Search found 109 matches
- Wed Sep 15, 2004 6:31 pm
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 20059
Here is an update on my experience with the Chande method of creating synthetic data. I decided to take a relatively simple system that has known (to me) performance characteristics on a broad portfolio of 50 futures markets and subject it to synthetic data for the same markets. The synthetic data i...
- Mon Sep 13, 2004 11:10 am
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 20059
Forum Mgmnt, I agree with your idea of using synthetic data as a confirmation check for system robustness. Another way to approach the situation is to develop a system entirely on synthetic data and then do the out of sample testing on the real data. This is one way to keep your system from being cu...
- Sun Sep 12, 2004 3:34 pm
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 20059
- Tue Sep 07, 2004 11:13 am
- Forum: Futures Markets
- Topic: A swan strikes
- Replies: 15
- Views: 15120
- Fri Sep 03, 2004 2:16 pm
- Forum: Futures Markets
- Topic: A swan strikes
- Replies: 15
- Views: 15120
A swan strikes
OK…so maybe it is not quite a black swan, but at the very least a dark gray one. This morning when the employment report came out, some of the bond markets went extremely volatile temporarily. I had stop orders in to enter a long Eurodollar position along with contingent stop loss orders that acti...
- Thu Sep 02, 2004 10:20 am
- Forum: Brokers
- Topic: One broker for Futures and Stocks
- Replies: 5
- Views: 6927
- Wed Sep 01, 2004 4:58 pm
- Forum: Futures Markets
- Topic: A Basic Question: Pit & Electronic
- Replies: 9
- Views: 7824
- Fri Jul 30, 2004 2:22 pm
- Forum: Trend Indicators and Signals
- Topic: changing moving average intervals based upon volatility
- Replies: 2
- Views: 5469
- Fri Jul 02, 2004 10:08 am
- Forum: Trader Psychology
- Topic: dealing with whipsaws
- Replies: 14
- Views: 23468
- Fri Jul 02, 2004 12:24 am
- Forum: Trader Psychology
- Topic: dealing with whipsaws
- Replies: 14
- Views: 23468
www.tradingtribe.com
Only a suggestion. Everyone has their own way of dealing with such issues.
Jake
Only a suggestion. Everyone has their own way of dealing with such issues.
Jake
- Thu Jul 01, 2004 10:27 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 17039
Here is an interesting qoute from Michael Clarke's description of his trading programs. If someone is looking for opinions from those that have been there and done that, then this is one. Clarke certainly qualifies as a succesful trader that is extremely versed in mechanical system testing. He has a...
- Sun May 30, 2004 3:30 pm
- Forum: Testing and Simulation
- Topic: Variability Due to Differing Rolling Algorithms
- Replies: 8
- Views: 7890
RTH vs. consolidated data
I am interested in hearing the views of the board regarding testing and trading on day session only data, rather than composite data that covers non-RTH (RTH = Regular Trading Hours) where they exist. I have made my decision about which to test and trade based on my own testing, but I am interested ...
- Fri Apr 30, 2004 7:26 pm
- Forum: Testing and Simulation
- Topic: Journey to turn the worst system into the best one!
- Replies: 12
- Views: 13609
- Fri Apr 30, 2004 3:12 pm
- Forum: Testing and Simulation
- Topic: Journey to turn the worst system into the best one!
- Replies: 12
- Views: 13609
- Tue Apr 20, 2004 11:26 am
- Forum: Testing and Simulation
- Topic: Designing System Failsafes
- Replies: 2
- Views: 3581
For a different viewpoint, I think that a systematic trading system is much more discretionary than most traders recognize. A trader first uses ultimate discretion in building and testing the system, then in choosing markets to trade, allocating capital to the system, and choosing when to begin trad...
- Fri Feb 27, 2004 9:13 am
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9912
Kevin, I don't think that is too fancy at all. What I would avoid is making small increments in the starting capital until MAR is maximized or you avoid that one trade in October 1987 that created a drawdown spike, and so forth. Using peaks and valleys as starting points in order to gain information...
- Fri Feb 27, 2004 12:19 am
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9912
I agree with both c.f. and stancramer here. c.f. has a good point that you want your system to work with whatever amount of capital you will be trading. Stan has a good point that it is useful to see how different amounts of capital affect your testing results, thus giving you a clue as to the capit...
- Sat Feb 21, 2004 7:19 pm
- Forum: Testing and Simulation
- Topic: Historical Data
- Replies: 31
- Views: 33743
Is historical backtesting on indexes representative for actual index futures trading ? No! Nor is testing continuous contracts and trading actual ones, or testing contracts backadjusted using one method and trading contracts that are backadjusted using another method. Granted, the differences becom...
- Mon Feb 16, 2004 5:26 pm
- Forum: Testing and Simulation
- Topic: Realistic Returns?
- Replies: 1
- Views: 3857
- Fri Feb 13, 2004 12:46 pm
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
Point well taken Mark. I fired up Unfair Advantage and checked several examples using crude. I used a 21 day ATR as calculated by UA. The ATR does seem to stay proportional to price for actual contract data and backadjusted contracts that are raised to prevent negative prices, thus giving an actual ...