Search found 66 matches

by mojojojo
Thu Jun 27, 2013 11:10 am
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3688

Re: Synthetic Stock Data: how to "correctly" simul

Note how both bear a much greater similarity to the volatility charts for real price series shown in the above posts I'm not sure of the above posts that your referring too. With that said, your solution does a much better job at capturing the volatility clustering that actually occurs in the marke...
by mojojojo
Thu Feb 28, 2013 8:56 am
Forum: Trend Indicators and Signals
Topic: Indicators that are scaled in the range 0 to 1
Replies: 3
Views: 2692

Can't use just use percentiles based on X periods of history to get scale from 0 - 100? Then just divided by 100 to get your 0 - 1 range
by mojojojo
Thu Jan 31, 2013 9:16 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5581

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...
by mojojojo
Wed Jan 30, 2013 3:39 pm
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5581

Here is a list I created. Hope it helps. Note the trading volumn column.
by mojojojo
Wed Jan 30, 2013 9:43 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5581

The problem is that most ETPs that track commodities do not trade that often and have sizable spreads. The other major issue is that many don't have a lot of history, as AFJ mentions.

Also, a lot are ETNs so you have realize that your taking basically credit risk with them.
by mojojojo
Tue Jan 29, 2013 2:28 pm
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5581

Can go here and sort by "Asset Class"

http://www.etfg.com/research/scanner

Free version doesn't allow any filtering

You will have to go to someplace like yahoo for historical data though
by mojojojo
Mon Dec 31, 2012 11:02 am
Forum: Trend Indicators and Signals
Topic: How to draw a trend line?
Replies: 2
Views: 2353

Re: How to draw a trend line?

Referring to following image, there are 2 trend lines, Does anyone have any suggestions on how to select an right bottom to draw a trend line? so I would draw trendline[1] instead of trendline[2]. Thanks in advance for any suggestions http://i1093.photobucket.com/albums/i438/junk000/TrendLine.jpg I...
by mojojojo
Thu Dec 27, 2012 1:29 pm
Forum: Testing and Simulation
Topic: Intra-day bars...
Replies: 6
Views: 2789

daveineagan22581 wrote:sorry, no idea what ' xts package in R" is.

Regards,

Dave
R = R project = open source statistics software
http://www.r-project.org/

xts = a package/module in R used to handle data, specifically time-based data.
http://cran.r-project.org/web/packages/xts/index.html
by mojojojo
Thu Dec 27, 2012 1:26 pm
Forum: Testing and Simulation
Topic: Exploiting contango/backward term structures
Replies: 1
Views: 1333

Peng Wang (of Georgetown University) wrote a paper on Quantitative Tactical Asset Allocation. He used contango vs backwardation as a measure of "value" and based the commodity allocation on investing when commodities where I think 1.5x to 2x Standard Deviations below the normal reading. So when back...
by mojojojo
Tue Nov 27, 2012 3:42 pm
Forum: Data Providers and other non testing software
Topic: Transtrend portfolio And European markets
Replies: 6
Views: 3795

Thank you. I agree with you that yahoo procures cheap alternative. However the drawdown for me is : 1. It s not an automatic downloadable solution. Can work fine for a few stocks to follow on a daily basis but to adjust the OHLC for every single stock of a big list could seriously become cumbersome...
by mojojojo
Wed Oct 24, 2012 1:23 pm
Forum: Futures Markets
Topic: Using Put/Call Open Interest to Predict the Rest of the Week
Replies: 3
Views: 2614

Do you have access to option data? If so, the week prior to expiration look at the different OI numbers for the various strike prices of that near term contract. Watch to see if the market moves toward the point that will cause the greater number of Calls or Puts to expire worthless. If you can find...
by mojojojo
Thu Aug 23, 2012 2:23 pm
Forum: Stocks
Topic: What happen on Stock market, if U.S. Gov purchase bond back?
Replies: 9
Views: 4228

Are you asking what will happen:

1) if the .gov starts paying down their debt
2) if the FED continues (or increases) their debt purchases?
by mojojojo
Wed Aug 15, 2012 2:05 pm
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3367

I've noticed in a lot of books that interview managers (various Market Wizards books, Inside the House of Money, etc), many of the managers cut position sizings during drawdowns. The big missing part is that many don't talk about how/when they ramp back up.
by mojojojo
Thu Aug 09, 2012 10:32 am
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18535

Bumping an old thread.

Has anyone done work using fundamental data since this thread was started?
by mojojojo
Fri Aug 03, 2012 3:16 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13203

Chuck B wrote:
mojojojo wrote:Knight is up 25% at the moment. Maybe they found a partner.
The liquidity needed to get out for others. :lol:
ha ha.
by mojojojo
Fri Aug 03, 2012 9:34 am
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13203

Knight is up 25% at the moment. Maybe they found a partner.
by mojojojo
Thu Aug 02, 2012 3:07 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13203

hmmm, my thoughts? I understand, through the media grapevine and from an article in WSJ, capital investors are looking at Knight. I think Knight is a good, cleanly operated company and look like an attractive option for an equity firm to partner up with. In return for capital, gives us a stake in y...
by mojojojo
Thu Aug 02, 2012 11:55 am
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13203

My broker deals with these questions every day but now that they are owned by Knight, life is a bit easier. Penson was in a financial mess but still left client seg funds alone. When Knight was looking to buy Penson, they had their books and financials looked over with a fine tooth comb to determin...
by mojojojo
Thu Aug 02, 2012 11:53 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34374

DPH wrote:Was Zuck allowed to buy puts on IPO day? ;)

Any guesses?? Bottom??? Cut in half again?
Guess? Who knows. I will start looking at it when breaks through the $20 mark which might happen today. Until then, not too worried about it.
by mojojojo
Wed Aug 01, 2012 1:51 pm
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6354

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...