Search results

I recently bought a machine specifically intended for huge parameter-sweep backtesting with Trading Blox. A typical "job" runs for 2 days and tests hundreds of thousands of parameter combinations. I ended up having my local computer shop assemble these components into a system: CPU = intel...

There are other possible actions besides "turning a strategy off" and "turning a strategy on". Perhaps you may want to alter a strategy's position sizes. When the strategy is trading normally, think of that as "running at 100% of normal position size". If you wish, you can reduce a...

Build hardware. Map some critical sections of your software onto a peripheral device accessed via USB. USB device not present? Software no worky. It's security by obscurity where obscurity includes "building hardware". Depending upon your level of paranoia, you can include...

There's a member here named "mizhael" who works for a hedge fund -- admittedly as a grunt, a bottom of the totem pole gofer, a clerk. However he has access to some super-smart people at his office and can potentially help you A LOT by relaying your inquiries to People Who Know What They Are...

Broadly similar to the analysis in Trout's thesis. He parlayed it into huge success, an interview in the 2nd Market Wizards book, and permanent everlasting fame on wikipedia (link). However since you post to Elite Trader and he does not, let me congratulate YOU.

Does it surprise you to learn that someone has written a book about this?

In (this plot), the optimum fixed fractional risk-per-trade which maximizes (profit/drawdown) is different from the optimum fixed fractional risk-per-trade which maximizes profit. Maximum (profit/drawdown) is the green dot Maximum profit is the blue dot. Notice that they appear at two...

I am one of the idiots buying bonds. I anticipate that prices will continue to rise, so that I can exit the trade by selling the bonds at a higher price than my entry price. Here is a price chart of the instrument I am using to implement this idea:

I think this is a reasonable way to express it, but I'd recommend you inflate the number to about 400 oz of silver per month PER FAMILY MEMBER. It would not be an unbearably uncomfortable existence.

These are just two different ways of visually presenting the exact same set of underlying data. The data itself comes from an optimization run over "n" different parameter combinations. The data is conceptually a three column tableOptimization | Optimization | Trading System Variable #1...

I actually prefer contour plots (rather than 3D diagrams) to view optimization results. Gnuplot (free software) can make them; so can Microsoft Excel. Trading Blox, another trading system testing package, offers both. Here's the same optimization run presented as a 3D diagram and as a contour...

There are a few things to notice about the scatterplot. The system with the highest (CAGR% / MaxDD%) ratio ("C") does not have the highest Sharpe ratio; that honor goes to system "D". You can maximize Sharpe ratio, or you can maximize (CAGR% / MaxDD%) ratio, but you can't maximize both...

System simulators usually offer dozens of different measurements and statistics, that give you different ways to analyze the results of a particular backtest run. Here is a perturbation study of a 3-parameter system run on a simulator, for a total of 4200 different parameter settings. The two...

Doesn't anybody remember Bunkie ? NBH? He's got an entry in Wikipedia.

Ask your lawyer. Since you are setting up a CTA you do have a lawyer, yes?

There's a pretty good analysis in Chande & Kroll (amazon link) chapter 1: An Abundance Of Indicators. Here's one representative figure.

Mike805, I programmed your idea (I think) and tried it out. For the price stream I used the most recent 1000 daily closes of the emini S&P futures contract ES. For the random numbers I generated UNIFORMLY DISTRIBUTED numbers between the observed min and the observed max of the price stream...

Mine's the Eterna "1935" with chronograph feature. Bought it five years ago and have replaced the strap once. Miraculously I found an image on-line of the same model in the same color as mine. Not very "bling": steel case, leather strap, German (not Swiss) company. But I like it anyway:

I found the attached explanation of the arcsine law, at this link: http://tinyurl.com/3x7269y

One way you could (I didn't write "do") approach the problem, is the methodology embodied in this commercial product: http://www.stratasearch.com/ You could use the commercial software itself. Or you could extract the ideas from the commercial product and embed them into other software of...