Yep, perfectly clear and thorough. Thanks for the patience with the elementary stuff.
Weak. There was a nice combination of learning and entertainment there. I had what I thought was a legitimate question on data in there...I...
Wow - really surprised at the magnitude of the differences. For the unitiated like myself, here is some info on how the 16:00 vs. settlement...
I'll admit to not knowing the exact reason behind this - although I've heard the concern expressed in multiple places. My searches for the answer...
Man - did you ever find a provider/solution for this? I am currently trying to tackle the same issue (albeit with a much smaller budget)....
Talon thanks for the input on the position sizing question. I put together a quick analysis of how both approaches fare in various vol regimes...
Had some trouble with the file size, so I had to cut it down to bare essentials. Sorry. Chart is in there though which shows average daily...
Makes perfect sense to me, especially with all thats going on in this country right now. Who knows whats to come. Attached is a sheet that...
I should have added here that to take advantage of this you'd have to look at dollar profits instead of %s during testing, which is uncomfortable,...
Thanks for the reply Mike. I was more inclined to think in terms of having constant risk rather than constant position size. Which in my opinion...
Before applying a vol filter, if we use a fixed position size and do not employ stops, we are already taking on more risk in high volatility...
Two ideas come to mind: A. Detrend by subtracting the average daily return for the entire testing period from the actual daily returns and then...
Yep, that's exactly what it is...of your 1075 trades, we agree on Symbol, Entry Date, Exit Date on 1021, have differences on 46, and you have 8...
More than fair. I normally use VBA and Amibroker (can access R through it...still learning though), but will post results in Excel for ease of...
I think either way would be helpful. Even though you have already posted the rules, would you be willing to go through the development from the...
Nice, good to have you back over here. Capturing the drag on the lev etfs was one of the first ideas i looked at...ran a bunch of sims with...
Talon- On some old posts here on ET, a poster shared his methodology for handling correlation risk among systems. Basically, he measured the...
Thanks for continuing to address questions, Talon. I think what has made this thread so helpful and much better than anything I've previously...
One additional question if you don't mind. For a system that has multiple day holding periods, is this as simple as taking the system's average...
Talon- Thanks for your efforts here - appreciated. I was actually going to ask how you manage the correlation risk on a basket of stocks...
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