Search found 126 matches
- Tue Aug 30, 2011 11:01 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9189
- Tue Aug 30, 2011 3:15 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9189
- Mon Aug 29, 2011 3:21 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9189
sluggos points aside, bobsyd, i think you are correct. I have for many years tried to stucture my parameter selection around the idea of percentage stepping. given that a dedicated %step feature has not been available( in this or many other backtest software), there is not a huge penalty to just &qu...
- Mon Aug 01, 2011 10:48 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18649
- Fri Jul 29, 2011 12:19 pm
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15256
- Fri Jul 29, 2011 3:24 am
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15256
If you are really interested in correlations of trading strategies then look up the works by Emmanuel Acar and Pierre Lequeux where they derive what the correlations between trading rules (MA) based on length should be under various time series properties and then look at some of the empirical data...
- Mon Jul 25, 2011 3:24 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18649
that joe ross advice is terrible, just terrible. imho ofc. Years ago i used to trade various yield curve spreads and butterflies, and some index spreads too. Whilst legging in and out of spreads is ok for a scalper who is using microstructure to his advantage, legging longer term positions was gener...
- Fri Jul 22, 2011 3:07 am
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15256
i have looked at diversified multiple n-day breakouts(i.e. 4+ per product, not 1-2) in the past. My conclusion was that it was horribly inefficient in terms of capital usage, and the diversification was not as spectacular as i would have hoped for.. i.e. it is diversified most of the time and makes ...
- Wed Jul 13, 2011 7:56 am
- Forum: Testing and Simulation
- Topic: Curve Fitting
- Replies: 6
- Views: 4358
- Thu Jul 07, 2011 7:18 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49319
- Tue Jul 05, 2011 2:37 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49319
which is why shorts after blowouts are so depressing-> the declining volatility works against you and the slow collapse inevitably lasts so long you end up with pathetic delta exposure compared to newer positions in vega growth contracts. one would think therefore that playing around with position-s...
- Fri May 27, 2011 11:53 am
- Forum: Trend Indicators and Signals
- Topic: On Heuristics
- Replies: 2
- Views: 5088
- Fri May 27, 2011 6:13 am
- Forum: Trend Indicators and Signals
- Topic: On Heuristics
- Replies: 2
- Views: 5088
On Heuristics
For the last few years this field has been one of my favourite areas for inspiration w.r.t. trading rule creation and logic structuring. I strongly recommended a book about it a few years ago on this forum but the post went largely unnoticed I think. Here is a pdf which is a broad brush overview for...
- Tue May 24, 2011 8:30 am
- Forum: Testing and Simulation
- Topic: tracking intraday sequences (time stamps) on daily bars
- Replies: 14
- Views: 10695
given the perversity of markets and their tendency to take an indirect route from A to B, I would start with assuming the market will take the LONGEST route! :wink: i.e. O>C then assume O->L->H->C !!!! of course this isn't the case with trend days etc. in the end it is probably a 60/40 - 50/50 chanc...
- Mon May 23, 2011 4:00 pm
- Forum: Testing and Simulation
- Topic: tracking intraday sequences (time stamps) on daily bars
- Replies: 14
- Views: 10695
don't underestimate the market's ability to touch at/near the high and low multiple times. It happens more often than you would think. e.g. a 0.5-1 ATR stop if coupled with a re-entry might get whipsawed 2,3 or more times. this is especially the case on days with major figures where the market can't...
- Fri May 13, 2011 8:43 am
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6454
Easy Tiger, i'm sure Chuck wasn't making a personal slight on what you do with your time. 8) Besides, if an exercise that generates research ideas takes up lots of time and yields very low informational gain, then that time could probably be spent on another exercise that generated BETTER, USEABLE i...
- Fri May 13, 2011 8:20 am
- Forum: Testing and Simulation
- Topic: How to realise the system is obsolete
- Replies: 7
- Views: 5477
Yes. I refrained from saying it earlier, as I wasn't sure if it might come across too strong and personal, but for what it is worth, ALL of the methods outlined in longmemory's post are some of the worst ways to approach this kind of problem that you can find. The more arcane and obtuse the method ,...
- Fri May 13, 2011 7:57 am
- Forum: Testing and Simulation
- Topic: Trading a large number of systems without a large account
- Replies: 9
- Views: 13747
I looked into this idea a few years ago actually. The conclusion I came to was that digital position(1,0,-1) derived from aggregated votes was noticeably inferior to a analogue position of their cumulative position. In the long run. I accept that it is a way of hedging multiple inputs into a single ...
- Mon Apr 18, 2011 4:12 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 97875
- Fri Apr 01, 2011 3:54 am
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5196
:D lets not forget the butterfly effect! your 1 lot triggers a snowball of orders that , while not giving any slippage to that order itself, triggers a black swan blow out of a 25ATR multiple consecutive limit days price spike, which results in your other 3 strategies/units all getting filled at obs...