Recent content by Tuffty

meanreversion, Going back to your first post to test the 'edge' of a system I have used random trades. I've done this by taking the time profile of system generated trades and thrown these randomly at the market traded.(eg Long 3hrs, short 1hrs etc) without allowing overlaps in trades. Do this...

Adamus, Finding a system that is not curve fitted but will take money from the market isn't easy as all systems have a degree of curve fitting in them otherwise they'd just produce random trades. The methodology of trying 3125 goes without any 'walk forward' period is very highly curve fitted...

Instead of max drawdown to return ratio it may be better to use a drawdown level where there is a higher level of reliability (ie where you've got more stats for). For example on the run of 10,000 trades look to see where say 95% of drawdowns ended and use that in the ratio.

Keep it up for 10 years and you have $1bn, another 10yrs and you'll have £38 trillion. What do you think of my maths? Does it make sense?

For more about the theory it may also be worth reading a series of posts by Acrary on EliteTrader about multiple system sizing.

Jon, Looks like 9.15 according to this page Incident Management Customer Communication

Thanks Aspire. I couldn't find anything on it on the Liffe website. In the contract spec it still states 17.30.

Does anyone know if LIFFE have extended the trading hours for FTSE100 future. Used to be 8.00 to 17.30.

I had a problem recently where my broadband kept getting dropped but re-connected straight away. I updated the router/modem software to the latest version and it seems to have fixed the problem.

Define correct open..... The open on the index value is an issue if all the shares haven't traded. I understand the openning auction was designed to overcome this however you may want data before this came about. Getting futures data will give you a tradeable price at the open, but it won't...

Here's the link to the IG Prospectus when they came back to the market for anyone interested in their business model. www.trade2win.com/boards/showthread.php?t=14891&page=2&pp=10 For me the figures on p25 (Client acquisition and retention) were the most interesting.

Search this site to find a pdf file of the Listing document when IG Index came back to the market. This explains what they do re hedging.

I've just looked at the FTSE100 24hr moves close to close since 14/4/98 to 16/3/07. I choose those two dates because the FTSE level was around 6100 on both dates so we're not getting any upwards bias into the results. However I've not adjusted for the index going ex-div. There is a slight...

The stats are from Siegel; Stocks for the Long Run; 2002. (page 218) The sample size is only 51 (ie he's only noted the 51 biggest one day moves, the smallest move being 6.31% and the largest -22.61%) . The total up% and down% comes out as pretty much same ratio as the nos of up v down at 46%...

Of the largest one day moves in the Dow since 1885 55% were down and 45% were up. There does appear to be some bias towards fear but not as much as (I think) is generally thought.