Recent Content by Tompson

  1. Fully automated futures trading

    Thanks, this is very helpful. I think this is the equivalent on the USD side:...
    Post by: Tompson, Feb 5, 2020 in forum: Journals

  2. Fully automated futures trading

    Thanks, this makes a lot of sense. The $1M question is: are there any products similar to your system? Your old shop has AHLIX / AHLPX which...
    Post by: Tompson, Feb 4, 2020 in forum: Journals

  3. Fully automated futures trading

    Slightly off topic perhaps but while this strategy makes new highs year after year, I notice managed futures ETFs such as WTMF tend to make new...
    Post by: Tompson, Feb 3, 2020 in forum: Journals

  4. What is the maximum "limited risk" leverage possible?

    What would be the highest leverage 'limited risk' position (e.g. to play a possible move from lower to upper trading band)? Allow me to give an...
    Thread by: Tompson, Jan 4, 2012, 3 replies, in forum: Trading

  5. Minervini blowup?

    His blog stated that there was a buy signal on July 1 and subsequent videos detailed the process of getting fully invested. Then the market...
    Thread by: Tompson, Aug 13, 2011, 3 replies, in forum: Trading

  6. Can linear regression analysis really predict the future?

    Nice curves - looks like your spline fit is better than mine (MATLAB?). My test was frictionless but could be reproduced with Direxion funds or...
    Post by: Tompson, Dec 2, 2009 in forum: Strategy Building

  7. Can linear regression analysis really predict the future?

    Yes, the pivot is simply (C+H+L)/3. If the high and low are equally spaced around the close then pivot = close. (C + (C+x) + (C-x))/3 = C...
    Post by: Tompson, Nov 25, 2009 in forum: Strategy Building

  8. Can linear regression analysis really predict the future?

    Yes, great paper. 40 downloads of my last plot but this thread seems to be dying ...
    Post by: Tompson, Nov 25, 2009 in forum: Strategy Building

  9. Can linear regression analysis really predict the future?

    Here's a sample equity curve for 1000 daily bars of SPY. Strategy: long on a close below pivot, short above. Also, here is an interesting...
    Post by: Tompson, Nov 25, 2009 in forum: Strategy Building

  10. Can linear regression analysis really predict the future?

    Here are 3 distributions for the last 1000 daily bars on SPY for: close minus open close minus cubic spline close minus pivot The cubic...
    Post by: Tompson, Nov 23, 2009 in forum: Strategy Building

  11. Can linear regression analysis really predict the future?

    Thanks Maestro, I'll verify the distributions over the weekend and then test some simple rules, out of sample on daily SPY data. Will post...
    Post by: Tompson, Nov 19, 2009 in forum: Strategy Building

  12. Can linear regression analysis really predict the future?

    Also, if anyone wants to code a spline in their normal backtesting software without going to MATLAB or R, this is how to do it: | T St...
    Post by: Tompson, Nov 19, 2009 in forum: Strategy Building

  13. Can linear regression analysis really predict the future?

    Maestro - very interesting thread! So the next bar close has a normal distribution around the forecasted close using a cubic spline method?...
    Post by: Tompson, Nov 18, 2009 in forum: Strategy Building