Search found 18 matches

by illuminati
Fri Jun 15, 2012 11:34 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11837

(Much of what I'm posting below is a variation of what has already been said here and in other threads.) A bit off-topic: I think people need to let go of the idea that trend following is not prediction. It is prediction, just like any other trading strategy out there (including the multitude of su...
by illuminati
Fri Jun 15, 2012 12:52 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11837

IMO....TF is becoming a overcrowded arena. The number of CTAs, the number of individual traders, all have made the business and strategy harder. TF can easily be replicated and due to this low entry barrier, everyone is running a similar strategy. I think to make money onwards in TF, ether you reinv...
by illuminati
Sun May 13, 2012 4:07 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8523

... CTAs which I follow, that investment returns have deteriorated over the past decade. In part this may be as a result of de-leveraging (you need to look at risk adjusted returns) but in part it may perhaps reflect the realities of ever more crowded and volatile markets as competitors gobble up e...
by illuminati
Sat May 12, 2012 12:48 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8523

Babel, I am not familiar with regards to the progamming language you use but I assume that this can be overcome by setting up the code to accept parameters from the user. Let the user decide on which method to use, as I believe this flexibility will make your benchmark index very convenient. It may ...
by illuminati
Sat Apr 28, 2012 2:03 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8523

Given what you have said, I must agree. A composite of CTA's may not be as suitable benchmark as it incorporates in it a pinch of alpha. I guess its better like you said to use beta generating benchmark.. I've read from your website about your state of trend following. Do you happen to have the comp...
by illuminati
Fri Apr 27, 2012 10:17 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8523

Thanks so much for the excel spread sheet. I've found that its important to compare system performance to benchmarks so I can get a better grip on how my ideas hold up. For trend following in general, I've come to two possible benchmarks. Ether compare to traditional basket of CTA's, but that is har...
by illuminati
Thu Apr 26, 2012 2:46 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8523

CTA Performance Index

Anyone know where to get CTA index performance data? I checked with Barclay hedge and it requires subscription fee to get my hands on monthly return series in excel format.

Other index include the NewEdge, but then they only have data from 2000 onwards...not enough.
by illuminati
Wed Apr 25, 2012 4:15 pm
Forum: Testing and Simulation
Topic: Benchmark Sortino
Replies: 0
Views: 1531

Benchmark Sortino

The benchmark for sharpe and MAR is 1. Whats the benchmark for sotino? What are peopls opinion on using this as a goodness measure over sharpe for LTTF?
by illuminati
Thu Apr 19, 2012 3:49 pm
Forum: Testing and Simulation
Topic: not another robustness thread...
Replies: 1
Views: 1106

not another robustness thread...

http://www.dorseywrightmm.com/downloads/hrs_research/White%20Paper%20-%20Relative%20Strength%20and%20Portfolio%20Management.pdf The above link is a white paper that document the process dorsey wright takes in evaluating and testing systems. Although their paper is for relative strength, I wanted to...
by illuminati
Wed Apr 18, 2012 4:18 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

In my mind, that is really a loaded question. I must say i agree, its highly subjective and different for everyone. May I add that individual traders face huge problems with implementing MM algos because of their limited trading capital. Cant really get fancy when starting capital is less than 1 mi...
by illuminati
Wed Apr 18, 2012 2:49 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

I don't know the nature of the system but I would not arrive at the conclusion that the risk limiter is desirable because it increase MAR. You should understand how the risk limiter works with the system and if it makes sense to have it. I spent some time last year doing this, by simply adding on ri...
by illuminati
Wed Apr 18, 2012 1:46 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

I think another drawback with having a risk limiter is that it runs counter to the idea of maximizing returns. You never know when the next ten bagger will come along and if you miss it because you have too much risk, then thats just unfortunate. Again, its all about trade offs in systematic trading...
by illuminati
Wed Apr 18, 2012 11:16 am
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

AFJ, MIke and all, apologies for my misleading points on TB risk. I don't use it as my main testing package so am a bit rusty on it's features. Mike in terms of limiting risk, Fab1usa1 is correct about introducing a total risk limiter. It's where you cap total open risk and avoid additional position...
by illuminati
Tue Apr 17, 2012 9:57 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

Switching between systems has been an idea for me for a long time. I've always considered Dalios idea invaluable. The true "holy grail" in achieving consistent return is through combining uncorrelated return streams. From my interpretation, its the idea of combining uncorrelated systems. A member of...
by illuminati
Tue Apr 17, 2012 7:42 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

If you are referring to the total risk chart inside tblox, i am assuming that its a total risk you have but displayed in a rolling basis. Total risk in my definition is aggregating each open positions price to stop loss as a percent of total equity. So if all open positions were to be stopped out, t...
by illuminati
Tue Apr 17, 2012 5:24 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 9345

A few important metrics to look at would be MAR ratio which gives a look at the risk reward of your system. the equation is simply CAGR/Max drawdown Sharpe ratio is the next one, but I prefer sortino. You can google the equations online. These are static metrics, but they are good enough to start of...
by illuminati
Tue Apr 17, 2012 12:38 am
Forum: Testing and Simulation
Topic: Difference in data
Replies: 4
Views: 1981

thanks rhc, i tried searching but couldn't find it. eric, when you refer to settlement price as the only price you simulate your models on, wouldn't a lot of breakout systems that you test wont work? Maybe my definition of settlement price is different, but from investopedia... The average price at ...
by illuminati
Mon Apr 16, 2012 11:59 am
Forum: Testing and Simulation
Topic: Difference in data
Replies: 4
Views: 1981

Difference in data

What is the difference between all the testing data available for futures backtesting. There is day session, electronic 24 hour, composite. What is the difference? What do people use for backtesting in general? I figure that if one uses 24 hour ones, there will be more trades as signals may pop up a...