Search found 126 matches

by rabidric
Fri Aug 24, 2012 5:48 am
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3833

I've seen guys who cut size in drawdowns do mipuch worse. They whip saw their account into much larger overall drawdown. I've also seen the opposite. This entire issue needs to be reframed.....instead of same old proposition. hear hear! starting with "total equity" perhaps... It always seemed dumb ...
by rabidric
Wed Aug 15, 2012 6:13 am
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3833

Back in the day my colleague and I explored a whole raft of DDrm. All the ones with a discrete binary state switching gate(or multiple) were understandably crap or curvefitting exercises. We had some success with non-linear continuous drop-off functions and successfully used a couple of variants, bu...
by rabidric
Fri Jul 27, 2012 4:20 am
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6843

indeed. hence my "sunglasses advice".
re: caveat 3 especially, yes i agree. I think i said so in my original post, lot of extra complexity for questionable benefit, even the numbers they state show only a very marginal gain over exhibit 4.
by rabidric
Wed Jul 25, 2012 5:50 am
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6843

Asset allocation plus momentum , correlation

Edited by Moderator: New discussion topic merits its own thread + title. Parent was this - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - i'll just leave this here as it seems to cover most sensible ideas on this subject. 1. go to the page, and downl...
by rabidric
Wed Jun 13, 2012 4:37 am
Forum: Trader Psychology
Topic: Tracking open equity drawdown is detrimental to you.
Replies: 0
Views: 2554

Tracking open equity drawdown is detrimental to you.

Okay, anyone moderately well-versed in the subject knows the ins and outs of total, open, closed and core equity. And I know it is "industry standard" to use total equity DD. My [somewhat rambling] point here is that it is detrimental to your trader mental wellbeing, as it is nearly always negative,...
by rabidric
Wed Jun 13, 2012 4:01 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 13114

I have to say that (with the exception of hogs, eugh) that looks like a great bunch of markets! 8) I still think the core problem is not the portfolio composition -i would trade any of those markets today- but the static and "gamesmanship-less" philosphy used on them in your example. (not a personal...
by rabidric
Wed Jun 13, 2012 3:37 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 13114

My testing now is more about probabilities, and individual ideas is more bespoke and then is a guide....using many trend following principles - but its not a one turn key solution whereby number of instruments, data time frames or such play such a crucial part. Agreed The trap is this: thinking tra...
by rabidric
Mon Jun 11, 2012 3:33 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22754

I did the very same bund trade chuck is talking about, nearly did the short euro trade too, but I was happy enough with how it unfolded right after my entry 90mins after the open, just ran it without chasing later entries. Took my money in the afternoon. My entry risk was 8ticks.
by rabidric
Mon Jun 11, 2012 3:46 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22754

It is my opinion that "More" is not always better. Less is more? Actually, I strongly agree. If you know how there are quite a few ways to skin a lesser cat to achieve greater yield, some markedly better than others though. Using a modern lawnmower indiscriminately may leave a nasty mess with neith...
by rabidric
Tue May 29, 2012 3:36 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 10503

good points guys. I wonder if what we are really trying to do with TF, is take a high beta process and filter some of the negative parts of the distribution. I would not feel comfortable calling the result "alpha" though. "filtered beta" maybe? Any given filters( i don't mean a MACD) seem to degrade...
by rabidric
Tue May 29, 2012 3:43 am
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 6780

taking the specific output of the general equations doesn't exactly give a full representation: in the pure maths rabbits go extinct and so do foxes. nature is a little more complex and resilient than the raw simple equations make out... would be interesting to live in a universe where i could meet ...
by rabidric
Mon May 28, 2012 5:44 am
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 6780

I don't personally buy into rajivm's idea of manipulation in this context. It may happen here and there, but it isn't the key driver. I agree with rhc, adding: IMHO "mechanical" trading, especially using daily data, is easy to access and implement in some form these days, both for players and capita...
by rabidric
Tue May 22, 2012 4:01 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 36181

I like this thread. AFAICT the application of a momentum screening approach is the single best way to get edge in stock trading. All of the successful equities traders that I ever met(not an exactly massive sample admittedly) never had even halfway decent actual entry/exit logics. e.g. they were jus...
by rabidric
Tue May 08, 2012 3:52 am
Forum: Testing and Simulation
Topic: Long Vs Long/Short Futures
Replies: 2
Views: 1724

I am very sorry to do this in the first reply, but I have to torpedo the merit of your futures analysis: 1)you are identifying the possibility of a 5-10% improvement in a noisy annual sharpe statistic. In the context of the amount of data available, annual sharpe is a very low sample rate figure and...
by rabidric
Tue Apr 24, 2012 6:21 am
Forum: Testing and Simulation
Topic: Adding an additional indicator...
Replies: 1
Views: 1239

mike you might want to check out the other sub-forums for users thoughts. In the case that you don't find anything constructive, well, that is info in itself. I highly recommend just playing around with the search function, and maybe taking a few weeks to read through the many many high quality thre...
by rabidric
Wed Apr 18, 2012 12:06 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 10276

yes, what fabusa wrote. there is a good thread somewhere around here dedicated to that discussion... I in terms disagree about finding the sweet spot as it's sounds rather curve fitting. The sweetspot can be pretty wide, so not much of a spot, but more of a large thoroughfare, with the river on one ...
by rabidric
Wed Apr 18, 2012 4:26 am
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 10276

and just to add to AFG's words, MAR is quite sensitive to leverage, stray much above say 0.5Kelly and it is liable to catastrophic collapse(along with equity), but it is easy to overlook that running too low, and you will never benefit from the "risk ignition" sweetspot where the numerator of the MA...
by rabidric
Wed Mar 07, 2012 3:26 am
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 6432

I remember playing around with LAD for a couple of weeks back in 2003 or so, looking at intraday momentum application. It wasn't any good at that application tbh, as it suffers from signal/execution price dislocation just like a DMA approach, for example. The RMR approach does look like an interesti...
by rabidric
Mon Mar 05, 2012 11:52 am
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 6432

I read through those Event. You are wasted on trading, please go solve Nuclear Fusion and Interstellar travel for us first. 8)
by rabidric
Mon Mar 05, 2012 10:23 am
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 6432

sorry that should have said "something like 10%". It also wasn't just about Winton, but Large Institutional fund management generally. 10% is just some rough psychological(double digits?) industry concept of "acceptable downside". Whether is is specifically Max drawdown, or some other form of downsi...