Search found 411 matches

by LeviF
Wed Feb 06, 2008 2:25 pm
Forum: Testing and Simulation
Topic: Duplicating results in Way of the Turtle
Replies: 13
Views: 9336

risk %

Than can I ask what % of their account most traders here risk on any one trade?
by LeviF
Thu Jan 31, 2008 6:15 pm
Forum: Testing and Simulation
Topic: Duplicating results in Way of the Turtle
Replies: 13
Views: 9336

Duplicating results in Way of the Turtle

I duplicated the Bollinger Breakout results that are described in the WotT book. The position sizing he used were 0.5% equity / ATR of a given market. This has nothing to do with the stops however, because positions are exited at the 350 day SMA. The actual risk taken on typically varies from 2% to ...
by LeviF
Thu Jan 31, 2008 3:05 pm
Forum: Testing and Simulation
Topic: Reliable number of trades?
Replies: 2
Views: 4120

Reliable number of trades?

How does one know if a system generates enough trades to be statistically reliable into the future? Would 100 trades over 10 years on a basket of 30 futures be adequate?
by LeviF
Wed Oct 13, 2004 1:21 pm
Forum: Testing and Simulation
Topic: Can I buy EOD futures data from someone?
Replies: 3
Views: 6019

Can I buy EOD futures data from someone?

I want 5 or 10 years worth of reliable continous contract adjusted data that I can use for system testing. Please email me at levif@caiowa.com
by LeviF
Wed Sep 22, 2004 9:31 am
Forum: Testing and Simulation
Topic: System performance
Replies: 9
Views: 9404

System performance

What do you consider to be good performance? I have been working on a long/short stock trading system for a while and i'm running out of ideas. My system scans the universe of liquid stocks (about 5,000) and takes a position size of 1% of equity. I have tested the system on the last six years of dat...
by LeviF
Wed Sep 01, 2004 9:12 am
Forum: Stocks
Topic: Shorting Stocks
Replies: 6
Views: 10500

I'm still working on it, and as of today, its nothing to write home about.
by LeviF
Tue Aug 31, 2004 11:48 pm
Forum: Stocks
Topic: Shorting Stocks
Replies: 6
Views: 10500

What is your entry/exit criteria?
by LeviF
Tue Aug 31, 2004 3:09 pm
Forum: Stocks
Topic: Shorting Stocks
Replies: 6
Views: 10500

Shorting Stocks

In my research, i have found that shorting stocks, using a long-term trend following system, doesn't work very well. However, this could very well be because stocks that decline and get delisted no longer appear in traditional data sources. On the other hand it could be that because the long term tr...
by LeviF
Wed Aug 18, 2004 10:35 am
Forum: Stocks
Topic: NASDAQ vs. NYSE
Replies: 1
Views: 5729

NASDAQ vs. NYSE

Has anyone noticed differences between the way NASDAQ and NYSE stocks trade and orders are executed? I'm refering to fills and slippage.
by LeviF
Thu Aug 05, 2004 3:31 pm
Forum: Stocks
Topic: Portfolio Selection Tools
Replies: 0
Views: 5530

Portfolio Selection Tools

Does anyone know of a way to create a portfolio of stocks that exhibited certain characteristics one year ago to then backtest one year later? ie--select a basket of stocks that had a certain PE range one year ago, then backtest them to today.
by LeviF
Fri Jan 02, 2004 12:05 pm
Forum: Stocks
Topic: Stock Volume
Replies: 5
Views: 9350

What % of a stock can be purchased w/out affecting price?

Just out of curiousity.