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Search: Posts Made By: drolles
Forum: Commodities May 4th, 2014, 04:19 PM
Replies: 1
Views: 1,589
Posted By drolles
Momentum strategy backtest under capital constraints

Hi,

Has anyone ever seen a good study (academic or otherwise) that does an analysis of implementation of a trend following strategy with a limited account?

There are some good examples here...
Forum: Traders Hideout January 19th, 2014, 08:52 AM
Replies: 2
Views: 2,300
Posted By drolles
positions sizing with each approach

We tested three types of position sizing: Rectangular, Triangular and Inverted Triangular, where we entered/exited over a different number of periods.

To give a specific example, if we had 6...
Forum: Traders Hideout January 11th, 2014, 09:14 AM
Replies: 2
Views: 2,300
Posted By drolles
Scaling positions - mean revision system

We have been trying to test the difference made to a simple mean-reversion strategy on the ES based on Keltner bands by different types of entry and exit methods.

The strategy is a standard...
Forum: Brokers October 25th, 2013, 09:48 AM
Replies: 14
Views: 17,379
Posted By drolles
I found this as the best description of how to...

I found this as the best description of how to set it up. It worked for me:

NinjaTrader Support Forum - View Single Post - IB Gateway...
Forum: NinjaTrader September 15th, 2013, 05:46 AM
Replies: 3
Views: 2,833
Posted By drolles
Hi, I’ve managed to craft something using...

Hi,

I’ve managed to craft something using the link above.

It is a simple case of looking at the correlation of 2 instruments. But it is a starter. Code attached here.

It prints the...
Forum: NinjaTrader September 7th, 2013, 06:59 PM
Replies: 3
Views: 2,833
Posted By drolles
correlation matrix in C# for use in NT?

All,

Could someone help?

Has anyone seen a simple implementation of a linear correlation matrix for C# to use in NT?

I’ve found this so far: Linear correlation and statistical functions -...
Forum: Trading Reviews and Vendors June 1st, 2013, 01:27 PM
Replies: 15
Views: 12,512
Posted By drolles
Guys, Thanks very much for the prompt...

Guys,

Thanks very much for the prompt replies.

And for correcting me; I understood the implementation to be a something other than a standard language – I played with Python many years ago...
Forum: Trading Reviews and Vendors June 1st, 2013, 06:54 AM
Replies: 15
Views: 12,512
Posted By drolles
Hi, Dan. Love your concept and very excited...

Hi, Dan.

Love your concept and very excited about start-ups like Quantopian.

The thing I didn’t understand is why you went down the proprietary language route. Why didn’t you guys run with a...
Forum: NinjaTrader May 30th, 2013, 05:54 PM
Replies: 3
Views: 1,512
Posted By drolles
Check the data or force NT to test on data it has

Hi,

As you know, I’m trying to test this against the S&P500.

I use IQFeed as a data provider; therefore the back history you can get on the S&P500 shares varies. NT is testing only once it has...
Forum: NinjaTrader May 29th, 2013, 12:03 PM
Replies: 3
Views: 1,042
Posted By drolles
use of decmials and doubles c#

I thought this might be an interesting cross post.

I had some funny moments with -ve values using doubles, so I googled the use of decimals. I found this on StackOverflow.

It appears they...
Forum: NinjaTrader May 29th, 2013, 08:16 AM
Replies: 3
Views: 1,512
Posted By drolles
Testing harness?

Any thoughts on a testing harness for a solution like this?

Unlike the usual visual trading system (e.g. Bollinger Band Breakouts) one can’t do the usual:

1. Check for the outlaying trades...
Forum: NinjaTrader May 6th, 2013, 06:23 AM
Replies: 3
Views: 1,512
Posted By drolles
type of stock screening for NT - code + suggestions

Just looking to bounce something off some of the futures.io (formerly BMT) members. I’d appreciate any input.

NT doesn’t have a stock screener (silly, I agree).

