Search found 18 matches
- Sun Apr 29, 2012 5:00 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47773
One question about this. We don't have any guarantees that these equity curve return correlations are stable. More precisely the best fit lines may change their slopes when future data is added. To address this issue one simple suggestion (or maybe you already done this?) Anyway, suggestion is two s...
- Thu Nov 10, 2011 12:54 am
- Forum: Data Providers and other non testing software
- Topic: export data into .csv
- Replies: 1
- Views: 2916
- Thu Nov 10, 2011 12:36 am
- Forum: Data Providers and other non testing software
- Topic: export data into .csv
- Replies: 1
- Views: 2916
export data into .csv
I can't find a way to export data from csi's UA into .csv file or any kind of text file.
Is this possible?
Is this possible?
- Sun Oct 30, 2011 4:42 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39806
frequent contracts
"Roughly speaking, it takes more than 10 or 15 bars of hold time to get the average profit per trade above the commission and slippage costs ($100/contract)" It's believable but how then it could be profitable to trade futures with monthly contracts (like oil) ? Wouldn't commission and sli...
- Sat May 15, 2010 12:08 am
- Forum: Brokers
- Topic: What brokerage company do you use?
- Replies: 10
- Views: 12817
TS and IB
I've been using Tradestation for 3 years. I mostly trade forex and TS is not a very good broker for that. Their forex spreads are about twice as large as IB's. But, I can't leave without their charts. (I don't use any tech analysis, only raw price). Finally, I had a revelation: why not look at TS's ...
- Mon Aug 10, 2009 1:15 am
- Forum: Testing and Simulation
- Topic: portfolio question
- Replies: 12
- Views: 8147
portfolio question
I would like to build a list of 25 or so low correlated markets to test my systems. Does anybody have a suggestion on how to go about creating such a list? I want it to include stocks, forex, and futures traded at different exchanges. I would really appreciate if you give me an example of a portfoli...
- Sun May 03, 2009 10:49 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 9613
Re: survivor bias
It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not includ...
- Sun May 03, 2009 8:07 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 9613
Re: survivor bias
It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not includi...
- Sun May 03, 2009 2:52 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 9613
survivor bias
Hi all, I've recently done an experiment testing a system on a free database of currently traded stocks (yahoo) and purchased database free of survivor bias. I'm glad I bought that data because the performance on the latter was significantly worse. Even though the system buys supposedly strong stock...
- Mon Mar 23, 2009 4:52 pm
- Forum: Brokers
- Topic: non-US markets
- Replies: 9
- Views: 12315
non-US markets
Hi,
I wonder if someone could recommend a good broker for trading worldwide markets. My current brokerage (Tradestation) doesn't allow this. I think IB does but I'm not sure.
thanks,
t.
I wonder if someone could recommend a good broker for trading worldwide markets. My current brokerage (Tradestation) doesn't allow this. I think IB does but I'm not sure.
thanks,
t.
- Sun Mar 22, 2009 4:58 pm
- Forum: Testing and Simulation
- Topic: slippage on rollovers
- Replies: 2
- Views: 2771
- Sun Mar 22, 2009 12:39 pm
- Forum: Testing and Simulation
- Topic: slippage on rollovers
- Replies: 2
- Views: 2771
slippage on rollovers
Hi, I'm testing a system assuming all buy entries happening at day's high and sells at day's low. But, if I do the same brutality on every rollover it kills the system which is not too surprising perhaps. My question is what's a good assumption for slippage at rollover points? Separate question. I'm...
- Sat Mar 07, 2009 6:00 pm
- Forum: Testing and Simulation
- Topic: Portfolio size
- Replies: 8
- Views: 5887
Thanks, alp. I have a question, though. Can a slippage really be 5%? That seems unbelievable to me. My current trading is 99.9% is in stocks on N-tick charts in Tradestation. I'm used to fighting for every tick (only exception is when it feels like a monster trend is coming then good fill could actu...
- Fri Mar 06, 2009 11:40 pm
- Forum: Testing and Simulation
- Topic: Portfolio size
- Replies: 8
- Views: 5887
Re: Portfolio size
I wonder: if the system cannot take all signals, why would it trade a bigger portfolio in the first place? . Well, it's probably better to have more signals than you can handle, then less. In fact, maybe it is better to have very large portfolio but keep track of signal sequence and take only the e...
- Thu Mar 05, 2009 5:34 pm
- Forum: Testing and Simulation
- Topic: Portfolio size
- Replies: 8
- Views: 5887
Portfolio size
Let's say your system enters at the new N-high/low and exits after K bars (trend following system that is) and has no other exits. What 's an optimal portfolio size for such a system? Here is why I'm asking this. Consider the situation in which you are fully invested and system gives an entry signal...
- Tue Mar 03, 2009 4:21 pm
- Forum: Testing and Simulation
- Topic: R-cubed
- Replies: 4
- Views: 4924
- Fri Feb 27, 2009 3:54 pm
- Forum: Testing and Simulation
- Topic: R-cubed
- Replies: 4
- Views: 4924
Thank you for pointing out r-squared, however neither L1 nor L2 distance ignores the duration of drawdown. If equity curve spends a long time away from RL, they both will reflect that as you'll have many large terms in the sum. If you keep both distances then it lets you make additional conclusions:...
- Fri Feb 27, 2009 2:50 pm
- Forum: Testing and Simulation
- Topic: R-cubed
- Replies: 4
- Views: 4924
R-cubed
Recently I read "way of the turtle" (that's how I discovered this forum). Great book! Especially given the preponderance of low quality TA books out there. One suggestion I thought of is a possible improvement over R-cubed measure. The way it's defined involves making choices (considers N ...