Search found 43 matches

by Toosday
Tue Apr 02, 2013 6:35 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18352

I can understand always questioning everything when it comes to the market. The one thing I have proven to myself is that the price distribution tails are fatter than would be implied by a random distribution. I try to focus on that. If you cut losses and ride winners, I think that this allows for p...
by Toosday
Sun Dec 30, 2012 10:24 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19976

Thanks for posting. I am sure you are confident in the results but I wanted to add that my runs confirm this exact same thing.

Here's to a better 2013.

Happy New Year everyone.
by Toosday
Sat Dec 22, 2012 11:23 am
Forum: Testing and Simulation
Topic: Intra-day bars...
Replies: 6
Views: 2787

I write the data to files using output from my broker.
by Toosday
Mon Dec 03, 2012 11:49 am
Forum: Market Psychology
Topic: How do market response? when people get stress.
Replies: 14
Views: 21303

I was reading VIc Sperandeo's interview in New Market Wizards and he talks about trading the 1984 or 1986 tax deals and getting crushed. He feels you should wait for the market to confirm a direction and not try to go off of what the politicians are saying. I have taken that tact with the fiscal cli...
by Toosday
Fri Nov 30, 2012 7:08 pm
Forum: Market Psychology
Topic: How do market response? when people get stress.
Replies: 14
Views: 21303

I personally think using the VIX as an indicator is extremely difficult. I find it to be reactionary not predictive. That is not to say you can't trade VIX, I just do not think it correlates to future movements very well.
by Toosday
Fri Nov 30, 2012 11:32 am
Forum: Market Psychology
Topic: How do market response? when people get stress.
Replies: 14
Views: 21303

IMHO, The biggest thing I look for is when markets are extra sensitive to seemingly meaningless news. To me, the process looks something like: Below "I" refers to any speculator or investor: I am unsure of what the effect large systemic imbalances will have long term therefore I become overly reacti...
by Toosday
Fri Nov 16, 2012 11:16 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19205

Mark,

Thank you for sharing and best of luck to you. It has been a rough two years for trend following and given JWH's news you are not in weak company.
by Toosday
Thu Nov 08, 2012 9:01 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5915

AFJ, Given your track record on this forum, your opinion is not taken lightly but I feel like I must point out a contradiction. You use the terms brutal and Darwinistic to describe "modern" business. I think this assumes that business has not always been Darwinistic or brutal. Take the factory condi...
by Toosday
Mon Nov 05, 2012 9:39 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5915

This is not comprehensive but it helps:

http://www.iasg.com/

I don't think it was only October. Last Friday, Nov 2, was a terrible day for anyone "risk-on" long.
by Toosday
Tue Oct 09, 2012 8:04 pm
Forum: Trader Psychology
Topic: One Year In - A Recap
Replies: 0
Views: 2523

One Year In - A Recap

I have spent some time digesting what I have learned trading over my first year full time for myself. I am not intending this to get into a debate, it is purely a statement of my beliefs which for some may be wrong or right for others. I reserve the right to contradict myself in the year two recap. ...
by Toosday
Tue Oct 09, 2012 7:26 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18020

I believe Ed is also known to have "know when to break the rules" as one of his rules. My interpretation of this is that trading, like life, is gray. Trend following without analysis or thought is very black and white. I think operating in the gray is very important to success.
by Toosday
Thu Jun 14, 2012 10:18 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19976

That and shorting stocks and ETFs is a business skewed towards the large financial institutions. When I worked for a fund, I wrote a deal for a company that was a fiduciary in the shorting process. They would manage the borrowing of shares from pensions and insurers to hedge funds and banks. It was ...
by Toosday
Sun Jun 10, 2012 10:49 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19976

Chuck, You very eloquently said what I was trying to say in a previous post on this topic. IMHO, the past 10 to 30 years of data will tell you that a long strategy has risk adjusted returns far in excess of a short strategy when using LTTF. Moving forward I am spending most of my time improving my s...
by Toosday
Thu Jun 07, 2012 10:52 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19976

This has turned into a good discussion, thanks to all who have shared something. My research basically backs up the conclusions about short and long term systems. IE May was good for short term systems but brutal for long term ones. Conversely the past decade was a struggle for short term systems wh...
by Toosday
Tue Jun 05, 2012 9:56 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9362

Deleted by Moderator
by Toosday
Fri Jun 01, 2012 9:56 am
Forum: Money Management
Topic: Advanced money mgmt techniques?
Replies: 15
Views: 11834

One of the things the markets have taught me is that trading is not black and white. It is very difficult to make a good risk adjusted return by being ridgid. At times trend following can appear rigid but I think once you get into it you find that many of the decisions you make within a systemic con...
by Toosday
Tue May 29, 2012 9:38 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9362

Sluggo, Thanks for the response. I am guessing I did a poor job of explaining myself. I am not looking to fade trendfollowers, I am trying to figure out a way to fade the correlation that exists in the markets currently. I do not have a hypothesis that TF will lose money this summer, I actually am h...
by Toosday
Tue May 29, 2012 4:03 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9362

rabidric, I agree about the filtered Beta. For my entire career, I have tried to work against decisions that focus purely on the mean and consider the entire distribution of prices. I think, based on my understanding of alpha and beta, that these two items focus on the mean. Linear regression (used ...
by Toosday
Tue May 29, 2012 2:24 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9362

I agree that they are aware of the call option. Kovner said as much 20 years ago in Market Wizards. I think you and I are in the same spot in saying that, unfortunately as an individual investor, you have to find your own alpha. You have to be aware of those promising you a chance at alpha when they...
by Toosday
Tue May 29, 2012 12:36 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9362

Buy, Your comments on alpha are interesting. IMHO you need to be very precise in defining alpha. Like Sharpe it has become a marketing tool. I think the mixture of people on this board would have a trouble specifically defining alpha. Not from a textbook definition but the differences between their ...