Search found 23 matches
- Fri Apr 19, 2019 4:06 am
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
Roger, It is better with split remainder set to FALSE although 1. I have the same suite, system, blox and scripts as Anthony as well as using unadjusted data and he has his setting on true in the virtual TB and he doesn't get the small transactions. Capture 3.JPG Capture 4.PNG 2. I still get not rou...
- Thu Apr 18, 2019 1:13 pm
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
Thanks
- Thu Apr 18, 2019 10:29 am
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
Anthony,
I am running your code on my TB and I get a lot of small exit trades every day, quantity less than 1 associated with rule "Split Remainder", has this happened to you ? I had not come across it before and don't know the reason.
I am running your code on my TB and I get a lot of small exit trades every day, quantity less than 1 associated with rule "Split Remainder", has this happened to you ? I had not come across it before and don't know the reason.
- Thu Apr 18, 2019 8:25 am
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
I hope I remember correctly that if one uses the unadjusted close TB does all the math for you. It compares unadjusted with adjusted as you go along. If I have remembered incorrectly and used the wrong series perhaps Tim will be kind enough to correct me. Easy enough to rectify. Take a look at the ...
- Thu Apr 18, 2019 8:13 am
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
Thank you both Anthony and Roger. Regarding stocks I am not sure if the appropriate price to use it adjusted or unadjusted. I assume it makes sense to always adjust for stock splits otherwise results would be affected. Also if the system is a low turnover system the results would need to consider th...
- Tue Apr 16, 2019 6:31 am
- Forum: Practical ETF
- Topic: Dual Momentum
- Replies: 11
- Views: 10414
Re: Dual Momentum
Anthony,
Why do you use unadjustedclose rather than close ?
Why do you use unadjustedclose rather than close ?
- Thu Apr 04, 2019 6:03 am
- Forum: Practical ETF
- Topic: Periodic Rebalance Fixed Percentage
- Replies: 3
- Views: 3279
- Wed Apr 03, 2019 6:38 am
- Forum: Practical ETF
- Topic: Periodic Rebalance Fixed Percentage
- Replies: 3
- Views: 3279
Re: Periodic Rebalance Fixed Percentage
Thank you for your generous work. I have been coding TAA strategies for a while and your code has given me some very useful ideas on how to improve what I have done and make the code more elegant. I am struggling with rebalancing on a suite level. If you were to combine some of the systems you have ...
- Wed Jul 01, 2015 4:38 pm
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Re: Dual Momentum Gary Antonacci
Correction its 40 Years so 95% remaining degrees of freedom.
- Wed Jul 01, 2015 12:42 pm
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Re: Dual Momentum Gary Antonacci
I don't disagree with you. The backtest gives good results and momentum anomaly is well known. What I am saying is that we have been in a market regime over the sample period where: 1. Bonds have always gone up, so everytime it would switch out of equities it would have had a high chance of still ma...
- Tue Jun 02, 2015 7:26 am
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Re: Dual Momentum Gary Antonacci
Thank you. I tested the simple model in the book with TB. It does give very few trades so I take AFJ point plus the test is in period where both equities and bonds have gone up so the long only aspect of his thesis worked well.
- Tue Mar 31, 2015 1:52 pm
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Re: Dual Momentum Gary Antonacci
Thank you Tim and no offence taken AFJ, you have contributed plenty of good stuff to this forum so thank you too.
- Tue Mar 31, 2015 10:34 am
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Re: Dual Momentum Gary Antonacci
Thank you for your replies, I may have unwantingly touched a sore point here. It is not my intention to ask for someone to code for me. I was rather looking for some suggestions such as "use a portfolio manager blox with grouprank functions" or something of that order. I have been trying t...
- Mon Mar 30, 2015 12:32 pm
- Forum: Testing and Simulation
- Topic: Dual Momentum Gary Antonacci
- Replies: 15
- Views: 32940
Dual Momentum Gary Antonacci
Have any of you tested the Global Asset Allocation Strategies suggested by Meb Faber and Gary Antonacci ? AFJ Garner has posted negative views on them but I was wondering if any of you had tested them and had some TB code to share or suggestions on how to build it. Specifically the one suggested by ...
- Tue Dec 04, 2012 11:32 am
- Forum: Testing and Simulation
- Topic: CSI Futures roll Aligned with Data or Nex Day
- Replies: 3
- Views: 2844
- Tue Dec 04, 2012 11:23 am
- Forum: Testing and Simulation
- Topic: CSI Futures roll Aligned with Data or Nex Day
- Replies: 3
- Views: 2844
Yes I see your point for fixed rolls. If one wanted to go the OI Vol trigger I was wondering what usee are the settings other that the 2 day lagged one. Why are they even there if they cannot simulate real trading ? If they are there for a reason I'd be interested to know when do people use them if ...
- Mon Dec 03, 2012 12:46 pm
- Forum: Testing and Simulation
- Topic: CSI Futures roll Aligned with Data or Nex Day
- Replies: 3
- Views: 2844
CSI Futures roll Aligned with Data or Nex Day
Given the delay in getting Open Interest Data and the possible inaccuracy of Volumes until day +2. In which occasion would any of you roll CSI futures with the Aligned with data or Next day settings ?
Is seems the only option is rolling Lagged (2nd Day) ?
Is seems the only option is rolling Lagged (2nd Day) ?
- Fri Oct 19, 2012 10:11 am
- Forum: Testing and Simulation
- Topic: Renko charts
- Replies: 1
- Views: 4361
Renko charts
I was shown Renko charts http://www.investopedia.com/terms/r/renkochart.asp by a trader who uses them as a counter trend entry into a trend. Ignoring the time element in a chart ( like point and figure) and focusing only on price direction instinctively makes sense as a tool to have in a trend follo...
- Mon Apr 30, 2012 2:03 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Beta 120
- Replies: 11
- Views: 14272
- Mon Apr 30, 2012 6:45 am
- Forum: Data Providers and other non testing software
- Topic: CSI Beta 120
- Replies: 11
- Views: 14272