Normal
Tech, with regards to Q1 and Q2, yes I would be evaluating the system on closed trades plus equity position at any one point in time. So if we entered the market at any point in time with say 100k cash, I would monitor TT performance at any point in time by how much cash is left in the trading account plus the value of all equity positions (ie total assets). So any comparison percentage wise of TT I would look at the % rise/fall of total assets compared to original assets (100k).I assume (if I rememeber correctly) that in backtesting TT there is no account for dividends/franking credits recieved - but this is offset by the non inclusion of brokerage on trades.... ie we'll assume they cancel each other out.The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.The reason i chose this period was to incorporate analysis of TT in a downmarket, but also give it enough time (> 3 years) to provide meaningful analysis. I'm not expecting TT to return positive, but am very interested in the results.OK..... sneaking in another question Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ieWhen do you run TT, each day? Do you download daily EOD data and Run?How do you implement buys/sells TT has flagged (ie online broker, full service broker, automatically?)How do you determine position size when entering a trade?Do you implement all buy/sell signals or some? If only some how do you chose which ones? Does TT rate the strength of buy/sell signals relative to each other? ooooohhhhh i'm getting greedy now - was that 1 question or 10!!CheersTJ
Tech, with regards to Q1 and Q2, yes I would be evaluating the system on closed trades plus equity position at any one point in time. So if we entered the market at any point in time with say 100k cash, I would monitor TT performance at any point in time by how much cash is left in the trading account plus the value of all equity positions (ie total assets). So any comparison percentage wise of TT I would look at the % rise/fall of total assets compared to original assets (100k).
I assume (if I rememeber correctly) that in backtesting TT there is no account for dividends/franking credits recieved - but this is offset by the non inclusion of brokerage on trades.... ie we'll assume they cancel each other out.
The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.
The reason i chose this period was to incorporate analysis of TT in a downmarket, but also give it enough time (> 3 years) to provide meaningful analysis. I'm not expecting TT to return positive, but am very interested in the results.
OK..... sneaking in another question
Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ie
When do you run TT, each day? Do you download daily EOD data and Run?
How do you implement buys/sells TT has flagged (ie online broker, full service broker, automatically?)
How do you determine position size when entering a trade?
Do you implement all buy/sell signals or some? If only some how do you chose which ones? Does TT rate the strength of buy/sell signals relative to each other?
ooooohhhhh i'm getting greedy now - was that 1 question or 10!!
Cheers
TJ
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