Search found 143 matches
- Mon Feb 16, 2009 5:22 pm
- Forum: Money Management
- Topic: Drawdown Reduction Threshold:
- Replies: 18
- Views: 14443
Surely you did inquire into the nature of those two bumps at 70 an 85 No, I was really just interested in the relationship between DD and return and a few other things (the chart in my post has been trimmed to show just DD and return) and I don't tend to dissect test data to any fine degree as I am...
- Sun Feb 15, 2009 6:44 pm
- Forum: Money Management
- Topic: Drawdown Reduction Threshold:
- Replies: 18
- Views: 14443
I don't know if this helps any but I have observed a linear relationship between drawdown and return and that relationship has remained fairly consistent across many hours of testing. The attached chart shows the effect of increasing risk on return and drawdown in a test portfolio. It should be note...
- Thu Jan 29, 2009 10:27 pm
- Forum: Custom C++ or Java Platforms
- Topic: Hello / Extending Java code?
- Replies: 6
- Views: 9305
Hi RedRock! $25K is for the full application. The Calculation Engine Source Code option is there to cater for CTA's who need to own the complete source code as well for security/continuity reasons. I am not kidding when I say that this application is brilliant and well worth the price if you are rea...
- Wed Jan 28, 2009 4:08 am
- Forum: Custom C++ or Java Platforms
- Topic: Hello / Extending Java code?
- Replies: 6
- Views: 9305
Hello Steven and welcome. I faced the same decision some years back and I elected to spend a few months to research all the available applications. Only one application fully met my extensive list of requirements and so I purchased it ( PowerST ) and I have been very pleased with the result. I could...
- Mon Jan 12, 2009 8:07 pm
- Forum: Testing and Simulation
- Topic: Any software to test multi-system portfolio performance?
- Replies: 7
- Views: 6276
I use www.PowerST.com, which will do all that you ask and (and lot more besides).
- Sun Dec 28, 2008 7:36 pm
- Forum: Data Providers and other non testing software
- Topic: data vendor other than CSI
- Replies: 7
- Views: 6682
Re: data vendor other than CSI
Any good data vendor suggestions? I have used Pinnacle for years www.pinnacledata.com and have been very pleased with them. My preference is for ASCII files however Pinnacle also produce other formats and 3 types of rollover. Separate files for electronic and floor sessions in many cases, although ...
- Sun Sep 14, 2008 8:49 pm
- Forum: Money Management
- Topic: Maximum MAR; optimal betsize
- Replies: 7
- Views: 15265
Perhaps I can expand slightly on what Eric has just said: if my memory serves, Optimal f delivers the highest geometric rate of growth (translation: the most money that can be made) but while it does this it can incur epic drawdowns in the process. MAR, as Eric says, is CAGR/MDD and so while the CAG...
- Wed Aug 27, 2008 4:20 am
- Forum: Testing Software
- Topic: XP Service Pack 3
- Replies: 8
- Views: 10756
- Sun Oct 07, 2007 2:58 am
- Forum: Data Providers and other non testing software
- Topic: CSI vs Pinnacle data ?
- Replies: 26
- Views: 26927
- Fri Oct 05, 2007 10:02 pm
- Forum: Data Providers and other non testing software
- Topic: CSI vs Pinnacle data ?
- Replies: 26
- Views: 26927
At the risk of sounding like a broken record, what I would really really really like is some software that would allow me to take raw contract data from whatever source and do my own formatting and rollovers. By that means I could keep Pinnacle as my primary data source and add other markets from, s...
- Wed Sep 19, 2007 9:22 pm
- Forum: Testing and Simulation
- Topic: Correlation: Between Markets or MarketSystems?
- Replies: 5
- Views: 7018
Correlation: Between Markets or MarketSystems?
This question keeps nagging at me and I would appreciate the input of some of the fine minds on this forum: the primary purpose of determining correlation would seem (to me anyway) to be in order to buffer drawdowns that could otherwise result from having all your trades go the one way at the one ti...
