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Twiga posted this link on WLD forum recently about Jim Simons President Renaissance Technologies, where Jim beleives that the advantage of having scientists create trading systems is that they are less likely to be fooled by randomness. http://www.turtletrader.com/trader-simons.html I...

I'd say it's horses for courses. Whats the purpose of the index? Use Market Capitalisation if you want to know how the biggest companies are floating in your particular sector/stock list. Use equal weighting if you plan to trade an equal amount of money on each trade. Use Liquidity if...

If you're only testing this on one symbol then you definately need a measure for curve fitting. Otherwise how can you be sure that these results didn't happen by accident. If I were testing on only one symbol I'd want to see zero losing months, because a fund may change the way it makes stock...

scalper21 good post. I'd like to add that I read a lot of posts saying that auto cant get the results that manual trading does and I think that should be analysed somewhat. I read traders saying they can make discretionary trades based on a wider spectrum of information, or alternatively...

nononsense I'd say you haven't quite been following the conversation then. Threads can progress beyond the title. These quotes are from the author... The author responding to Bolter on using random trades to index against simulation results. On the topic of indexing against results using...

thanks bolter, been hard at programming myself, head down bottom up, having a ball. hows everything? toe

you're not meant to trade it funny fellas. you get your random system to generate the same market exposure as the system you propose to trade. if your system then cant beat say the 95th percentile of random results (which are often positive), then you're system is too random to trade. i'm sure...

Here are some distributions of results for a totally random EOD system. I ran it over 250 bars of data to yesterday, for 800 stocks 200 times. The results and some dostribution data are shown below. I think it shows conclusively that a long side, random entry system, will make money if the...

Tremaine you are quite astute in your observations of the value of random entries for simulations. I agree with you and Bolter, there are many applications to this. The individual who has done the most work published on ET would have to be Acrary so you should read his posts on 'Edge Test' with...

For dollar based drawdown series... * DrawDown$(N) = Equity(N) - HighestEquityValue(0, ..., N) For Percent based drawdown series... * DrawDown%(N) = Equity(N) / HighestEquityValue(0, ..., N) * 100 In either case the biggest DrawDown is the lowest value for the series.

My experience of leaving computer running 24/7 was for it to start shutting down on its own or go blue screen. When I openned it up the heatsink was caked in dust so the CPU was overheating.

Testing a system vs a randomised system is much better than simply looking for a positive expectancy, in much the same way as medical researchers measure the results of a double blind study using a new drug vs a placebo rather that just looking to see if patients get better on the new drug (they...

Thanks def I suspected that. What about the issue of an orders place in the queue, would that take up too much in terms of resources? Is an order filled the moment it becomes marketable at the moment?

kostia00 I beleive that IB tick data is a snapshot of actual trades, is that correct? If so wouldn't that result in too much limit order slippage being accounted for (limit order slippage meaning missing a trade because of a lack of volume, and ones place in the queue)? Also does the paper...

i think that if you want to introduce a lot of degrees of freedom and optimization you can make it work well for you, with a bit of effort. here's one idea how to do it. the probablility that there will be some good sets in a single optimisation with many degrees of freedom are pretty high by...

Partial fills with limit orders absolutely. I've been using paper trader specifically to sort out partial fills with auto trading. Great.

If you can come up with a definate, unwavering set of rules for entries/exits then you can automate it. Are you actually trading this successfully already as a discretionary system, or is it an idea you'd like to test? You say you can see these trades on a chart, so I'll presume its the...

What you need is not some beginner that you can teach your system to but another successful trader with complimentary skills who will be willing to learn your system and teach you theirs and colaborate to trade 24hrs. There's no guarantee they wont leave, but the motivation is right to begin...

The truth is that there is no way to guestimate how it will turn out if you cant take every trade, it may be better or worse. Rather than guessing I sudgest you create distributions of the results. Here's the basic way. Use a random number generator to select trades each bar until your...

how many stocks are in your list, and how many trades in your backtesting? creating a system on 6 months of data, then running that on 'out of sample' data is one way of having some confidence that the results aren't curve fit. did you do that also when backtesting the first six months of...