Search found 38 matches

by Aaron01
Wed Nov 07, 2012 2:04 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5947

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...
by Aaron01
Mon Oct 29, 2012 1:34 am
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7053

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...
by Aaron01
Tue Oct 09, 2012 4:28 pm
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4153

sunyata wrote:Could you expound on that a little squaredQ?
I believe he's talking about something that we have all observed, that the distribution of finacial markets, particularly in times of turmoil (or great euphoria), appear to be less independent than theory suggests they should be.
by Aaron01
Wed Sep 12, 2012 11:59 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6449

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 ...
by Aaron01
Wed Sep 12, 2012 4:30 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6449

Chuck B wrote:
trackstar wrote:Wow, how nice it would be to have an asset trending like that....
Well... :D

By the way...notice anything a bit bizarre about this chart? :wink:
Image

:wink: :lol:
by Aaron01
Sun Sep 09, 2012 2:20 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6449

Can foreigners not trade NCDEX products?
by Aaron01
Mon Sep 03, 2012 10:15 pm
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 2987

What is the reason you are seeking to get a Sharpe > 2.0, or is this just a hypothetical?
by Aaron01
Sat Aug 18, 2012 12:55 pm
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3389

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...
by Aaron01
Sat Aug 18, 2012 1:54 am
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3389

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....
by Aaron01
Mon Aug 13, 2012 9:53 am
Forum: Futures Markets
Topic: Light Sweet Crude (WTI) vs Brent Crude ?
Replies: 6
Views: 3750

Traded on different exchanges; oil from and for different locations; also, one doesn't have position limits :lol:
by Aaron01
Sun Aug 05, 2012 11:02 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13260

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 ...
by Aaron01
Wed Jul 25, 2012 4:21 pm
Forum: Testing and Simulation
Topic: Any ideas how to improve this system?
Replies: 9
Views: 3549

:-). 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. ...
by Aaron01
Tue Jul 17, 2012 11:44 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13260

there is also sweeping into the "protected" account :) http://www.interactivebrokers.com/en/software/acctmgmt/accountmanagementusersguide/accountadmin/excess_funds_sweep.htm This is still sweeping around accounts at the same firm, so doesn't really help you that much, beyond the SIPC "backstop" of ...
by Aaron01
Tue Jul 17, 2012 12:56 pm
Forum: Money Management
Topic: How to determine the positions size for each trade?
Replies: 11
Views: 7063

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 ...
by Aaron01
Mon Jun 18, 2012 3:44 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11788

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...
by Aaron01
Sun Jun 17, 2012 11:10 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11788

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...
by Aaron01
Fri Jun 15, 2012 1:02 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11788

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 ...
by Aaron01
Sat Jun 09, 2012 5:38 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20073

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.......
by Aaron01
Thu May 24, 2012 12:20 am
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 2981

stopsareforwimps wrote: He also agreed with a comment that the mathematically optimal heat is more than almost anyone's "gut" can take ie it is beyond the vomit level.
A similar statement is shared by Ralph Vince
by Aaron01
Thu Apr 19, 2012 3:13 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9316

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...