Search found 43 matches
- Tue Apr 02, 2013 6:35 pm
- Forum: Testing and Simulation
- Topic: Trend Following: Profitable Reality or an Illusion doomed to
- Replies: 28
- Views: 33064
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...
- Sun Dec 30, 2012 10:24 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 39764
- Sat Dec 22, 2012 11:23 am
- Forum: Testing and Simulation
- Topic: Intra-day bars...
- Replies: 6
- Views: 5585
- Mon Dec 03, 2012 11:49 am
- Forum: Market Psychology
- Topic: How do market response? when people get stress.
- Replies: 14
- Views: 50395
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...
- Fri Nov 30, 2012 7:08 pm
- Forum: Market Psychology
- Topic: How do market response? when people get stress.
- Replies: 14
- Views: 50395
- Fri Nov 30, 2012 11:32 am
- Forum: Market Psychology
- Topic: How do market response? when people get stress.
- Replies: 14
- Views: 50395
- Fri Nov 16, 2012 11:16 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 42359
- Thu Nov 08, 2012 9:01 am
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 13016
- Mon Nov 05, 2012 9:39 am
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 13016
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.
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.
- Tue Oct 09, 2012 8:04 pm
- Forum: Trader Psychology
- Topic: One Year In - A Recap
- Replies: 0
- Views: 4906
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. ...
- Tue Oct 09, 2012 7:26 pm
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 37248
- Thu Jun 14, 2012 10:18 am
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 39764
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 ...
- Sun Jun 10, 2012 10:49 am
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 39764
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...
- Thu Jun 07, 2012 10:52 am
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 39764
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...
- Tue Jun 05, 2012 9:56 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18402
- Fri Jun 01, 2012 9:56 am
- Forum: Money Management
- Topic: Advanced money mgmt techniques?
- Replies: 15
- Views: 19295
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...
- Tue May 29, 2012 9:38 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18402
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...
- Tue May 29, 2012 4:03 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18402
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 ...
- Tue May 29, 2012 2:24 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18402
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...
- Tue May 29, 2012 12:36 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18402
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 ...