Search found 49 matches

by bobsyd
Tue Nov 10, 2009 3:38 pm
Forum: Testing and Simulation
Topic: Does TBB support walk-forward tests?
Replies: 10
Views: 9649

Tim, didn't see your post before I made mine. Don't understand the issue with

"the out of sample data becomes in sample far too quickly, so the benefit of this approach can be overstated"

Could you please expand on this?
by bobsyd
Tue Nov 10, 2009 3:33 pm
Forum: Testing and Simulation
Topic: Does TBB support walk-forward tests?
Replies: 10
Views: 9649

The only way I've been able to do it is to: 1. Set up Print Output to print dates, parameter values and objective function (eg MAR) you want to optimize 2. Do optimization run using start date stepping 3. Sort Print Output by date then by objective function in Excel 4. Do walk forwards based on best...
by bobsyd
Mon Jul 06, 2009 4:46 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 50202

What do you mean by "GARP-style filter"? Perhaps an example?

Thanks.
by bobsyd
Wed Apr 22, 2009 3:18 am
Forum: Brokers
Topic: FX Rebates
Replies: 0
Views: 4955

FX Rebates

Anyone have any experience with FXRebates or similar firms? http://www.fxrebates.com/ Seems too good to be true, what's the catch - perhaps an indication the spreads are too high on the brokers they cover? However, one of their brokers is FXCM, which seems reasonably competitive on retail FX. Thanks.
by bobsyd
Sat Jan 24, 2009 4:32 pm
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 5725

Alp and everyone Would be very interested in your objective criteria for reoptimisation time intervals. My current thinking is as short as possible taking into account 90% remaining degrees of freedom and having at least 50 trades. Of course the reoptimisation process itself may yield results with l...
by bobsyd
Sun Jan 11, 2009 12:33 am
Forum: Brokers
Topic: Brokers with downloadable data
Replies: 0
Views: 4839

Brokers with downloadable data

Interested in names of brokers (and positive or negative experiences with them) whose platforms allow historical data export in a format which can be used for testing in Trading Blox. In general, I've found data exportable to Excel can be manipulated to format accepted by TB. It would seem to me a b...
by bobsyd
Sun Jan 11, 2009 12:13 am
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 5517

Thanks. Had a quick look, GFT EURUSD looks reasonably OK from May 1999 and EURJPY from around same time. GBPCHF seems to have more issues. Noted from GFT's website that they started in 1997, so perhaps reasonably OK for majors from mid 1999. This is getting "off/topic" a bit so I'm going t...
by bobsyd
Sat Jan 10, 2009 3:43 pm
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 5517

I was responding to Levijean's initial query & was referring to gold and silver spot CFD's. Alp, curious about your "not of high quality" comment. From what perspective? I've assumed, perhaps wrongly, that their easily accessible history (eg for forex, major currency pairs from 2005) r...
by bobsyd
Sat Jan 10, 2009 2:08 pm
Forum: Testing and Simulation
Topic: Gold & Silver cash price data
Replies: 7
Views: 5517

Try an account with GFT, you can export data from their charts.