfollowing
- Replies: 9
- Views: 15201
- Tue Apr 22, 2003 11:40 am
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29797
- Tue Apr 22, 2003 11:17 am
- Forum: Futures Markets
- Topic: London Metals Exchange
- Replies: 23
- Views: 30105
- Tue Apr 22, 2003 9:20 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 111543
rs, Therefore, higher volatility on stocks should not stop you trading them it should just make you trade smaller. Yes, that's my thinking. I wasn't trying to imply that high implied vol should stop stock trading in a system...just that volatility should be incorporated...particularly implied volati...
- Tue Apr 22, 2003 7:08 am
- Forum: Forex
- Topic: Forex and Trendfollowing
- Replies: 9
- Views: 15201
damian, In the late 90's I was salivating at the thought we would have DRAM futures (and that they would be liquid enough to trade of course). The trends (mostly down) in DRAM capacity vs. price have been incredible for many years (and of course they would have to add new contracts as new technologi...
- Mon Apr 21, 2003 7:54 pm
- Forum: Trader Psychology
- Topic: Cute from afar, but far from cute.
- Replies: 3
- Views: 5659
- Mon Apr 21, 2003 6:20 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 111543
Leverage is all relative. Just because it's possible to trade some futures with tremendous leverage due to low margin to contract capitalization ratios does not mean it's common (or wise) to do so. Besides, there are hedge funds and proprietary stock trading firms that can (and do) employ futures le...
- Mon Apr 21, 2003 5:10 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 111543
In general, many individual stocks have a much higher implied volatility than futures as a group, which was one of the arguments for higher margins for single stock futures. Given that stocks don't represent any physical commodity, I would agree that they are substantially more prone to overnight ou...