Traders' Roundtable

Another useful post is HERE . It ran the exact backtesting software program written by an Original Turtle, to test the Turtle System One over a long period of time, including the "historical data" used by Dennis and Eckhardt to develop the Turtle System, and also the actual Turtle trading years ...

Roscoe wrote:Haud Sanctus Carnero Somes Non Verto

Exactly so: cow corpse not become.

1. What is the advantage of setting commissions and slippage to zero? It doesn't make the simulations run any faster. But it does distort the results.

2. Maybe you could optimize the portfolio over a subset of the historical data, like for example 1990 thru 2002. Then you could take the resulting ...

I like to see a system work over a long period of time and a large number of trades. I like to generate equity curves that last for decades of trading and look for periods of unpleasantness, misbehavior, failed edge, etc. (Cheerfully I admit this is not "real world", e.g., no taxes or living ...

It ain't what people don't know that hurts them; it's what they know that ain't so (Will Rogers, Josh Billings, Mark Twain)

First let's admit the obvious: it is possible that Ed Seykota could be wrong. All successful daytraders would say he's wrong. Brett Steenbarger would say he's wrong. Toby ...

And who knows, maybe there is a certain level of optimization that is good. I'm just tempermentally suspicious of any optimization.
Any time you make any choice based on past performance, you are performing an optimization. So for example when you choose mutual funds based on their 5-year and 10 ...

An example of a bad premise is the system that Murray Ruggerio sold in 1997, called "Taylor Bonds Pro". It included some universal market truths such as the following snippets, taken directly from the Taylor Bonds Pro code:
If value1<.40 and Seq[1]=0 and Month(Date)<>9 and Month(Date)<>10 and Month ...

Nobody can tell you whether your idea is good or bad, for that would amount to predicting the future. "Eurodollars will not trend enough to make money" is a prediction of the future.

The best you can possibly hope to do, is decide whether your idea is a good fit to your individual and unique ...

Reggie, the way a Wealth-Lab user specifies money management parameters is to click and pull-down various buttons and menus and dialogue boxes within the WL graphical user interface. You don't specify MM by writing source code in the WL script. note: Veritrader seems to work the same way: you enter ...

There's quite a busy industry devoted to supplying software that performs backtests. A good way to find out about some of the vendors and their products is to purchase the magazine "Technical Analysis of Stocks and Commodities" and read the adverts. They sell this magazine at larger newsstands, and ...

There's absolutely nothing wrong with trading that way. And there's absolutely nothing wrong with getting your trading signals from a Coke bottle that allows you to communicate with super-intelligent beings on Mars. If you haven't heard the (true) story, check it out:
http://www.traderclub.com ...

One thing you can do is ask others for their opinion about your opinion.

Another thing you can do is formulate a hypothesis, design an experiment to test your hypothesis, perform the experiment, analyse the resulting experimental data, and draw a conclusion.

For example, you can hypothesize that a ...

If you read the writings of the titans of fundamental investing, Benjamin Graham and Peter Lynch and Warren Buffet and John Templeton, you'll discover that they don't backtest their strategies at all.

You can perform experiments yourself using, for example, Microsoft Excel. Set up sequences of coin-flips (or dice-rolls, or stock trades, or ...) and then apply Martingale betting to them. Then apply anti-Martingale betting to the same sequences. What do you see? How do the results change, and how ...

Shoot, there's a lot more than two ways to do it! Imagine that all the different entries and exits (of fractional portions of your Overall Position) each represent their own little self contained "sub-system". The final macroscopic Trading System is nothing more than the linear superposition of all ...

I use plain ordinary SA. The problem with ASA is, nobody can get it to work except Lester Ingber :!:

http://portal.acm.org/citation.cfm?id=29864&dl=GUIDE&coll=GUIDE

It's worth reading the Corana et al article, just to have a look at their multimodal test function. Specially designed to give ...

If a trade contains just two instruments (like a long/short pairs trade), you go long S1 shares of instrument 1 at price P1, and you go short S2 shares of instrument 2 at price P2. Presumably you have got some kind of math formula that tells you how many shares to trade on a new entry signal, per ...

I've studied and rejected the idea. I trade "thin" futures markets like Muni Bond and the FINEX cross-rate futures and Lumber and the Russell. (So I'm not competing against the John Henrys and the Bill Dunns of the multi billion dollar CTA world.) Options are either nonexistant or the bid-ask spread ...

Similar reasoning is in this thread
http://www.tradingblox.com/forum/viewtopic.php?p=5423&highlight=investor%2A#5423
If a new customer opens a new account with X dollars, why not immediately put her into the same positions that all the other <customers'> accounts are in? Your choices are (don't be ...

I would risk 70.00 percent of my net worth on each play of this game.

I expect this would result in 50% probability of a drawdown of 98.91% or worse
25% probability of a drawdown of 99.19% or worse
10% probability of a drawdown of 99.76% or worse
5 % probability of a drawdown of 99.90% or worse
1 ...