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Every month I compile a list of the major funds in the trend following space to see how they perform, if they are correlated to each other, etc: see the list here We can see that last year (2009) was not as good as 2008 for trend followers with an average performance of -7.3% across the...

Hey Nazzdaq, I was not really trying to test the validity/profitability of a Moving Average Crossover system (as what you described is true...) but rather to set one test up to compare Median vs. Average. I was wondering whether other traders had any experience using the Median - whether as...

I just ran a test using the Moving Median indicator instead of the Moving Average indicator for a Crossover system. The idea was to use the median, as it is a more robust statistical tool than the mean/average. You can find the results here... I was wondering if any of you guys have any...

Just finished the book and in all honesty it was not bad at all as an introduction/refresher into "classical stats" The format makes it much more attractive than a standard textbook also! Planning on diving into more complex stuff such as robust methodologies / non-normal distributions...

this one: Cartoon Guide to Statistics ...and the first page I open, first sentence I read to browse through it says... [...]this explains why the normal is everywhere: stock market fluctuations, student weights[...] Oh dear! Should I just throw it away... well I guess the theory...

v. strange the link does not work for me whether I click it or copy the traget location in the url bar of the browser - I just get the "The topic or post you requested does not exist" from the forum... Anyway, that other thread you linked to seems pretty good - and running some tests like...

I would tend to disagree with this. I dont think Win rate % is the best measure of an edge - otherwise we would all be writing options, wouldn't we? If you believe in the Black Swan paradigm, you know that eventually you'd be ruined. Not much of an edge here - similar to what ssb11 is saying...

wow.. lengthy and interesting thread (had stopped following it after it started going "off-track") - not sure it helps clarify the situation on what is probably a timeless debate but some thought-provoking opinions - that will hopefully help shape my own (thats what matters in the end!) I was...

This is exactly my point of view too: markets change and fat tails ensure trend following is a succesful strategy http://bit.ly/6bsiS This is something that I realised this weekend as I was pondering the "philosophies" of mechanical systems design and testing. For example, if you take the...

I have scoured the internet - including this forum - to find which platform I should use.. and I must say it is pretty confusing with the plethora of offers in the market. What really helped me - and this is pretty obvious actually - is to put first what I require from the software(s) and...

I found that page on the AmiBroker website which explains part of how they do it: http://amibroker.com/guide/h_understandafl.html

Sam, I agree that speed is not the main aspect of a platform, however, as an example, if I want to calculate the e-ratio over 200 days of 100 signals, it would take me (approximated estimation) just under 28 hours (computing time only - data manipulation time would come on top of that) in...

LOL - love your metaphor! I actually own TradersStudio 2.5 too and have just discovered AmiBroker, which appears much better (at least speed-wise): see this thread for the reason why: http://www.elitetrader.com/vb/showthread.php?threadid=182237 I would be interested to know wht you are...

I recently started using AmiBroker and realised how fast it was compared to my other back-testing platform (TradersStudio). I decided to stage a speed comparison test between both platforms to see how much faster AmiBroker really is. For an e-ratio calculation of a simple Donchian Channel...

Michael, I was probably victim of using rhetorical exaggeration to express the point that there seems to be a lot of forum posts in the flavour of "I like Covel and Faith is sh*t" or "I like Faith and Covel is sh*t" (as seems to be the case of kiwi_trader for example...) Talking from my...

Does the world _have_ to be divided in a Covel v. Faith fashion (it seems that way from most comments directed at either of them) - Michael, obviously this is not directed at you as you have a "history" with Faith... To be honest I have books from both and I enjoyed reading them both. I...

not sure exactly when but for some discretionary trades they have been shown as executed on ISLAND when I used smart routing from IB

I will not put them all on here but I follow quite a few and my favourites are on my blogroll there: http://www.automated-trading-system.com/ On the righ-handside of the screen. There mostly automated/strategy trading oriented but some of them are very good.

looks like it since my other thread has gone - with the initial message: I was wondering who uses the e-ratio in their strategy research and what your experience of it is? It sounds like a great tool to test a signal independently from anything else (ie position sizing, exit, etc.) and...

Not sure how to handle this but I would like to start a thread that is relevant to 2 forums... I have started a thread discussing the edge ratio in there: http://www.elitetrader.com/vb/showthread.php?s=&threadid=181295 PS: if you know a way to link a thread to multiple forums to avoid...