Search found 38 matches
- Wed Nov 07, 2012 2:04 am
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 13303
Re: Trend Index
Look at the performance of Discretionary Trader index vs systematic Trader index...O m g - What a huge difference..So Discretionary traders are way smarter than system traders :( Or more like for the current sample period the discretionary traders have performed better. Different dates, different o...
- Mon Oct 29, 2012 1:34 am
- Forum: Testing and Simulation
- Topic: The last 7 years have been rough for LTTF
- Replies: 18
- Views: 14026
I recall that volatility breakout type systems performed very well in the early 90’s and became very popular. They were all the rage at that time. (Remember these systems? . . VBS, Tradefinder, DollarTrader, Professional breakout system etc ) If I recall correctly, at that time, the Futures truth...
- Tue Oct 09, 2012 4:28 pm
- Forum: Testing and Simulation
- Topic: Kurtosis and fat tails in IBM's price changes
- Replies: 9
- Views: 7833
- Wed Sep 12, 2012 11:59 am
- Forum: Futures Markets
- Topic: Guar gum
- Replies: 12
- Views: 11195
With central banks manipulating the financial world like no one ever thought possible in even the remotest dream, these (financials, stock index, metals, and energy market futures) things are a mess these days...living on a prayer. Equities provide no safeguard against CB intervention. Has not the ...
- Wed Sep 12, 2012 4:30 am
- Forum: Futures Markets
- Topic: Guar gum
- Replies: 12
- Views: 11195
- Sun Sep 09, 2012 2:20 am
- Forum: Futures Markets
- Topic: Guar gum
- Replies: 12
- Views: 11195
- Mon Sep 03, 2012 10:15 pm
- Forum: Testing and Simulation
- Topic: Sharpe > 2.0?
- Replies: 6
- Views: 5661
- Sat Aug 18, 2012 12:55 pm
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7270
If your returns are serially correlated, and TF returns often are, then this is like a stop on your strategy, and would make sense. If you believe there is no serial correlation in your strategy, and your strategy is going to work for a long time - no need to reassess if it is still valid after a d...
- Sat Aug 18, 2012 1:54 am
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7270
I've noticed in a lot of books that interview managers (various Market Wizards books, Inside the House of Money, etc), many of the managers cut position sizings during drawdowns. The big missing part is that many don't talk about how/when they ramp back up. Which is perhaps the most important part....
- Mon Aug 13, 2012 9:53 am
- Forum: Futures Markets
- Topic: Light Sweet Crude (WTI) vs Brent Crude ?
- Replies: 6
- Views: 5788
- Sun Aug 05, 2012 11:02 pm
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26651
Who can we trust? Not the CFTC it seems. Is there any basis that we ever should have trusted the CFTC? What is their track record on these situations? If they were any other institution besides a government agency, would we still allow them to exit/have such power? Perhaps this is simply a case in ...
- Wed Jul 25, 2012 4:21 pm
- Forum: Testing and Simulation
- Topic: Any ideas how to improve this system?
- Replies: 9
- Views: 6295
:-). Me too, but there are still no comments on the system. I know it is not a magic system, i am just asking my self what can i change to get some better results. I tried different entries, different exits, different filters. As i wrote before i dont want to use scale in and scale out techniques. ...
- Tue Jul 17, 2012 11:44 pm
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26651
- Tue Jul 17, 2012 12:56 pm
- Forum: Money Management
- Topic: How to determine the positions size for each trade?
- Replies: 11
- Views: 13654
Re: How to determine the positions size for each trade?
Winning percentage: 70% Average Win: 150 Losing percentage: 30% Average Lose: 100 Does anyone have any suggestions? Yes, you may wish to look into developing systems with a lower win% but a higher avg win:avg loss. Of course, this assumes your utility is geared towards increasing your account size ...
- Mon Jun 18, 2012 3:44 pm
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22080
Re: The Mirage
Yes, the system worked well for over 30 years and then clapped out the day I started trading. How was I to know? With hindsight, what should I have done? What should I have learnt from the exercise? With hindsight everything is as clear as crystal. You just change the system and get different backt...
- Sun Jun 17, 2012 11:10 pm
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22080
Trend following isn't broken, it hasn't come to an end and some recent posts on this forum have very clearly pointed out whats changed. Understand and adapt or die. Or perhaps we're in the process of the markets getting rid off most trend followers until TF starts to work again? What kind of adapta...
- Fri Jun 15, 2012 1:02 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22080
Here is the link to the article mentioned: http://www.canada.com/mobile/iphone/technology/tech-biz/algorithmic+arms+race/6659806/story.html It was barley and sesame prices, not wheat. This is what you're up against. Up against what? We have no idea what purpose the data was used for and whether or ...
- Sat Jun 09, 2012 5:38 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 40566
These are: (1) betting strategy – while it is extremely difficult to improve upon the standard fixed-fractional betting strategy, it can be done provided you’re a private trader and don’t trade OPM – ironically, you have to have guts to do the reverse of what Eckhardt taught the Turtles.......
- Thu May 24, 2012 12:20 am
- Forum: Testing and Simulation
- Topic: Exercise N° 1
- Replies: 10
- Views: 6094
- Thu Apr 19, 2012 3:13 pm
- Forum: Testing and Simulation
- Topic: Triple moving average...
- Replies: 43
- Views: 18857
How about for futures....that brings me to another point-have you ever looked at the performance of trading one future at a time and how successful this would be ...if you did have limited captial. Are you talking about taking 1 trade and then rejecting all of the signals that are generated afterwa...