At long last, traders may now identify a black swan event using charting analysis.
Sunday, June 28, 2009
Wednesday, June 10, 2009
Yummy soybean meal
Daily chart of soybean meal going back to 1969 with some exponential lags laid over top. This is a backwards-adjusted continuous contract and notice how the price goes negative. This is creating some ugly glitches in my system that I can't seem to figure out yet. Thus, I take a break to post this.
This is the first time I've ever actually looked at the chart for a price series I have tested. I need to program some chart functionality into my system for sure.
On another note, thinking about the drawdowns incurred from trading this crossover system on soybean meal evokes many feelings, including intense fear and elation.
Yikes!
Also, here's a screenshot of all the markets I have purchased. Ready to do some testing, but acquiring data has raised some other issues first, including accounting for foreign exchange when calculating PnL in foreign futures markets. Still this is a big step.
Back to work. Cya!
Monday, June 8, 2009
D-D-Data!
Finally bought some data today! 70+ markets going back as far as 1969. $99. It was WAY too cheap it seemed. I also wrote a data scanner and an initial screening of the data highlighted only one anomaly. So far so good. The guys at the Trading Blox forum vouched for the provider, Pinnacle, as a low-cost, less frills option, which certainly works for me now. Norgate and CSI seem to be other healthy options that I will need to dip into to test data reliability.
Now to prepare the feast....!
Now to prepare the feast....!
Sunday, June 7, 2009
Drawdown curve
Coming along now in various facets in designing the backtesting software. This past week completed adding equity and margin limits to both systems as well as wrote a piece to run market correlation studies. I've included many more performance statistics, including robust statistics mentioned in Curtis Faith's Way of the Turtle, which I recommend for anyone designing systems. And, finally, I can now generate drawdown curves which is a nice complement to the equity curves I have been spitting out. Please enjoy as I do!
Moving ahead, I need to account for contract rollovers in my simulation as well as formally verify the Support and Resistance system output in Excel. I also am ready to buy some data -- finally! I will buy data from two vendors for about 70 markets, domestic and foreign. It runs between $100 for $250 from what I have seen, although I do not know how reliable these vendors' collections are. I'll have to write a data scanner to test the data for inconsistencies before I can employ them.
Also, here is what my system output is looking like at the moment:
Exponential Crossover System Backtest |
Side = Both |
Slow Lag = 325 |
Fast Lag = 85 |
ATR Lag = 20 |
ATR Multi = 5 |
WarmUp = 20 |
Starting Equity = 1000000 |
Heat = 0.1 |
Start date = 12/31/1974 |
End date = 9/27/2005 |
Ending Equity = 110550027.500 |
ICAGR = 0.1531 |
RAR = 0.1328 |
Max. Drawdown = 0.6037 |
Longest Drawdown = 91 mos. |
Seykota Bliss = 0.2535 |
R-cubed = 0.1105 |
----------------------------------- |
# of Trades = 29 |
Avg. Trade Length = 22.5 mos. |
Max. Trade Length = 49 mos. |
Win Percentage = 0.5517 |
Max. Losing Streak = 4 |
Avg. Trade = 3777893 |
Avg. Profit = 7170253 |
Avg. Loss = 397319 |
Avg. Profit / Avg. Loss = 18.05 |
Expectancy = 3777892.84 |
T-test = 11.87 |
Optimal F = 1305581 |
----------------------------------- |
Max % of Account Employed = 1.0005 |
# Margin Calls = 14 |
# Forced-liquidations = 2 |
# Pared-backed Positions = 8 |
# Insufficent Funds for Entry = 0 |
Total commissions = 49365.00 |
************************************ Be well!! |
Monday, June 1, 2009
Whiling away time or not?
Since I don't really want to get a "real job", I have been forgoing the job search in lieu of programming, which, truthfully, could be a lot of work for nuthin'. There are really robust software packages like Trading Blox, that, if I had a job, I could purchase and do a great deal of the testing I would need to do. But, instead, I am spending 6 1/2 hours a day adding functionality to two buttons because I am treading in new programming territory. I don't know if it's worth it.
So I have feeling a little lost. But all I want to do is program, build a system, get my capital, and trade the system. I really don't want to do anything else if I can help it. A Wharton MBA degree could help provide some cachet and a safety net if I blow out and I wouldn't mind having that. But I find it hard to believe that I will get in there, especially if I do not take a semi-prestigious job now.
Maybe if I just do what I want to do--what I REALLY want to do in pursuit of my goal--then everything will fall in place. Maybe the Trading Tribe posse are right when they say:
INTENTION = RESULTS
So I have feeling a little lost. But all I want to do is program, build a system, get my capital, and trade the system. I really don't want to do anything else if I can help it. A Wharton MBA degree could help provide some cachet and a safety net if I blow out and I wouldn't mind having that. But I find it hard to believe that I will get in there, especially if I do not take a semi-prestigious job now.
Maybe if I just do what I want to do--what I REALLY want to do in pursuit of my goal--then everything will fall in place. Maybe the Trading Tribe posse are right when they say:
INTENTION = RESULTS
Subscribe to:
Posts (Atom)