Search found 68 matches
- Tue Mar 06, 2012 7:16 pm
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10798
- Mon Mar 05, 2012 8:16 pm
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10798
Thanks for your kind comments, Ric and Marriot. If I had to guess (and that is all I can do) I would say Winton did the following optimization of their trading system: Minimize volatility subject to achieving a return greater than or equal to the typical pension fund return assumptions. I think Wint...
- Mon Mar 05, 2012 10:57 am
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10798
Here's one I prepared earlier ... Here's an analysis of the change in performance of Winton's Diversified Fund over the last 14 years which I did as an illustration of a Change Detection Algorithm. Look near the beginning of this post where I set up the problem . Look at the last section in this pos...
- Thu Mar 01, 2012 11:36 am
- Forum: Testing and Simulation
- Topic: Should one calculate ATR based on the back-adjusted series?
- Replies: 2
- Views: 2528
Depends how you did your back-adjustment. If you used a Panama approach (i.e. adjusting each contract up or down by addition) ATR is same for the actual and back adjusted series: Adjusted Price = Actual Price + delta => adjusted ATR = Actual ATR If you used a ratio approach, to get the traditional A...
- Thu Feb 16, 2012 11:49 am
- Forum: Testing and Simulation
- Topic: Sharpe Versus Annual Sharpe
- Replies: 7
- Views: 4693
Upon waking this morning, I realized that the most likely source of differences in the Sharpes is going to be in the risk-free rate if the averages and standard deviations agree - doh! These years of zero short-term interest rates are having some effect - on my brain! Jake, I would definitely apprec...
- Thu Feb 16, 2012 1:07 am
- Forum: Testing and Simulation
- Topic: Sharpe Versus Annual Sharpe
- Replies: 7
- Views: 4693
trender41, I am not sure how deep into this I want to get, but there are issues with some of the statistics produced by TB. I have a long-standing project under development: a TB statistics audit block. The idea being every time you upgrade to a new version, you throw this block into your system and...
- Tue Feb 14, 2012 5:04 pm
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12557
The analysis might be thrown off by the initialization of the EMA's. I don't know how many bars of data you are fitting to - this effect becomes less significant the more bars you have. Possible ways of dealing with this: 1) Perhaps if you introduced two additional variables, the initial values of E...
- Sun Feb 12, 2012 1:34 pm
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12557
I was curious so I looked at the pdf (linked by Babelproofreader) describing the indicator. Since the formula for the indicator is specified, I assume that it is the parameters you are trying to figure out. Here's some things I noticed: 1) The diagram on page 2 must be a conceptual representation ra...
- Tue Jan 31, 2012 12:02 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40866
Dean, There is something funky with those numbers. For example, if the data is for 5 years of returns, there are several entries where the compounded return is positive but the Sharpe is negative. Since arithmetic return is always greater than geometric (i.e. if compounded return is positive then ar...
- Sun Jan 29, 2012 1:43 pm
- Forum: Futures Markets
- Topic: Eurodollar (ED) - limited upside - PART 2
- Replies: 8
- Views: 5101
My understanding of ED is the settlement price is 100 - 3 month Libor. i.e. as rhc says, if 3 month Libor = 0% at expiration, then the settlement is 100. So, unless Libor goes negative, ED is capped at 100. Question is, can ED Libor go negative? I searched around and could only find examples of Swis...
- Fri Jan 27, 2012 4:04 pm
- Forum: Testing and Simulation
- Topic: Traders, learning to write computer programs
- Replies: 20
- Views: 13341
In addition to Matlab / Octave, I would recommend R, in the role suggested by PNW_Trader. It's open source, there is a huge library of gnu packages that comes with it, a lot of focus on financial time series analysis, etc. It seems, to me at least, to be the dominant statistical package in academia....
- Tue Jan 24, 2012 3:33 pm
- Forum: Testing and Simulation
- Topic: Following your system . . . . with a delay
- Replies: 18
- Views: 11208
Now if you are in the original trade and it moves against you then how is this different to entering the trade a bit later on at the risk you can afford. It's a variation on the Monty Hall problem - the trade moving against you is like one of the doors being opened: you have posterior information. ...
- Tue Jan 24, 2012 1:22 pm
- Forum: Testing and Simulation
- Topic: Following your system . . . . with a delay
- Replies: 18
- Views: 11208
I would say it depends on what information you have about your system and how it trades in terms of probabilities. Beware of the possible implications of what you find. For example, if the expected return of a trade entered with a delay is higher than that of a trade entered immediately, should you ...
- Mon Jan 09, 2012 12:19 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 24277
Nice work stopsareforwimps. Here's something similar I did a while ago. Almost the same idea (contracts filtered and ordered by volatility on the vertical axis, dependent contracts on the horizontal). I used a different set of contracts and looked at only 3 cases: 5% most volatile days upwards, down...
- Tue Dec 13, 2011 1:34 pm
- Forum: Brokers
- Topic: Interactive Brokers & Re-hypothecation
- Replies: 19
- Views: 28670
I find ZH's blog site to be fun and all, but whoever writes it has a penchant for hyperventilating. Let's be clear, without hypothecation you couldn't extend margin loans to clients. Do you expect the broker to lend their own capital to you so you can buy assets with their money? Of course not, they...
- Wed Nov 02, 2011 3:57 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9309
- Wed Oct 26, 2011 12:42 pm
- Forum: Trend Indicators and Signals
- Topic: Why spending too much time on forecast?
- Replies: 5
- Views: 6648
- Thu Oct 20, 2011 12:01 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13067
I think there are two approaches to this ... 1) If you run a back-test today and get a certain set of trades, then run a back-test at a later date after the current set of front-month contracts have expired then the back-adjusted contract values will have changed due to the rolls taking place betwee...
- Thu Oct 20, 2011 11:49 am
- Forum: Trader Psychology
- Topic: Current Market Psychology
- Replies: 11
- Views: 10584
- Mon Oct 17, 2011 8:05 pm
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 19277