Search results

He includes it: "I wrote a couple of programs. The first has a test trading system and writes a trade file with the entry date, length of hold in days and profit or loss in pts. with slippage included" Slippage I assume includes both commissions and actual slippage estimates...

For a summary of his Strategy Formation posts see my other thread at: http://www.elitetrader.com/vb/showthread.php?s=&postid=1328890#post1328890

3) The Edge Test - What is it? "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...

1) Be DUM "For every system I develop I use DUM. D - Define All systems are based on finding and pulling a fundamental truth about the market. Define what fundamental truth you'll be going after. Ex. All markets have a tendency to trend beyond random. Now you've got the definition that...

Hi everyone. I've collected and tried to summarize my understanding of acrary's posts on how to find strategies. I will post my summarized understanding here and have included as an attachment of the file with the original collection of posts in my other thread. Here's the link for the...

I tried and tried - still can't get past 35s. How are you slowing the game down btw ;)? j/k

10) Example Outputs from Programs a) Model Allocation Program "Model 1 - ES/Model131 Model 2 - ES/Model122 Model 3 - NQ/Model131 Model 4 - ES/Model111 Model 5 - ES/Prod8 Test period from 07/01/01 to 08/31/05 Single Model Results Modified Model # Sharpe...

4) Determine position size based on normalized volatility levels. "For daytrading I just calculate the range (high - low), then average it for the past ten days. I use ten because I want my model to cut back on size pretty quickly if the volatility jumps. Then I divide the highest historical...

0) Definitions Expectation of a trade = (PW * AW) - (PL * AL) Expectation of profit factor = (PW * AW) / (PL * AL) where PW = probability of a winning trade AW = average size of winning trade PL = probability of a loss AL = average size of a loss 1) Goal is Consistently...

Hi everyone. I've collected and tried to summarize my understanding of acrary's posts on how to combine strategies. I will post my summarized understanding here and include as an attachment the file with the original collection of posts. The collection file is very messy and randomly...

This is what I'm asking. I'm not asking about the optimal trade size nor am I asking about money management at this time. I was just asking about determining a strategies potential during backtesting. The quote above sounds like you might think it would make sense to use a fixed strategy...

Ok so I went to show an example of what I was worried about and picked a sample strategy that had made me think of this question and because of this discussion it led me to do more testing. The initial 2 parameters I used were 5k fixed size vs a 1% fixed ratio. You can see why from the picture...

Thank you all for your replies so far... So I'm not sure there's a consensus yet. I guess my issue was that while it makes sense to use a fixed ratio for money management in an account, I was concerned that any later drawdowns could skew the results to be more negative than they truly are...

To me it makes more sense to use a Fixed Size trade for backtesting since it makes all trades "equal". When you use a fixed ratio (e.g. 1% of equity), it seems like all drawdowns will be exaggerated since the trades are bigger after gains and gains are smaller after losses. I've noticed...

See if you can find them on this site. When I was looking for a camera they had 10-15 page reviews on each one: http://www.dpreview.com/

You know you're killing me with all these. I'm losing sleep now, lol. Most I could get on this one was level 11.

34.495 seems to be about the max I can get on the second one... At least after about 15 min...

Thank you very much for this journal. I've written a bunch of naked options on stocks but never had any specific strategy for them so I don't know if I've jsut been lucky. It's nice to see that consistency can be achieved at least in futures.

Thank you for the replies so far. I guess I can rephrase/clarify what my need is... Ideally I would like to separate various chart patterns into different groups based on their similarity. My minimal understanding of TA is that much of it is subjective and you can get several people...

I'm trying to develop an indicator based on patterns of movement. One of the questions I'm trying to determine an answer for is the number of bars I'll need to look at. For example if I wanted it to recognize things like double tops, or head and shoulders type patterns trends, etc. I assume I...