- Tue Jul 17, 2007 6:03 pm
- Forum: Testing and Simulation
- Topic: What is an "Edge"?
- Replies: 32
- Views: 39172
Then if you have six generic entries (e.g. (1)MA cross, (2)Channel Breakout, (3)RSI extreme, (4)Bollinger Band Breakout, (5)Opening Range Breakout, (6)ADX pop) and six generic exits, you need to test 6 x 6 = 36 different combinations of an entry and a corresponding exit. That is my thinking anyway ...
- Tue Jul 17, 2007 2:34 am
- Forum: Testing and Simulation
- Topic: What is an "Edge"?
- Replies: 32
- Views: 39172
Great thread! My $0.02 worth: I have not (yet?) found much benefit from either testing entries in isolation or MAE/MFE beyond general interest. I believe that any entry must have a corresponding exit and that therefore the two actions or entities are inextricably linked. With that in mind and also r...
- Sun Jun 03, 2007 8:42 pm
- Forum: Testing and Simulation
- Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
- Replies: 6
- Views: 9194
I think that londonpopart has a potentially viable idea here. The attached pic shows the percentage contribution that each MarketSystem makes to the overall open equity of a randomly-chosen portfolio per day and, although the display is a bit cluttered, it can be clearly seen that each MarketSystem ...
- Wed Apr 11, 2007 4:11 pm
- Forum: Brokers
- Topic: Open E-Cry - Gone Quiet?
- Replies: 5
- Views: 12740
This is a final follow-up in response to a few PM's that I have received on the subject of opening accounts with OEC - seems that I am not the only one having problems with them. The whole OEC thing still has me confused - it seemed like everything that could go wrong did go wrong. They never advise...
- Thu Mar 22, 2007 5:37 pm
- Forum: Testing and Simulation
- Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
- Replies: 13
- Views: 14437
Hi Sluggo. I have a form of #1 as part of my standard testing code but it is very simple - it exits at market after D bars but D is just a static value. I never really found a lot of use for it really, it was based on a suggestion from Chuck LeBeau as a means for testing entries (try 5, 10, 20 bars)...
- Thu Feb 01, 2007 5:35 pm
- Forum: Brokers
- Topic: Open E-Cry - Gone Quiet?
- Replies: 5
- Views: 12740
Just an update - I still haven't managed to actually open an account with Open E-Cry and in fact I have just instructed Daniel and Rick to forget about it and return my money forthwith. The last straw was a message this morning requiring my wife to sign a form because the bank account that I transfe...
- Thu Jan 11, 2007 2:08 pm
- Forum: Brokers
- Topic: Open E-Cry - Gone Quiet?
- Replies: 5
- Views: 12740
Rick called me last night (at 1:00am - dam time zones) to confirm that my account had indeed been setup for some time but for whatever reason I have not been getting their e-mails of confirmation, etc. I do my own spam filtering and Openecry is whitelisted (I just checked and there is nothing in the...
- Wed Jan 10, 2007 11:38 pm
- Forum: Brokers
- Topic: Open E-Cry - Gone Quiet?
- Replies: 5
- Views: 12740
Open E-Cry - Gone Quiet?
Are these guys still operating? After piles of promotional mailings from them I have been trying to open an account since Tuesday January the 2nd. The on-line application went just fine - I got to the "Signing Complete" page, faxed off my ID details as instructed and nothing more happened ...
- Sat Nov 11, 2006 5:09 pm
- Forum: Testing and Simulation
- Topic: Neural networks
- Replies: 16
- Views: 13745
Personally, I think NN is mathematical masturbation, too much activity for what, in the end, is a less than fully satisfying result. Both in the insurance industry, and in trading, I think simpler solutions are the best. Amen! NN sounds good, at least until you think about it a bit, at which point ...