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  1. Max DD Formula

    Hi Coros482, please be aware that MDD is a path-dependent variable. That means if you reshuffle your trades, they will give you a need max draw...
    Post by: olintner, Oct 20, 2003 in forum: Strategy Building

  2. Historical Intraday Data

    Hi, bought most of my data from CQG data factory, pricing and quality is ok. Since 1999 we collect our own fx data from two data sources:...
    Post by: olintner, Oct 20, 2003 in forum: Data Sets and Feeds

  3. Eurex Quotes & Data (ESignal, IQFeed, IRD/Realtick...)

    Hi, got the IB feed running on the same screen as my Reuters feed - the updates of prices, bid size, ask size, etc. are simultaneous and happen...
    Post by: olintner, Oct 15, 2003 in forum: Data Sets and Feeds

  4. Other Markets to Trade -Evening Hours

    Hi Wavetrader, the Bund currently trades 8:00 til 19:00 CET (11 hours). Eastern Time: open 2am til 1pm West Coast: 11 pm til 10 am...
    Post by: olintner, Oct 14, 2003 in forum: Trading

  5. Eurex Quotes & Data (ESignal, IQFeed, IRD/Realtick...)

    Hi Saschabr, we are collecting tick-data from Eurex sind 1995 through Reuters - the resolution of the updates is significantly less than two...
    Post by: olintner, Oct 14, 2003 in forum: Data Sets and Feeds

  6. Filters & KISS methods

    Hi NoNonsense, the system in mind for the monte carlo simulation is a very short-term break-out system which trades 150 times a year a market....
    Post by: olintner, Oct 14, 2003 in forum: Strategy Building

  7. What software is fastest for backtesting?

    Hi Maxpi, what you should be aware when implementing tick-by-tick tests, especially for stocks is the following data-provider specific problem:...
    Post by: olintner, Oct 13, 2003 in forum: Trading Software

  8. What software is fastest for backtesting?

    Hi maxpi, good luck with your optimization and at least you have an understanding of C/C++! One of the big tasks when working with tick data...
    Post by: olintner, Oct 13, 2003 in forum: Trading Software

  9. What FX broker is everyone using?

    Last time I checked on OANDA (in Europe) they were not able to provide segregated accounts. Therefore if OANDA fails, your money will fail with...
    Post by: olintner, Oct 13, 2003 in forum: Forex

  10. What's different now from 1997 and 1998...?

    Intra-Day-Trend vs Over-Night-Trend If you split an equity index time series (for example the Dow Jones or S&P500) into two parts a) intra-day...
    Post by: olintner, Oct 13, 2003 in forum: Trading

  11. What software is fastest for backtesting?

    Hi Maxpi, we got started in programming and modelling intra-day timeseries data in 1995. Currently we run V6.1 of our own C++ libraries....
    Post by: olintner, Oct 13, 2003 in forum: Trading Software

  12. Filters & KISS methods

    Hi Prophet, when I do a system, I do a 10-year-Monte-Carlo-Simulation of expected MaxDrawDowns. I draw and put back into the sample...
    Post by: olintner, Oct 13, 2003 in forum: Strategy Building

  13. Filters & KISS methods

    Hi T-Rex, I'd like to add my two cents worth of knowledge about common known systems - In the Journal of Finance in 1992, Brock, Laknishok and...
    Post by: olintner, Oct 13, 2003 in forum: Strategy Building

  14. What do you wish you knew...

    The most important factor about business costs in trading: slippage and commissions They have the biggest impact on the bottom line (for...
    Post by: olintner, Oct 13, 2003 in forum: Trading

  15. High Sharpe Ratio Traders/Funds

    Hi Cutten, you are perfectly right that many managers, however excellent their track record, could happen to run into a "peso"-risk, losing...
    Post by: olintner, Oct 13, 2003 in forum: Strategy Building

  16. High Sharpe Ratio Traders/Funds

    Hi WDGann, if balance and perspective are needed - which formulas or views would you suggest to measure the performance of funds? Of course any...
    Post by: olintner, Oct 12, 2003 in forum: Strategy Building

  17. CTAs/Hedge Funds Drawdown Recovery & The Business of Trading

    There's a paper by Fernando Diz with the promising title "How do CTA's return distribution characteristics affect their likelihood of survival"....
    Post by: olintner, Oct 11, 2003 in forum: Professional Trading

  18. High Sharpe Ratio Traders/Funds

    Hi Swish, the definition of Standard Deviation is: square root of the variance. That is, the standard deviation is the average squared...
    Post by: olintner, Oct 10, 2003 in forum: Strategy Building

  19. High Sharpe Ratio Traders/Funds

    The formula for positive expectation is: [1+(W/L)]*P - 1 meaning W/L = pay-off = average winner / average loser meaning P = hit-ratio = number...
    Post by: olintner, Oct 10, 2003 in forum: Strategy Building

  20. Evaluation of Backtested System Results

    A lot has been said about finding a robust parameter set for a given trading system. Graphical interfaces like Excel facilitate that task - but...
    Post by: olintner, Oct 10, 2003 in forum: Strategy Building
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