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I have found another improvement, still without the T component (avg Sharpe on random walk up to 2.66). This has a larger take profit and a tighter entry scheme: <a href="http://www.datatime.eu/public/gbot/CT_Strat - Improv2/CT_Strat - Improv2.htm" target="_blank"> Strategy Report </a>...

Hi, how was your Christmas ? ;-) I have decided to <b>raise the number of iterations to 1000</b>, in order to have resampling distribution estimates which can be considered definitely "reliable". This is equivalent to almost <b>24 years of millisecs clean tickdata</b> (it takes a while, but...

Ok, after generalizing my framework, i am finally able to begin some simulation with the <b>"random walk"</b>. Based on our previous trading experiences, I have tried to identify the most useful <b>"rules"</b> to create "good" "trading mechanisms". I have come out set of settings ("rules")...

Thank you unco. Following your advice as fund manager i have been doing more research which seems quite fruitful... <b>** A Random Walk Down Wall Street ? **</b> Hi friends. sorry for some delay. I have been working hard to generalize my framework and also to provide other...

Well stops (at instrument level) never had an enemy worse than I, and nobody knows that better than you ;-) So I fully agree with you. But let's recall what was the original motivation for us to look into a <b>trending component</b> to possibly overlay on CT. We already know that CT is a...

I am testing (elapsed 4.4 days, from monday) the original strat <b>CT</b> and various variations of <b>CT+T</b> (trending component overlay). It looks like the resulting strategy CT+T has an equity curve particularly sensitive on T implementation. The common performance indexes don't seem much...

Update. This week <b>CT</b> touched almost 25K, but is momentarily being withdrawn to 13K, mostly by metals (GC, SI). <b>CT+T</b> new variants (with trending component "overlaid") are doing ok (drawdown was small): implementation 1: 22K implementation 2: 34K (CT "blocked" by T)...

Ok, we are at the end of this fruitful (thanks to you all) week. CT algo could make work the investment on SI, due to sufficient retracement, ending over 24K. CT+T (prototype) enjoyed a sharp correction and then held on it ending over 35K. (Must say that this start is beyond my...

It surely does! Thank you unco: i will backtest these alternatives and see what comes out (maybe we could try the days around may 6). Let also me explain better my initial intuitive idea. Since CT is a sound strategy which "preserves the investment" (in the sense explained in the first...

Ok. Something happened. SI has made a quick move upward, quickly going from 22.945 to 24.935, pushing the CT position to -6 contracts. In this case, the CT, as expected by design is "investing" in the move, causing a sharp drawdown. <img...

Hi No big news so far (unless profit is news). 2.38 days elapsed everything pretty choppy . Practically, only the CT component "worked" so far. Maximum position for the whole folio of 10, was <b>just 11 contracts</b>. Realized and PNL touched <b>14K</b>. Waiting for some move, to take a look...

For a preliminary test, i have started a folio of 10 instruments: YM FUT 201012 ECBOT 5 Mini Sized Dow Jones Industrial Average $5 AUD FUT 201012 GLOBEX 100000 AUD.USD (6A) GBP FUT 201012 GLOBEX 62500...

Hi friends, i am adding a trending algo over the original one. Since this actually give rise to a <b>new strategy</b>, i will start a <a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=208265"> new thread</a> to discuss it. Everyone is invited to join the discussion :-)...

Hi friends, In this thread i would like to discuss a new algorithm variation. This can be considered the natural development of our discussion in <a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=202078">this thread</a>. There we discussed an algorithm which resulted...

If you start 1.25 you go up 1.34 then you see a retracement to 1.33. You are out, and probably even begin shorting. So you may be making my same point ;-)) One thing to note here is that this is already coded as an <b>overlay of 2 trending strategies</b>. So adding a trender could simply...

Congrats unco, powerful intuition! All the simulations i have been doing so far seem to confirm you are right. All "rules" i have tried so far lead to a <b>much less performant combined algorithm</b>. Clearly, this may simply mean I have not been "lucky" so far in the search of these "rules"...

Ok. i am looking into the "overlay rules" question. I am doing several experiments (backtesting) with several different scenarios. Assume you start a folio F. And consider a "clone folio" F_C1. Now, if we simply started automated trading with both folios at a given time t0, and identical...

Welcome to the roller coaster! I was going to shut down this run to focus on the new revision, when volatility begun suddenly to rise. All instruments suddenly have begun <b>tracking together</b>, in a strong upward movement. A valuable member of ET, and my dear friend, "skyped" me to keep it...

global result chart update: <img src="http://www.datatime.eu/public/gbot/Res_Mon_2010_09_06_4.png">

ok here the trade details: <a href="http://www.datatime.eu/public/gbot/Mon 06 Sep 2010_Port4001_Cli1_1/GBotReport_2010-09-06_Port4001_Cli1.htm"> Chart update </a> this algorithm already belongs to the past however ;-) I have restarted a new trading session with a slightly different algorithm...