Traders' Roundtable

Some new systems testing programs are being offered for sale to the public, including but not limited to: Mechanica, Traders Studio, Trading Blocks Builder, MechTrade . These programs offer the capability to perform historical back-testing of mechanical trading systems, including advanced features l...

Using the All Liquid portfolio of data that comes "out of the box" with Veritrader, I get MAR's 1.5 to 1.75, not 1.0. An example using the Dual Moving Average system produced the stats here. Standard Veritrader commissions and slippage as recommended by DanG were used, including zero inter...

The vast majority of WL users seem to be stock traders, while the vast majority of TR users seem to be futures traders. WL was just acquired by Fidelity and some people are worried about whether the software customers of WL will be abandoned by Fidelity. (which is exactly what happened to the softwa...

The good news is, there are some wonderful tools available to help you with your research and they don't cost a lot of money. Among the dozens on the market, that you can find using a search engine like Google, are ProSizer ($39) and Market System Analyzer ($149). Programs like these will let you tr...

In my opinion there are several things wrong with that website (and O'Shaunessy's book DotD) They quote an arithmetic average of the yearly returns, when in fact what matters is the Compounded annual growth rate They don't present any "pain" data (such as maximum drawdown %, duration of lo...

What historical returns and drawdowns have you seen for "anti-trendfollowing" systems and/or "non-trendfollowing" sysems? If you blend some trendfollowing systems with some anti-trendfollowing systems, do the results shift in a direction which pleases you? For example, with Verit...

I'm experimenting with a system that fits your 1) 2) methodology above, but it isn't very Toby-Crabel-esque since it doesn't enter intraday. The system is approximately the Congestion Phase system of Eugene Nofri, as described in Perry Kaufman's book Trading Systems and Methods . In the 1987 edition...

This was discussed on the Van Tharp chatboard last month, http://www.mastermindforum.com/phorum/read.php?f=9&i=7969&t=7969&v=f and here is a sample: In quite a number of cases the motivation for "replicating the analysis" is timidity, lack of confidence. Re-doing something that...

You might be interested in this thread. Free software!
viewtopic.php?p=3917

two words: Robo Broker

The German geniuses who run Wealth-Lab, are quite enamored of Martingale betsizing. No sarcasm. The very top ranked free systems on their website, are pure Martingale: Buy low. If it goes lower, buy more. If it goes still lower, buy still more. Really. These are stock systems and for consistency's s...

A very reasonable compromise is roll over six times per year. After an email acquaintance suggested this, I tried it out and found it satisfactory. I trade the even numbered months (G J M Q V Z) mostly because I definitely want to be in the December contract (Z), which is extremely liquid. It's a pr...

I am in complete agreement with this analysis:
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The way people often describe it, is "measure the correlation of the equity curve returns [/b]." If you're testing without positionsizing (such as one-lot tests), returns = ( equity - equity[(i-1)] ) If you're testing with positionsizing (such as fixed fractional), returns = ( (equity / eq...

You describe a method that works in input-space: create a Frankenstein's monster of spliced-together pieces of price series. Another methoud would operate in output-space: splice together pieces of equity curves. Start by assuming one "trading system" and N instruments. It'll be easy to ge...

Two questions that could be asked are I have $15,000 to trade system X, how should I run backtests of X? I have chosen system X, how can I figure out an appropriate starting capital amount to trade X? Backtesting with a lot of different STARTCASH values, mostly helps you answer question #2. To answe...

Some people, particularly those new to "A forum for mechanical system traders" (such as new purchasers of Veritrader), are still looking for a Guru to tell them This Is What You Should Do . These nice people haven't yet realized down in the core of their own being, that they are responsibl...

One standard approach is: run your tests several different times with several different starting account sizes. In fact if you're testing using reinvestment of profits (such as fixed fractional positionsizing), it is quite illuminating to test with an unrealistically large starting account size like...

Assuming you're testing profitable systems :) the first year is the one with the lowest equity and the fewest # contracts and the most sensitive to rounding. One thing you can do to cool down the first year is make sure you are rounding down when calculating the number of contracts to trade. If your...

JoeB, it is always proper and often insightful to ask "What do YOUR test results show?" (abbreviated WDYTRS). Please tell us, when you try three or four or five different methods of choosing your betsize, what do your test results say? Is one "better" (i.e. you like it more) than...