Search results

My opinion is that "we do what we can." Backtesting will always be somewhat problematic but what is the alternative? Knowledge is simply knowledge. We can apply it sensibly or not. In terms of data mining I believe it is important that your results show strong performance amongst similar...

Parts of this have already been done: http://www.gloriosia.com/

BigIrishSlim - If you are going to use Yahoo data please check out HQuotes Downloader. www.hquotes.com It allows you to download thousands of Yahoo stocks at once and can adjust for splits and dividends. I have no affiliation with them. Just a happy customer.

If you are interested run a search on my name and Roger's. It should bring up some web links to an excellent TV documentary broadcast in the Netherlands available for download.

Dude, what's worse is that these are trade endpoints right? Like trade 1000 made $200 so I'll just tack $200 onto the equity at point 999 right? Well trade 1000 might have been held for 5 days and lets say on day 3 that position was down $500. Maybe this happened to a number of your...

Toe answered this for me when he said: "Your chart seems to indicate that you have have allowed for each trade as though it were an individual chronological event (one trade after another). I think it might be useful for you to use a simulation type where the equity curve shows end of day...

Funky, I think you need to check out your outputs, especially your equity curve. Specifically why does the 6 month test have 1321 data points in that last image? You need to be compiling these things on a daily timeframe basis. This can alter your drawdown figure. That is the real fault...

progers, I agree certain stats make this system look like a winner. However I would try to de-leverage whatever your position sizing logic is so that your drawdowns are more liveable. Unless you are on a mission I don't think anyone would want to endure 85% drawdowns for their primary trading...

melo said "I believe that most people involved in researching and selecting hedge fund managers will tell you that the quant part of the d/d process doesn't weight more than 20% in their report." What other factors make up the other 80%? How much do people care about your numbers vs...

Guys aren't we just talking about the Sharpe Ratio here? A question was raised about variable dollar profit amounts caused by rollover of profits screwing things up. Might this problem be mitigated by analyzing what percentage profit was taken from the underlying (or better yet what portion...

Very nicely put prophet :)

Yes your way seems more complete. Thank you for that explanation. I'll have to revise my methods to be more accurate. Not to take this off track with more questions but I was wondering if there is a correlation threshold that you find significant for further investigation? I know from a...

Acrary, thank you as always for contributing to our education as traders. You are a beacon of light in the fog. I noticed that correlations are used in much of your work. I was wondering if you took sample size into account when performing these correlation calculations. I now use a...

axeman, I am curious if you could boost your system performance by doing an MAE study on these trades and not enter until your average loss point has been hit. This could improve your entry on the majority of those trades. Just a thought. I'm sure you've probably already tested this. Keep...

Taleb hasn't always been opposed to Neiderhoffer. See this post from 1997: http://groups.google.com/groups?q=nassim+taleb&hl=en&lr=&ie=UTF-8&selm=3333E9A9.27D9%40ix.netcom.com&rnum=10

Merco, please enlighten us to the real situation if you care to.

http://www.elitetrader.com/vb/showthread.php?s=&postid=325460&highlight=prop#post325460 Acrary strikes again. Even in his temporary absence he is still guiding us with his top notch info.

Darkhorse, I've heard that this swift downturn was due to political uncertainty too. I've heard some unsavory things about Mrs. Sonia Gandhi, or at least things that might increase uncertainty. Other than that I don't pretend to know what is going on specifically as I have not had the time to...

This http://moneycentral.msn.com/content/P80508.asp and this http://www.validea.com/home/home.asp may be of interest to you.

I for one enjoyed your post as it was quite a history lesson for me. Thank you for posting it. It is unfortunate that everyone has come out of the woodwork to post their negativity and overly simple aphorisms. There are always certain areas of the marketplace where the "hot money"...