Search found 18 matches
- Wed Jan 30, 2013 6:12 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10560
keep in mind that the spreads and liquidity one sees on the screen is often not indicative of the true liquidity in a lot of these ETPs. A rule of thumb: if the underlying is liquid, the authorized participant or market makers will usually make a decent market for you. This is assuming you are trad...
- Wed Jan 30, 2013 4:31 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10560
Thanks for the replies! And I completely agree with the liquidity and lack of history issues. But, it looks as if many (smaller?) funds seem to say they are moving to ETFs (e.g. see 'winning with etf strategies,' max issacman) . Isn't it possible they are monitoring tracking of etfs and their corres...
- Tue Jan 29, 2013 2:59 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10560
thanks for replies. I saw the etfdb and it has nice lists, but no historical data (that I could see). Maybe I'd have to take a list and then get yahoo data from the list. I was hoping there would be a zip file with the common portfolio ingredients somewhere. There's so many books on the subject, but...
- Mon Jan 28, 2013 12:35 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10560
Master ETF list to emulate futures universe?
Is there a good master list of ETFs that would emulate the major say top 100 futures by liquidity and diversity? Similar to the futures data that is provided by TradingBlox for back-testing portfolios.
- Tue Oct 09, 2012 7:29 pm
- Forum: Testing and Simulation
- Topic: Kurtosis and fat tails in IBM's price changes
- Replies: 9
- Views: 7440
Could you expound on that a little squaredQ? What knowledge do you think there is to gain in understanding the CLT as it relates to trading? Aside from the limitations mentioned above, it is also a very useful conclusion that allows you to model and evaluate traditional statistical properties of es...
- Tue Oct 09, 2012 3:40 am
- Forum: Testing and Simulation
- Topic: Kurtosis and fat tails in IBM's price changes
- Replies: 9
- Views: 7440
I'll add that you can also look into parameter-free or empirical based modelling so as to reduce Gaussian assumptions on your model building and analysis. Regarding the CLT; it is fantastic, yes. But keep in mind the assumptions behind it, particularly the requirement of N independent distributions ...
- Thu Jul 26, 2012 5:05 pm
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 9991
I'm familiar with this work. If anyone finds a good long-term list of securities that could be used as a proxy for the 10 sectors he uses, please list them. I found some good long ones on a monthly basis, but not daily. Along the same thinking, there's a good recent blog on this topic: http://cssan...
- Wed Jul 25, 2012 3:41 pm
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 9991
i'll just leave this here as it seems to cover most sensible ideas on this subject. 1. go to the page, and download the 5-6 pdf's contained. 2. put on sunglasses to filter out the obvious marketing tint 3. read pdf's at your leisure and digest information contained within 4a. consider implementing ...
- Sat Jul 21, 2012 6:01 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47122
Jake, I am absolutely excited, thrilled, and delighted that you shared this paper. It is one of the best contributions I've seen on any public form in a long time. For one, it tends to corroborate my earlier suspicions about the cross validated sharpe ratio correlations. I also find it interesting t...
- Fri Jul 20, 2012 5:45 pm
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47122
This is a very useful study. However, IMO, it is 100% curve fit. Every parameter that is used to develop the study (e.g. std) would need to be updated in an online fashion in order to have significant usefulness. I would be thrilled to see the same study started at some anchor window (example 10 yea...
- Thu Jun 21, 2012 3:24 am
- Forum: Testing and Simulation
- Topic: Fuzzy logic trend filter
- Replies: 7
- Views: 4787
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. There are several ways to measure ...
- Wed Jun 20, 2012 8:03 pm
- Forum: Testing and Simulation
- Topic: Fuzzy logic trend filter
- Replies: 7
- Views: 4787
The model isn't the difficult part. It's deciding what factors determine a choppy/trending or whatever class of market you are currently in and furthermore, how much these measures help determine a greater likelihood of continuation. So, IMO, it's more important to focus on factor selection criteria...
- Sun Jun 17, 2012 10:59 pm
- Forum: Testing and Simulation
- Topic: What to make of this chart?
- Replies: 19
- Views: 13955
Stopsareforwimps, I think you are looking at the right things, from my experience. IID is a concern, but you can get into non-IID analysis as well. Few do. OP, I would be concerned and scale down... Without even doing the statistical analysis, it seems highly unlikely you would have 5+ neg consecuti...
- Fri Jun 15, 2012 3:19 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21350
Thanks for sharing some specifics. I wonder if in hindsight whether or not you could go backwards and account/isolate the factors that dramatically changed the characteristics over the out of sample period. I would hazard a guess that correlation dramatically and unexpectedly synced up at the onset ...
- Tue Jun 12, 2012 6:25 pm
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 21350
Hi and thanks for sharing that useful cautionary insight. I have a few questions if you don't mind. 1) Were all 25 instruments active over that entire period? If not, any more coloring on the breakdown of instrument/timeframe would be appreciated (or even something like most were 10years or less, 25...
- Sat Jun 02, 2012 5:51 am
- Forum: Testing and Simulation
- Topic: How many years in back testing?
- Replies: 3
- Views: 3204
I like this question a lot, because it's something I've given quite a lot of thought to. Without divulging my own conclusions in full, I'll make a few comments (also with respect to the other great link posted): The market is an open system, so we can never really be certain of the true population p...
- Wed Feb 15, 2012 10:58 pm
- Forum: Testing Software
- Topic: Cool Free Data Mining Software
- Replies: 4
- Views: 6176
DPH, Thanks so much for the detailed reply. Yes, it certainly sounds like you shell out quite a bit for various tools. I spend a lot of time developing my own, as 1) I like to look under the hood and understand what it is doing 2) As you inadvertently pointed out, one size does not fit all. Anyway, ...
- Wed Feb 15, 2012 4:31 pm
- Forum: Testing Software
- Topic: Cool Free Data Mining Software
- Replies: 4
- Views: 6176
@DPH Hi, I was wondering if you would be able to share the spreadsheet you ran, as I would be interested in looking at the results (via MINE). We could compare results and save some time perhaps, as there are a few parameters to explore in the tool. I would have PM'd you, but do not have it enabled ...