Recent content by jm99

have you tested that idea? over the last few years asset classes have become much more correlated, its pretty much been one market (although changing recently). rather than smoothing returns diversifying has significantly increased risk and drawdown. just look at the returns of some of the big...

so there is only 1 parameter and this has not been optimised at all?? out of interest, how many lines of el code have u used?

dont take this the wrong way but you havent proven anything other than your able to produce a nice looking equity curve with tradestation. the only way one can have confidence that you havent curvefitted is to follow the development process as mention in previous posts. the best thing u can do...

p3 of 5 of the report shows 144 trades for 2010, pf 1.04, just beats b/e, no??

assuming the results are realistic (big assumption), the results for 2010 are just profitable, with many losing months. would u be happy trading this? mentally v.tough

it is very easy to fool ourselves in the system development process. there are so many biases and potential errors at every stage of the process......its impossible to make any worthwhile judgement with the info u have provided. personally i would only trade a systme that involbves scientific...

has this been optimised? have you done any walk forward/out of sample testing? why cash data, does it perform the same on ym?

Can anyone suggest a data source where i can buy or subscribe to sovereign cds data. tia

makes sense. so with the historic dates on the link, it is safe to assume all "pomo" dates post march 18th 2009 are in the lsap context?? or are there "passes" in there also

errrm lol, well thats what i though, but according to http://www.newyorkfed.org/markets/pomo/display/index.cfm there were over 50 operations prior to 2009. see historical data on right

edit prior to 2005

Does anyonre know where i can get historic dates of all fed POMO days?? tia

yeah would recommend it. only problem is u gotta come back and join the real world again :rolleyes::thumbsdow ged lol

what i meant was that with tick data there is such vast amount of data, it makes testing errors much more likely and difficult to identify. also with such massive amounts of data, running any kind of opt software is so slow. for my experience any strat that relied on a few ticks profits has...

tick data eh :) thats another level of head scratching. v difficult to reliably backtest with (in my experience)