Replies to post #446 on Systematic Investing Group (SIG)

[leapyear92]

Sure have! Noticed a folder devoted to X-Dev :-)

Wish I spent more time learning PASCAL back in the day...

Interesting, the most profitable systems are those that scale into a position.

Problem is, the inevitable deep diver. That is handled in most cases by limiting risk to 3% of your portfolio value and limiting the number of postions to 3. Problem is the annual return drops from 26% down to 5%!

This is a tough game...guess that's why we are all facinated by it.

Regards,

Leap

[leapyear92]

Hey Myst!

Your idea is the latest on the Wealth-lab hit parade.
Thanks to fdpiech.

Regards as always,

Leap

[Conrad]

Myst,

This Wealth Lab Thing appears to be an interesting platform for testing a system like X-DEV or Vortex. I have not yet been able to download it for some reason(12 MB !!!)

The way I understand it is that it is an analysis framework in which you can imbed the specific trading rules of say E-DEV or Vortex and that you then can do optimisation runs with historical prices and test various entry/exit strategies that one might not have as yet as standard feature in his own program.

Is this about right?

If so it is what I need.

Question

When you test a program like X-DEV with WLD do you make a software connection so that these programs interface and run at the same time or do you simply enter the X-DEV trading algorithms into the WLD Input Module?

I have been searching for a way to have Vortex do optimisations automatically but have not found the answer yet other than doing the programming for this ourselves.

Any suggestion on this will be appreciated.