Comments on Milk Trader: Walking forward the Bumblebee - We have issues

Excellent post. Just to let you know that we have ...

2009-09-24T00:47:36.772-07:00

Excellent post. Just to let you know that we have featured your post on our site today. ( http://www.tradingnewscenter.com/articles/walking-forward-bumblebee-we-have-issues )

Milk- Thanks for the tip: I'll be more attenti...

2009-09-23T10:54:00.435-07:00

Milk-
Thanks for the tip: I'll be more attentive to the yahoo group.
For the drawdown percentage: I want to know what percentage of CURRENT equity the drawdown represents. For example if you know that your account grows from 100k to 200k and your max drawdown is 60k - this might be acceptable if the drawdown is at the end (ie from 260 to 200 = 23%) but not right at the beginning (ie 100 to 40 = 60%). Traders Studio seems to only give you absolute max drawdown. There might be ways around it and I need to play with it more seriously again!

I'll be sure to look into your post, as I'...

2009-09-23T10:26:21.139-07:00

I'll be sure to look into your post, as I've just started working with back-adjusted futures (Pinnacle Data) and need to understand limitations.

Murray does frequent the Yahoo board and has actually posed a programming challenge to the group. May be interesting for you to follow.

And I've heard good things about Trading Blox, but the price tag a little steep.

About percent of equity drawdown versus an absolute value, do you mean what percent of a 100K account would have suffered an x percent drawdown historically?

Milk: Thanks - I did register a while back on the...

2009-09-23T09:11:00.946-07:00

Milk:

Thanks - I did register a while back on the yahoo groups but have not been there much. I do not have a specific problem at hand. I have gone through the docs and sat down to look around the app; and for anything more than "simple" trading systems, it did not appear straight-forward at all and with a doc not so useful. I was planning on compiling a list of questions on either the TradersStudio website forum or the EliteTrader forums where Murray Ruggiero (founder) seems to be pretty responsive to queries - I guess I still havent gotten my aha moment... ;-) I'll keep at it!

One thing I remember for example is that there did not seem to be an easy way (or not at all) to output the max drawdown as percent of equity as opposed to absolute values.

Not sure if you looked at trading blox (they have a free trial) but it looked more intuitive (but 3 grand!).

Regarding back-adjusted contracts (re: your last comment) you should ensure that they are proportionally adjusted if you want to keep percentage ratios intact, as standard back-adjustment will "screw that up" (sorry about the shameless plug but I just posted about it on my "very new" blog: http://www.automated-trading-system.com/what-everybody-ought-to-know-about-continous-futures-contracts/)

Jez: TradersStudio does have a steep learning cur...

2009-09-23T05:29:20.914-07:00

Jez:

TradersStudio does have a steep learning curve, but I think the process is worth it in the end.

I've found some help on the Yahoo TradersStudio board for coding issues. I also subscribed to an online Visual Basic learning site (LearnVisual.net) to learn more about programming, as I am a complete neophyte.

There are various examples of systems that comes with the software, and I slog through them until I get an 'aha' moment.

I also follow along with Rich Denning's program examples in TASC.

What is your complex programming issue? I can post it as a Programming Problem of the Month to the Yahoo folks.

I'll may use the stretch percent for N days id...

2009-09-23T05:16:32.636-07:00

I'll may use the stretch percent for N days idea for a future version of Bumblebee, but not ready to give up completely on the current 'White' version. There is an issue with using % when dealing with back-adjusted contracts that I need to understand as well.

Another area that I need to explore is allowing the non-sense trades into the mix. Those are trades where the slow MA is 'faster' than the fast MA. The fitness function was registering these trades until I programmed a filter to get rid of the buggers.

As to symmetrical optimize:walk-forward periods, I've always seen the ratio as 2, 3 or 4:1, but never 1:1. I'll have to ponder that concept.

I ran a 3300 permutation overnight with a 300:100 optimize:walk-forward ratio. I also ran the 200:50 ratio with 480 permutations (as documented above) but this time with a different fitness function. The results are here: http://chart.ly/6w8vp4

How are you finding Traders Studio? I find it qui...

2009-09-23T03:50:14.554-07:00

How are you finding Traders Studio?

I find it quite hard to seriously get into it and quite confusing/counter-intuitive (and I am a programmer by trade!). The documentation is pretty poor I find, and I am lacking good code examples to learn more complicated stuff. Such a shame that Trading Box is 6x more expensive!

Any tips on how you sped up your learning curve (ie website, etc.) as you seem to be managing pretty well on the coding side of things... I am sure the rest will follow
On my side I did find a website called tradersedgesystems (.com) with some sample code...

Milk, have it buy when your short MA is stretched ...

2009-09-22T22:26:31.977-07:00

Milk, have it buy when your short MA is stretched X% beneath the long MA fo N days.

Use your current buy signal as your sell signal.

I like making the walk forward symettrical. Have it learn 6 months, then test 6 months. You may have skewed performance by getting such a small sample.