So I’m looking to validate some...
Forum: Trading Reviews and Vendors May 6th, 2013, 04:42 AM
Replies: 3
Views: 3,472
Posted By drolles
Oxford Capital Strategies (www.oxfordstrat.com)

All,

I'm wondering if anyone else has come across this site before: Strategies | Oxford Capital Strategies Ltd | Algorithmic Trading (http://www.oxfordstrat.com/category/trading-strategies/)
...
Forum: Trading Reviews and Vendors May 5th, 2013, 04:55 PM
Replies: 1
Views: 2,486
Posted By drolles
QuantWolf - Trading Strategy that Work - Views?

All,

I'm wondering has anyone got any views on the work these guys do?

QuantWolf (http://www.quantwolf.com/)

Or any views on the books?

Simple Trading Strategies That Work...
Forum: NinjaTrader May 4th, 2013, 09:52 AM
Replies: 68
Views: 34,678
Posted By drolles
I think this is more a confirmation than a...

I think this is more a confirmation than a question, I've now watched the recording of the last session and closely watched the Strategy Analyser part.

Firstly, very impressed with the workflow...
Forum: Platforms and Indicators April 19th, 2013, 07:41 AM
Replies: 1
Views: 1,677
Posted By drolles
Tonight in London - London Systematic Traders Club meeting - platforms discussion

Tonight in London the London Systematic Traders (LST) Club will be hosting an discussion on trading platforms. See the meet-up link: Trading software evening seminar & networking event - London...
Forum: NinjaTrader March 29th, 2013, 05:07 AM
Replies: 68
Views: 34,678
Posted By drolles
Thanks Mike. Yes, I understood that a...

Thanks Mike.

Yes, I understood that a portfolio of strategies wasn't supported. However, I didn't understand if they were scheduled to fix the managing of multiple instruments in a single...
Forum: NinjaTrader March 28th, 2013, 01:20 PM
Replies: 68
Views: 34,678
Posted By drolles
Portfolio of instruments

Anyone?
Forum: NinjaTrader March 3rd, 2013, 08:13 AM
Replies: 68
Views: 34,678
Posted By drolles
Another good webinar from Ray. How may CEOs of...

Another good webinar from Ray. How may CEOs of tech companies would come to do a full technical demo. Respect!

Very disappointed to hear that NT8 is not going to include portfolio analysis of...
Forum: Psychology and Money Management March 3rd, 2013, 07:50 AM
Replies: 19
Views: 14,041
Posted By drolles
some thoughts

Thanks for starting this thread.

As usual I was Googling this and it brought be back to nexusfi.com (formerly BMT) as one of the members had already attacked the problem. Thanks very much.

I...
Forum: Psychology and Money Management March 3rd, 2013, 07:09 AM
Replies: 19
Views: 14,041
Posted By drolles
Mike, thanks for that. Can I just check, isn't...

Mike, thanks for that. Can I just check, isn't this very close to looking for the highest Sharpe ratio?
Forum: NinjaTrader February 19th, 2013, 04:40 AM
Replies: 11
Views: 12,177
Posted By drolles
Would a solution be to search the trade...

Would a solution be to search the trade collection for trades that occurred that day, then add the current PnL?

if (dailyPnL > -(maxLoss))
{

if...
Forum: NinjaTrader February 16th, 2013, 07:11 AM
Replies: 14
Views: 5,982
Posted By drolles
Better solution for parsing the Order.Name string

Hi,

I've found a better solution for parsing the number from the order number string. I would recommend this method above the previous one posted. The previous isn't as robust.

protected string...
Forum: NinjaTrader February 10th, 2013, 05:11 AM
Replies: 14
Views: 5,982
Posted By drolles
Active list of open executions

One possible solution I think I’ve come to is keeping a list of open execution.

That is when OnExecution is called to open a solution position (“Long Entry 1”) add it to a list for Open...
Forum: NinjaTrader February 9th, 2013, 09:30 AM
Replies: 14
Views: 5,982
Posted By drolles
Tried these, but none of them worked. ...

Tried these, but none of them worked. foreach (Execution x in this.Executions)
{

if (x.Name.Contains("Short...
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