... across recently makes great sense. The idea is to use 'randomness' as the benchmark for your system's performance. Let's say that the average duration of...
I have been unsuccessful in running the exit examples (Chapt 15) provided in the software. When I run the first script (x21scr01.dat)I get a "undefined rule...
Drew, Thanks. I just glanced at the paper, looks very interesting. I've been meaning to add additional capabilities to my monte-carlo simulator, but haven't...
Hi, I have a question: If all the history collected only have closing prices can I develop a mechanical system? Can I use indicators like +DM, -DM, ADX and...
Congratulations on joining the exalted ranks of MBAdom. One additional note to my comments. Further research work on MCP has shown that testing cannot be done...
Hi Trey, I know you are busy but could you give me guidance on running the Chapt 12 Genetic Optimisation model for stocks. I have tried but never get any...
Hello Drew, What do you mean by 'no meaningful results', could you be more specific? It appears that you have them running, but they can be tricky. Maybe try ...
Thank you. I'm working on Finance/Investments. I didn't see that in the paper, but I think I can understand why MCP isn't reliable on the training data set,...
Thanks for the information Trey and Drew! I really appreciate the link to the book and thoughts on re-optimization. I have started working with weekly...
Here is a chart from a recent run showing an out of sample net profit by Profit Factor: Here is osnp by t-stat; Neither of these is too impressive. I think...
Hello, I'm currently reading The Encyclopedia of Trading Strategies and find it to be really excellent, especially the discussion on statistical significance,...
I m using IB to download intraday data : there are different softwares which allows to download IB realtime ticks and chart them. I use an italian one, which...
Thanks for the reply, Toni. I believe esignal gives 120 days of historical data for stocks, so maybe it's the same for futures, but I'm not sure. Will have to...
Or maybe interface to Medved like Bio-Comp's Tick Historian? http://www.biocompsystems.com/products/Dakota/RT/tickhistorian.htm Although it would seem that...
Here is a link to wikipedia's discussion of what ACID means in DB lingo. http://en.wikipedia.org/wiki/ACID ... Durability. They are considered to be the key...
Hi Kevin, You reference "Dennis Meyers toolset". What is this? Drew ... re-optimization. I ... bars. I ... to work ... "R" is a ... determine ... more out ... ...
Some info on tick data: How to get quotes from various markets REAL-TIME DATA (Professional Edition only) Country/Exchange Data source Type Price Download...
Dennis Meyers (like Jeffery Katz) has written several articles for TASC and other publications. He has a tool he calls the "power walk forward optimizer" that...
I am now reading this book and it does seem quite good. I am looking forward to his discussion of t-test and bootstrap. I am a little confused though about the...
I was confused too. Like you I assumed that it was classical detrending; but it is not. It is simply centering each days return to compensate for any long or...
Well, it looks like I have some time to study while my systems try to find their way back home. I went ahead and ordered 'Evidence Based Technical Analysis'. A...
Have anyone get ctrader compiled in VC++ env? I have problems like: c:\ctrd\scicon2\tsim202\trdsim2.hpp(23) : error C2061: syntax error : identifier 'TRDSIM' ...
Did you use the makefile autogenerated by the figfix for VC ? I recall it works quite smooth, I converted the project to dsw to be able to open it within the...
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