Search found 10 matches
- Tue Oct 22, 2013 3:41 pm
- Forum: Trend Indicators and Signals
- Topic: How to determine Rate of Change from MACD?
- Replies: 14
- Views: 16488
- Tue Oct 22, 2013 3:16 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 36403
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...
- Wed Apr 10, 2013 7:18 am
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 10117
- Fri Jan 11, 2013 11:32 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 41565
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...
- Wed Jan 09, 2013 11:04 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 41565
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...
- Tue Apr 19, 2011 4:21 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 111923
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...
- Tue Apr 19, 2011 2:29 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 111923
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...
- Tue Apr 19, 2011 2:12 pm
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 20903
- Thu Jun 24, 2010 11:38 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 97307
- Tue Jun 15, 2010 7:02 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 97307