Search found 10 matches

by doubleR
Tue Oct 22, 2013 3:41 pm
Forum: Trend Indicators and Signals
Topic: How to determine Rate of Change from MACD?
Replies: 14
Views: 10524

technically (instrument.macd - instrument.macd[5])/5 is not a "rate of change"... more like "velocity", how much macd goes up on average in the last five days rate of change would be instrument.macd ( ---------------------- - 1 ) * 100 instrument.macd[5] this is a proper % rather than a number linke...
by doubleR
Tue Oct 22, 2013 3:16 pm
Forum: Testing and Simulation
Topic: Triple Moving Average Experience
Replies: 36
Views: 24682

because markets have different speed to the upside vs downside when considering three moving averages A = sma 10 days, B = sma 20 days, C = sma 100 days (short, medium and long term for example) buy when A>B always (> means cross over) sell when A < B IF B below C (< means cross below) but... if B h...
by doubleR
Wed Apr 10, 2013 7:18 am
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6790

"Caveat 1. "All taxes, fees and costs are ignored for simplicity". It is a pity that life is not simple" fees and cost indeed cannot be ignored however using monthly models these costs are reduced. As per taxes, in UK for example, one can build 2 accounts for ISAs and SIPPs and trade those. GRANTED ...
by doubleR
Fri Jan 11, 2013 11:32 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 21968

One indicator I found most useful is the Deutsche Bank G1 Carry Trade (FXCARRSP Index on your bberg). I was interested in the relationship between RISK ON/OFF and the carry trade on a basket of currencies. The DB index shows the return of a simulated carry FX. From 2009 onwars the DB carry Index has...
by doubleR
Wed Jan 09, 2013 11:04 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 21968

it is also possible that the unprecedented joint intervention of all Central Banks into FX, bonds and stocks has killed volatility and being a trend follower means to be long volatility. Those in 'charge' are forcing the hand of investors into things that, maybe, they would not invest in 'normal' co...
by doubleR
Tue Apr 19, 2011 4:21 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 82734

1. What is the buy and hold return (with dividends invested) for the index itself for the period? SXXR index starts early 1992 at 100 and it is currently at 461 after almost 20 years so an 4.6 x increase. My portfolio starts with 1,000,000 and ends at 13,000,000 (so a 13x increase) 2. Have you looke...
by doubleR
Tue Apr 19, 2011 2:29 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 82734

I have tested on the 200 european large cap stocks from the DJ 200 LCXP index (on bloomberg) a LTTF (long only) from TB. The risk per trade is 0,05% CAGR 13% from 1/1990 until 3/2011 with a 22.3% Max DD I use zero for interest rates to penalize the system. Divi included in the adjusted price of each...
by doubleR
Tue Apr 19, 2011 2:12 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 14226

CASS University paper can be found here

http://www.cass.city.ac.uk/__data/asset ... hes....pdf
by doubleR
Thu Jun 24, 2010 11:38 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 74105

just a quick thank you to AFJ for the excellent book - a refreshing read

well done
by doubleR
Tue Jun 15, 2010 7:02 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 74105

Just put the order for Anthony's book on Amazon.co.uk. Looking forward for a good read on the subject. Thanks!

RR