Search results

If anyone wants to replicate these tests, I used Pinnacle data for both the VIX info. and the CLC (Continuously linked contracts). http://www.pinnacledata.com/

And finally the overall summary for the Russell 2000 from 1993 - present. I never traded it but I thought i'd run it just to see how it did.

Same system with the overall summary for the ND market.

Here's the overall summary for the SP market.

Here's the annual summary from Nov. 1995 - present for the SP market.

This model was based on something I found using the VIX as a "tell" for the future market direction. I started out in trading with OEX index options. I found something there which has been pretty interesting. I've traded this model in the SP market from Jan. 1996 - June 2001. I also traded the...

All of the edge based models are developed based on a perceived structural anomaly. For the edge criteria if the longs or shorts drop below 70% of the random trades then it's no longer traded. I've only had one model that this has happened to. I know the rationale for the model was revealed in a...

1). The single model results are not model 2 versus model 1. They are the best weighting from 1-10 in .2 increments based on the best modified sharpe ratio for that particular model. I haven't looked at the single model test closely. In a single model context the results are meaningless since if...

I'm around. I've tried to start work on the next installment many times in the past two weeks. Each time I've had to drop it because I was including material I currently use to trade. I don't know when I'm going to post again. I'll keep trying to come up with something that I can post, but don't...

Just trying to show how to use some flexibility. If you had one model and ten securities in each of two sectors, you could run your model on all ten securities. Then total the results of the sector on a daily basis. Then use correlation of the two sectors to determine how much funding should...

The "Edge Test" is a concept. The concept is to separate luck from skill in determining the backtested results. How you do define the measurement is up to you. If I had a Cray supercomputer and had 50 trades to test for a year I could probably rank all the different combinations of 50 trades...

I'd like to know what items are difficult to understand? I know what I know but I don't have a clue as to the difficulty others may be having in comprehending the material. I know I've skimmed over much stuff but that's because I'm only trying to stimulate ideas. Alan

Thank you for posting the links to the program. Alan

You will when I start on building a system from scratch. No forward projecting here. It'll mostly be like "it's so obvious how come I didn't think of that?"

I'm planning on showing how to setup a research platform using excel. After that it'll be what most of you are waiting for..."How to build your first system"

I have a question for you in regard to your correlation and weighted models work. Does each model added trade one instrument such as ES? Or does the model trade an edge across several instruments? Each model represents one stream of trades. As I posted, this could be one model in multiple...

What software are you using for the MonteCarlo analysis? For the MonteCarlo work I've written my own routines. I don't know of any software that simulates a non-normal trading type of distribution. The fat tails can make a big difference in the overall profit/(loss). You described a...

It's pretty obvious some of you are expert model builders. Please contribute! Here's a historical report that was run from one of the submissions risking only .4% per-trade. Pretty humbling to see someone on this site with this kind of talent.

Here's another paper worth downloading. http://www.turtletrader.com/mfa-articles/diz-rez.pdf

I guess I should have been a little more clear. I have a opportunity to hang out with some old friends from Chicago and see the series. I wasn't contemplating stopping the overall thread. apparently there are a number of stealth systems builders lurking. lol