Search found 33 matches

by Macro
Thu Mar 31, 2016 7:50 pm
Forum: Forex
Topic: Shorting options in FX
Replies: 5
Views: 9576

Re: Shorting options in FX

my former boss was also part of that gs macro prop team... u guys probably knew each other... must have been a phenomenal exp being part of it during very interesting times (even with the 1993 short vol blow-up).
by Macro
Sat Sep 26, 2015 2:42 am
Forum: Forex
Topic: Shorting options in FX
Replies: 5
Views: 9576

Re: Shorting options in FX

"I worked with a 10 man prop team that made about 1 billion dollars in 1993 .. they lost it all and more in one week in Feb. 1994 by being short fx options"

CSJ?
by Macro
Mon Aug 05, 2013 3:27 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 12504

Backtesting with R is a mixed blessing if you're dealing with EOD data because it drastically reduces the odds of curve-fitting via reckless optimization as you are massively disincentivized to even think of optimizing due to time constraints. Absolute nightmare for backtesting with single asset int...
by Macro
Mon May 27, 2013 2:49 am
Forum: Trader Psychology
Topic: What to do if you are fund manager?
Replies: 22
Views: 9724

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by Macro
Wed May 15, 2013 11:28 pm
Forum: Market Psychology
Topic: Myers-Briggs Test for Systematic & Quantitative Traders
Replies: 1
Views: 4462

Myers-Briggs Test for Systematic & Quantitative Traders

Having taken the MB test on numerous occasions in the past few years, I've recently become curious about the most common personality types among systematic and quantitative traders.

INTJ here, go figure.
by Macro
Sat Mar 16, 2013 10:18 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 19327

Glad he's posting again.
by Macro
Tue Dec 25, 2012 8:49 pm
Forum: Testing and Simulation
Topic: Intra-day bars...
Replies: 6
Views: 2989

Re: Intra-day bars...

. . . 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that You mention that you are not interested in tick data however it's my understanding that you can use tick data to create whatever time format you might like....
by Macro
Fri Dec 14, 2012 10:24 am
Forum: Trend Indicators and Signals
Topic: Order of Importance for Resistance Levels?
Replies: 1
Views: 2135

I used to believe they were most psychological, hence a self-fulfilling prophecy, however unlike all the fluff that one confronts in discretionary TA, I believe that s&r levels may be of significance- if you knew that a central bank was defending a certain level in an asset, it would be unwise to tr...
by Macro
Sun Nov 25, 2012 11:00 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 6209

From an older Winton pitchbook - perhaps this helps? May have an even more detailed presentation from back when they had less than $500MM AUM. Note as they have grown the marketing message and details have changed greatly but I have seen version of this slide in presentations as late as 2009. While...
by Macro
Mon Nov 12, 2012 1:06 pm
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 5356

AFJ Garner wrote:http://www.globalfinancialdata.com/index.html
See if these people have what you need.
This is just nuts. Need to get my hands on that somehow.
by Macro
Fri Nov 02, 2012 3:37 am
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7532

trackstar wrote:take that back to elitetrader.....
Well said.
by Macro
Tue Sep 04, 2012 1:10 am
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 3161

Curiosity, really. Most academics as well as practitioners in the industry generally place primacy on the Sharpe ratio over any other measure, hence I thought it would be wise to appease the powers that be. However, wguan's chart of Sharpe convergence helped put a lot of things in perspective.
by Macro
Mon Sep 03, 2012 12:50 pm
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 3161

Sharpe > 2.0?

Is it possible to build a medium to long term trend following strategy with a sharpe ratio > 2.0, or is this simply unheard of? I'm aware of the pitfalls of the sharpe ratio when concerning divergent strategies, however I'm curious. I think it would be possible, but one would have to blend it with s...
by Macro
Sun Sep 02, 2012 7:09 pm
Forum: Testing and Simulation
Topic: Multi-Model
Replies: 4
Views: 2808

awesome work, wguan!
by Macro
Thu Jun 21, 2012 1:10 am
Forum: Testing and Simulation
Topic: Fuzzy logic trend filter
Replies: 7
Views: 2485

There does exist measures to identify persisting (trending) and mean-reverting (choppy) states of markets across numerous time-frames simultaneously. It involves fairly high level mathematics and to those inclined, I shall provide this hint: geometric time-series.
by Macro
Tue Jun 05, 2012 7:22 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9874

I have to admit, Macro's post made my morning. Obviously drawdowns are not fun but to see this type of language (although I cannot really tell who it is coming from) is something that pops up every drawdown. Noone can really predict what will happen but I sure would rather be in my position than in...
by Macro
Thu May 31, 2012 12:39 pm
Forum: Data Providers and other non testing software
Topic: Free sources of historical data
Replies: 5
Views: 4157

Thanks for the awesome list. Would you guys suggest exporting daily OHLC data from a Bloomberg Terminal and using that instead of external data providers such as CSI?
by Macro
Sun May 27, 2012 4:33 pm
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 6482

I was alluding to the same thing in one of my earlier thread (link below) and I still agree with Chris67.

viewtopic.php?t=9551
by Macro
Sun May 27, 2012 4:22 pm
Forum: Testing Software
Topic: R Tutorials
Replies: 4
Views: 3511

Appreciate the effort to share those links, Babelproofreader. To proceed further: http://jeromyanglim.blogspot.ca/2010/05/videos-on-data-analysis-with-r.html http://jeromyanglim.blogspot.ca/2009/06/learning-r-for-researchers-in.html https://github.com/hadley/devtools/wiki http://www.burns-stat.com/p...