Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; If your stake size is a fixed $ amount, you're not going to see any compounding .. is that right?...

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Old Jan 24, 2011, 1:41pm   #743
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Re: Deadline June

If your stake size is a fixed $ amount, you're not going to see any compounding .. is that right?
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Old Jan 24, 2011, 1:47pm   #744
 
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Post To do's today: more on Gap Filler

Adamus started this thread *backtest Gap Filler using 1 tick time series for the entries
*optimise Gap Filler for time series on the Friday closing bar (to see if a robust-looking increase/decrease occurs, for all ye curve-fitting spotters)
*create portfolio strategy for all pairs - call it Polyfiller
*import 4th Q tick data from disk trading
*import 1min data from 2000 on for FXCM
*run out-of-sample test unoptimised on non-disktrading pairs 2008-2010


By the way if you had the choice between historical 1 min bar forex data based on the bid or based on the ask, which would you take?

That list button on the wysiwyg editor doesn't do anything, does it?
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Old Jan 24, 2011, 1:49pm   #745
 
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Compounding

Adamus started this thread
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Originally Posted by meanreversion View Post
If your stake size is a fixed $ amount, you're not going to see any compounding .. is that right?
Quite right.
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Old Jan 24, 2011, 1:50pm   #746
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Re: Deadline June

can you not just get the mid?
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Old Jan 24, 2011, 2:05pm   #747
 
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Re: Deadline June

Adamus started this thread
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Originally Posted by meanreversion View Post
can you not just get the mid?
No. Bollox NinjaTrader.
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Old Jan 24, 2011, 3:10pm   #748
 
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Post Not my last post today. More Gap Filler

Adamus started this thread Successfully avoiding doing what I need to do - thought I'd collate the various sources I'm using for Gap Filler development.

http://traderfeed.blogspot.com/2006/...d-to-fill.html

http://www.thegapguy.com/blog/brett-...-explored.html

http://www.futuresmag.com/Issues/201...ng.aspx?page=2

http://www.masterthegap.com/

http://www.tradingfutures.biz/page11.html
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Old Jan 25, 2011, 10:25am   #749
 
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To do's today again: more on Gap Filler

Adamus started this thread * optimise Gap Filler for time series on the Friday closing bar? I decided to scrap this. This is a red herring and a possible source of curve fitting. The important numbers are the last tick on Friday and the first tick on Sunday.

* optimise the NinjaScript for speed if using 1 tick bars

* backtest Gap Filler using 1 tick time bars

* try with filter to prevent trading small gaps

* try with filter to prevent trading against the trend

* try stop distance = 40% * Fridays true range (only tested using 15min ATR length 2 to 10).

*create portfolio strategy for all pairs - call it Polyfiller

*import 4th Q tick data from disk trading

*import 1min data from 2000 on for FXCM

*run out-of-sample test unoptimised on non-disktrading pairs 2008-2010
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Last edited by Adamus; Jan 25, 2011 at 11:22am.
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