Search found 26 matches
- Wed Sep 14, 2011 5:48 pm
- Forum: Testing and Simulation
- Topic: Blox for testing entry based on percentage move?
- Replies: 5
- Views: 4265
Thank you rgd, ingenious great start. Thank you Eventhorizon. I assume you are talking about futures contracts? I would be grateful if you have time you could give a simple and obvious example. Testing so far has shown some very strange trades which may be my programming or directly related to your ...
- Tue Sep 13, 2011 5:17 pm
- Forum: Testing and Simulation
- Topic: Blox for testing entry based on percentage move?
- Replies: 5
- Views: 4265
Blox for testing entry based on percentage move?
Is there an entry blox with a pararmeter for % instrument change?
If not can anyone give me some clues on how to program blox to do so?
% change could be from test start date.
TIA
Medius.
If not can anyone give me some clues on how to program blox to do so?
% change could be from test start date.
TIA
Medius.
- Wed Feb 17, 2010 9:28 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Jez, One way round this might be to run your TB simulation with say $1,000,000 and risk set to your desired level. Then trade using 1-5% of your own account size utilising the stops exits and entries generted by TB. Subject to your account size you may need to modify your TB portfolio to reflect the...
- Fri Jan 22, 2010 6:27 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Jens You mention you operate using a 6 ATR stop may I ask how much you risk per trade in terms of percentage of your account? If I adjust the stops on my simulation to 6 ATR I go from a simulated 29% CAGR to 10% and TE DD of 22% down to 15%! Using data from 1996 to today. Regards Medius Sluggo and a...
- Fri Jan 15, 2010 1:26 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Hi Matt, I've been using a combination of solutions. 1. Firstly I try not to advertise stops to the market at all. (Unless I'm being compromised by my own account size related issues running out of margin etc). My account size is a lot less than the $1m recommended. 2. I bought TB builder. 3. I down...
- Thu Nov 19, 2009 11:18 am
- Forum: Testing and Simulation
- Topic: Volatility Pumping or CRP Constant Rebalancing Portfolio?
- Replies: 5
- Views: 4329
- Thu Nov 19, 2009 10:12 am
- Forum: Testing and Simulation
- Topic: Volatility Pumping or CRP Constant Rebalancing Portfolio?
- Replies: 5
- Views: 4329
I've written a Risk Management block to readjust stops based on riskEquity and a frequency parameter (none,daily, weekly monthly and yearly). The next step is to test readjusting/rebalancing by selling into the market and repurchasing. This I've written but I'm not sure the additional orders are bei...
- Fri Nov 13, 2009 7:31 am
- Forum: Testing and Simulation
- Topic: Volatility Pumping or CRP Constant Rebalancing Portfolio?
- Replies: 5
- Views: 4329
For the purposes of testing rebalancing can we? Automate contiguous simulations ? If so how? And can we pass the End Balance (or any other simulation results like positions exited due to test end etc) of one simulation to the Test Starting Equity of another? (Without having to do it manually). My ap...
- Thu Nov 12, 2009 12:49 pm
- Forum: Testing and Simulation
- Topic: Volatility Pumping or CRP Constant Rebalancing Portfolio?
- Replies: 5
- Views: 4329
Volatility Pumping or CRP Constant Rebalancing Portfolio?
Hi,
Has anyone developed blocks for Volatility Pumping or CRP?
Or can anyone suggest how CRP may be simulated with existing blocks?
Thanks in advance
Medius
Has anyone developed blocks for Volatility Pumping or CRP?
Or can anyone suggest how CRP may be simulated with existing blocks?
Thanks in advance
Medius
- Wed Oct 21, 2009 2:37 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Fri Oct 16, 2009 10:26 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Ok Levijean point taken thanks for letting me know. TB builder is on the shopping list, but, right now I suspect it would be like giving a 5 year old child an Indy car to learn to drive in. I'm happy finding the limits of my understanding of probability, simulation and reality using TB Turtle. Too m...
- Thu Oct 15, 2009 12:08 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Any trader using a buy on open strategy have a rule for executing the trade in the market like using a limit order, waiting for the US open or just buying at local (say UK) market open immediately? Since trying to follow the simulation the exits have been good but an entry today although better than...
- Thu Oct 08, 2009 5:02 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
The system hadnt but I had! I'm using a Donchian system with a fairly hefty offset for the exit breakout. In testing, exiting on the day of the signal, not the preferred open of the following day, things seem ok. CAGR just slightly less than the MAX TEDD. Manually running the system as Levijean sugg...
- Thu Oct 08, 2009 4:15 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Thu Oct 08, 2009 11:11 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Tue Oct 06, 2009 9:55 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Tue Oct 06, 2009 9:37 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
Lazy may be...but it sounds like youve done a lot of work, thinking and testing up front. Gives a whole new meaning to LTTF though. I'm using TB Turtle edition at the moment so unfortunately I cant make the code changes you suggest. I'm wondering how I can approximately simulate the trade entry and ...
- Tue Oct 06, 2009 4:48 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Mon Oct 05, 2009 5:29 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516
- Mon Oct 05, 2009 3:10 pm
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23516