Search found 15 matches
- Wed Feb 04, 2004 10:22 am
- Forum: Money Management
- Topic: Accuracy of worst drawdown
- Replies: 10
- Views: 11925
Chris, This is an excellent topic. My belief is that the appropriate way to look at drawdown is subjective. If the suit fits, wear it; if not, try on another one. I look at Monte Carlo simulations, paying close attention to the distributions of possible paths. I also use heuristics to change the pro...
- Fri Sep 12, 2003 9:01 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52557
Menelik, ATR is a price based gauge of volatility. It is a measure of *historical* volatility. A $5 ATR for a $10 stock has exactly the same historical volatility as a $5 ATR for a $50 stock. One is not 5 times more volatile than the other, historically speaking. The $10 stock does not have a 10% AT...
- Tue Sep 09, 2003 8:13 am
- Forum: Testing and Simulation
- Topic: Portfolio Selection for System Development
- Replies: 4
- Views: 6172
Darran, I believe that we all bring biases into everything we do. In trading and testing, I bring a bias toward trading interest rates and (for those who get the joke) FX. This bias derives chiefly from a long career, recently chucked, on Wall Street in bonds (mortgage derivatives, actually). So, I ...
- Fri Aug 01, 2003 8:45 pm
- Forum: Money Management
- Topic: Trading several systems at the same time
- Replies: 6
- Views: 10801
Re: Trading several systems at the same time
One of the things I've fooled around with, is simultaneously trading several extremely-similar systems at once. I wanted to see whether small diversification in entry date/price and exit date/price, would smooth out the equity curve. Mark, Thanks so much for this simulation idea. Recipes will get a...
- Wed Jul 16, 2003 6:37 am
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14912
- Thu Jul 10, 2003 5:55 pm
- Forum: Testing and Simulation
- Topic: Back Adjusting Futures Data
- Replies: 18
- Views: 18994
Re: How does CSI data deal with the rollover?
Doesn't CSI sell contiguous prices? Why would you bother with any other data than CSI ? I use CSI. My concern is with the problem of biased time series (inflation, for example) that may overstate profitability of the trading sytems I test over past data. CSI linearly adjusts prices via its detrend ...
- Thu Jul 10, 2003 4:02 pm
- Forum: Testing and Simulation
- Topic: Back Adjusting Futures Data
- Replies: 18
- Views: 18994
Detrending
Detrending methods can be used to remove an upward (or downward) bias in time series of prices, including continuous, back-adjusted series. This technique may remove any inflationary bias, for example, that might falsely imply that buying is better than selling. Does anyone on this forum use detrend...
- Mon Jul 07, 2003 9:39 am
- Forum: Testing and Simulation
- Topic: Pre-flight check list
- Replies: 4
- Views: 5070
Red, A very thorough analysis is not necessarily analysis paralysis, though the danger definitely, seductively lurks. In fact, thorough analysis is the foundation of a trading method that will, by virtue of its scope, make you comfortable with the resultant method, perhaps removing (but certainly mi...
- Wed Jul 02, 2003 7:42 am
- Forum: Trader Psychology
- Topic: Please Understand Me: Character and Temperament Types
- Replies: 21
- Views: 27319
Thank you, gentlemen. Damian, the framework sounds interesting and worth a thorough perusal. I appreciate your taking the time to make the case for the book. Forum Mgmnt, I have read Jung (and Freud and May and many others) in grad school and can find no better justification than Damian's descriptio...
- Tue Jul 01, 2003 7:34 am
- Forum: Trader Psychology
- Topic: Please Understand Me: Character and Temperament Types
- Replies: 21
- Views: 27319
- Mon Jun 23, 2003 9:02 am
- Forum: Testing and Simulation
- Topic: Long Term vs. Short Term Strategies
- Replies: 8
- Views: 9962
Trading multiple systems
A new topic? Using two or more different trading systems, each with positive expectancy, should provide a trader with more opportunities to trade and, thus, realize on the positive expectancy of the systems. Has anybody had any experiences they would like to share regarding the construction, testing...
- Mon Jun 23, 2003 8:29 am
- Forum: Trader Psychology
- Topic: Dos and Donts of Drawdowns
- Replies: 23
- Views: 30778
These suggestions are from the perspective of the long term trend follower trading in leveraged financial instruments (e.g., futures). The most helpful advice is to understand your personal risk preference/ avoidance profile. This requires experience and a strong capacity for truthful self-examinati...
- Mon Jun 02, 2003 8:40 pm
- Forum: Forex
- Topic: VeriTrade Turtle Edition with Forex?
- Replies: 7
- Views: 9941
Re: Data and stuff..
For data , after months of shopping, I've settled on Olsen. http://www.olsendata.com/index.html?standard_datasets The Olsen data are very expensive; however, they have done extensive scrubbing. Check out their book, I believe the title is "High Frequency Finance." They detail how they fil...
- Mon Jun 02, 2003 2:06 pm
- Forum: Testing and Simulation
- Topic: Do commodities vary in the short term?
- Replies: 7
- Views: 7197
Josh, How does one avoid curve-fitting when determining one market's personality? Is post-dictive error a problem with systems made to fit a single commodity's (financial future's, currency's, etc.) personality? In constructing your TYPE of system (slow or fast, in grades; etc.), test your ideas not...
- Sun May 25, 2003 8:30 am
- Forum: Testing and Simulation
- Topic: Back Adjusting Futures Data
- Replies: 18
- Views: 18994
Backtesting with backadjusted time series
How does one handle commission costs in historical testing across backadjusted time series? Presumably, for long-term trend following systems, a long (short) position may carry over a number of different contract months/years. Commissions are charged on the rollover. Should one simply goose-up the c...