Search found 7 matches

by fjpenney
Fri Apr 27, 2012 10:33 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 16638

One other index is the IASG Trend Following Strategy Index ( http://www.iasg.com/managed-futures/cta-indexes/index/trend-following-index ). Be forewarned, however, that published monthly performances continue to change for at least a year. For example, the change for March is now showing -2.35%. Che...
by fjpenney
Wed Feb 22, 2012 5:03 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 40279

AFAIK = As Far As I Know
by fjpenney
Tue Sep 27, 2011 2:17 pm
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 24976

I started my system on July 28, 2010 and looked like a hero for a number of months. I happened to launch at a good time. That was luck, not skill. Another option which hasn't been noted would be to invest the funds in equal amounts at given time intervals. For example, invest one third in open posit...
by fjpenney
Sat Jul 23, 2011 5:29 am
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 19371

I think the main point here is that funds are being compared over the same time period. That's a starting point. Of course, if you were considering allocating money to a fund you would look at the fund's longer term performance to see how it fared through all the cycles. Prior to the table being org...
by fjpenney
Fri Jul 22, 2011 9:01 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 19371

Thanks for doing that Dean. Sorting by CAGR/WDD (in other words the MAR ratio) I see that there is a small number of funds that have a ratio greater than 2.0. There aren't many funds that achieve that kind of performance. I am very close to having one year of published trades on Collective2 and my M...
by fjpenney
Sat Jul 16, 2011 11:53 am
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 19371

Dean: Thanks for providing the info on your site. I have an issue though with providing the worst drawdown, for example, when the timeframe is different for each advisor. What is the point of providing a worst drawdown for a one year old fund and a fifteen year old fund without noting the different ...
by fjpenney
Sun Mar 20, 2011 6:30 pm
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 21340

As a trend trader with an ETF trend trading system on Collective2, I don't have a problem with the occasional rough patch. Its times like this that separate the well designed systems from everything else. After all, we are all trading stars when the there are strong trends to ride.