"Backtesting the Original Turtles" : Thread on ET

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Ted
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"Backtesting the Original Turtles" : Thread on ET

Post by Ted »

http://elitetrader.com/vb/showthread.php?threadid=31501

Thought some might be interested in reading the thread on ET. ET is, imho, one of the few places where good traders meet on the net. The forums' archive is a well of ideas and discussions of all sort of subjects. Much is very short-term trading and day-trading, though.

Ted
Forum Mgmnt
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Post by Forum Mgmnt »

Thanks Ted.

Elite Trader is one of the few sites I regularly read.

There's too much fluff and speculation from people who don't know how to trade but there are a lot of good traders there.

I responded to his post. I'm not sure how he did his testing but his results seem totally wrong to me.

- Forum Mgmnt
blueberrycake
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Post by blueberrycake »

Forum Mgmnt wrote: There's too much fluff and speculation from people who don't know how to trade but there are a lot of good traders there.
Unfortunately, you can't always distinguish between the two, hence the need to triple check anything you read there.

-bbc
Ted
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Post by Ted »

blueberrycake wrote:
Forum Mgmnt wrote: There's too much fluff and speculation from people who don't know how to trade but there are a lot of good traders there.
Unfortunately, you can't always distinguish between the two, hence the need to triple check anything you read there.

-bbc
Shouldn't this read "triple check anything you read there and here" :P

But seriously, I don't see the need to distinguish the two. The mentioned triple checking is needed when looking for recipes; ingredients can come from a genius or a fool, I don't care. It's my responsibility, no matter how, whether the final meal is poisoning or not.

Ted
mind
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i started that thread on ET

Post by mind »

our initial results were that stupid that i tried to get some help on the issue by the community. c.f. gave us a hand.

we put three different strategies, one longTermMA-crossover, one turtle like and one system using kind of pyramiding on papertrading sixty trading days ago. that test was fine and we will start real trading this or next week.

we tested modified sharpe ratios of 1.4 for each of the three systems. in combination they total 1.8.

we will continue research, probably try out some walkforward reoptimisation and maybe some pattern recognition as well. but i could easily be the case that trendfollowing works best with simple models.

anyways, i am new to the board here. i enjoy what i have seen so far.

peace
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