All of the edge based models are developed based on a perceived structural anomaly. For the edge criteria if the longs or shorts drop below 70% of...
1). The single model results are not model 2 versus model 1. They are the best weighting from 1-10 in .2 increments based on the best modified...
I'm around. I've tried to start work on the next installment many times in the past two weeks. Each time I've had to drop it because I was...
Just trying to show how to use some flexibility. If you had one model and ten securities in each of two sectors, you could run your model on all...
The "Edge Test" is a concept. The concept is to separate luck from skill in determining the backtested results. How you do define the measurement...
I'd like to know what items are difficult to understand? I know what I know but I don't have a clue as to the difficulty others may be having in...
Thank you for posting the links to the program. Alan
You will when I start on building a system from scratch. No forward projecting here. It'll mostly be like "it's so obvious how come I didn't think...
I'm planning on showing how to setup a research platform using excel. After that it'll be what most of you are waiting for..."How to build your...
I have a question for you in regard to your correlation and weighted models work. Does each model added trade one instrument such as ES? Or does...
What software are you using for the MonteCarlo analysis? For the MonteCarlo work I've written my own routines. I don't know of any software...
It's pretty obvious some of you are expert model builders. Please contribute! Here's a historical report that was run from one of the...
Here's another paper worth downloading. http://www.turtletrader.com/mfa-articles/diz-rez.pdf
I guess I should have been a little more clear. I have a opportunity to hang out with some old friends from Chicago and see the series. I wasn't...
The modified sharpe ratio I posted is the monthly sharpe...not annualized.
Yes, the two subjects are mutually exclusive. I wanted to show the benefits of building systems this way and then switching to the process of...
The last post of the night. I wanted to just show how to use the model to get a boost in returns while reducing the drawdowns. I'm tired so this...
Tradestation was used to do the trades and monthly numbers. I then have a program that creates the test files.
Here's the historical report for the same period with all of the weighting numbers plugged in. Risk per-trade .3% Annualized return 75.3%...
Well here's the mmgt projected report for the 5 models. The goals: 67% average return --- beat 72.1% 87% of all months profitable -- beat...
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