Search found 29 matches
- Tue Mar 06, 2012 6:01 am
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 10672
- Thu Mar 01, 2012 9:53 am
- Forum: Testing and Simulation
- Topic: Should one calculate ATR based on the back-adjusted series?
- Replies: 2
- Views: 2516
- Tue Nov 22, 2011 7:12 am
- Forum: Testing and Simulation
- Topic: Can Google Predict the Markets?
- Replies: 11
- Views: 9867
- Tue Nov 22, 2011 5:05 am
- Forum: Testing and Simulation
- Topic: Can Google Predict the Markets?
- Replies: 11
- Views: 9867
- Fri Nov 11, 2011 10:36 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22040
Moto, I was sort of kiddin' with you! Obviously HFTs come in many shapes and forms. But, I still think the easy HFT money is/was made by providing liquidity, i.e. making the spread. I have a few friends that used to make serious money trading equities this way (with Sharpes of about 10) that are out...
- Fri Nov 11, 2011 8:25 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22040
Moto moto, most HFT strategies are built around market making concepts, and as such they are trading against the trend. Hence, it might be a little difficult to blend HFT and trendfollowing in the way you proposed :P I agree with Chris67. Having said that, I do believe that the best HFT players will...
- Mon Nov 07, 2011 10:57 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22040
Isn't the very fact that we're discussing the death of trendfollowing what makes trendfollowing work? I have no suggestions what to do going forward except doing what we have been doing so far. Why waste time speculating about something we will never find an answer to (until it's too late, that is)?...
- Tue Oct 25, 2011 3:44 am
- Forum: Trend Indicators and Signals
- Topic: Why spending too much time on forecast?
- Replies: 5
- Views: 6473
I probably don't understand your question but my answer would be that either you trust your forecast, and if so bet on it no matter what the current trend is, or you believe in trendfollowing, betting in the direction of the trend. Over the long haul, most people are unsuccessful doing forecasts, wh...
- Thu Sep 29, 2011 11:02 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36565
- Thu Sep 29, 2011 7:17 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36565
- Wed Sep 28, 2011 4:27 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 47519
Perhaps you are onto something, but perhaps your clients don't want you to be onto that particular something?! A lot of people view CTAs in general and trendfollowers in particular as portfolio insurance, and the insurance policy will have a much worse pay out if you use targets. In addition, how do...
- Wed Sep 28, 2011 3:53 am
- Forum: Money Management
- Topic: When To Start Your System?
- Replies: 28
- Views: 25141
If you are a really savvy asset manager you will start one share class today, hoping it turns out well, and another one in a couple of months if it doesn't :) When no one is looking you will kill the former share class, and whops you have an excellent entry to build your track-record on. Running thi...
- Mon Sep 26, 2011 11:42 am
- Forum: Money Management
- Topic: When To Start Your System?
- Replies: 28
- Views: 25141
- Mon Sep 26, 2011 11:23 am
- Forum: Money Management
- Topic: When To Start Your System?
- Replies: 28
- Views: 25141
What Schwager said, if I remember correctly, was that CTAs often show large draw-downs (don't we know :) ) and that they usually perform great after such draw-downs. However, he didn't come up with a solution as how to time buy decisions based on this knowledge (which obviuosly is the key, and sligh...
- Thu Sep 08, 2011 6:33 am
- Forum: Testing and Simulation
- Topic: Similar Systems / Different Luck in 2011
- Replies: 15
- Views: 8952
- Thu Sep 08, 2011 3:52 am
- Forum: Testing and Simulation
- Topic: Similar Systems / Different Luck in 2011
- Replies: 15
- Views: 8952
- Wed Sep 07, 2011 5:05 am
- Forum: Testing and Simulation
- Topic: Similar Systems / Different Luck in 2011
- Replies: 15
- Views: 8952
I can't really understand why so many people use stops in their trendfollowing systems?! Stops don't provide an edge, they just change the distribution of returns. And in a world with transaction costs they not only change the distribution but actually end up eating into your capital. In addition, i...
- Wed Aug 31, 2011 3:31 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9031
Eventhorizon, to be exact, fixed percentage steps will not entirely make up for the bias you are talking about either. In fact, you will have to use the largest percentage step in the beginning, and then successively reduce it (fast in the beginning, slow in the end). As someone alluded to earlier t...
- Mon Aug 29, 2011 8:31 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9031
- Thu Aug 18, 2011 4:18 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36565