Search found 35 matches
- Thu Jul 10, 2008 9:25 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30797
Sluggo, this is my point precisely. I agree that Sharpe is not a measure of risk itself however it is what is provided to us by CTA’s to make a decision about them. What measures of risk does the typical Barclays CTA report actually provide us with? Once again I argue that drawdowns and standard d...
- Wed Jul 09, 2008 7:49 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30797
Yes LeapFrog, my point is more directed towards evaluating CTA’s. Indeed I have all sorts of additional measuring tools available to me in my own systems trading than I do if I’m selecting a CTA. And by no means did I ever imply that MTE was the ONLY tool one would use. To me it’s just a “qu...
- Tue Jul 08, 2008 5:02 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30797
Where the margin to equity ratio is particularly useful is when evaluating CTA’s. The reason for this is because most CTA’s don’t report their portfolio heat; however they do report their MTE ratios. I know in my own trading my portfolio heat and margin-to-equity ratio come pretty close to bei...
- Sun Jul 06, 2008 1:40 pm
- Forum: Testing and Simulation
- Topic: Most liquid futures contracts
- Replies: 5
- Views: 9603
- Wed May 07, 2008 8:52 pm
- Forum: Testing and Simulation
- Topic: How to SPEED UP simulations by 2 to 50 times (or more)!
- Replies: 12
- Views: 10365
The guys over at Tick Quest (Neo-Ticker) are already offering it. I hope this trend continues. As you can see, Neo-Ticker has made this a profit model for their firm. http://www.tickquest.com/go_firsttimebuy.html Any other developer ought to see this as a potential way to increase sales and business...
- Wed May 07, 2008 7:15 pm
- Forum: Testing and Simulation
- Topic: How to SPEED UP simulations by 2 to 50 times (or more)!
- Replies: 12
- Views: 10365
How to SPEED UP simulations by 2 to 50 times (or more)!
For many years high end fund managers have been using computing grids to link up computers for parallel processing and supercomputer type performance. It now seems as though this is available to the average Windows user with a few computers (or more) and this very interesting product. www.digipede.c...
- Thu Apr 17, 2008 6:39 pm
- Forum: Testing Software
- Topic: Logical Information Machines
- Replies: 2
- Views: 14775
Logical Information Machines
Has anyone here ever used the “Logical Information Machinesâ€
- Wed Nov 15, 2006 9:11 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 40073
Sluggo, That’s not really it. The way I am doing things is quite a bit more involved than that (not that complicated is better!). However, thanks for taking the time to read it and comment. My goal was simply to stimulate thinking on the subject and it seems as though it did that. I know personall...
- Tue Nov 14, 2006 11:30 pm
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 40073
I wrote an article that talks about the concept (as I use it) in a bit more detail here:
http://www.traderstech.net/The%20Small% ... undrum.pdf
Regards,
Dean Hoffman
http://www.traderstech.net/The%20Small% ... undrum.pdf
Regards,
Dean Hoffman
- Fri Oct 13, 2006 12:06 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
Leapfrog, These are precisely the kinds of scenarios that MC simulations do a great job with. Assume that on average your daily percentage fluctuations are plus or minus .75%. Lets then assume you were in OJ the wrong way today and this caused you to have a -3% day. What the Monte Carlo will do is r...
- Wed Oct 11, 2006 5:15 pm
- Forum: Futures Markets
- Topic: Coffee table discussion -what contracts is everyone holding?
- Replies: 44
- Views: 41376
- Wed Oct 11, 2006 2:00 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
I can’t help but being left with a lingering feeling about this whole discussion. Trading futures is not a place to try and figure out how to have certainty. It is where RISK TAKERS exchange UNCERTAINTY and potential losses for the chance of a profit. If you’re not walking into this knowing full...
- Wed Oct 11, 2006 11:49 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
Bari, No question scenarios like those happen all the time. I have probably run tens of thousands of hours of analysis over that very data and I would assume any serious traders here have done the same thing. In my case what I need are specific tools . At this point in my trading having the obvious ...
- Wed Oct 11, 2006 3:23 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
FYI In an effort to keep this topic on subject I have removed the brief segment of my presentation that discussed an aggressive leveraging strategy. If you still want to see it in its entirety feel free to email me. Otherwise the new presentation (the old one with about a minute edited out) link is ...
- Wed Oct 11, 2006 12:37 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
- Mon Oct 09, 2006 11:44 pm
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
Tushar S. Chande has also created a formula that attempts to predict maximum future drawdowns (1). It is primarily derived from average daily volatility. Personally I think the formula is too conservative, however, I think the real value here is the understanding of how critical daily volatility is ...
- Sun Oct 08, 2006 4:58 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
Forum Mgmnt, Quick couple comments.. I will agree that the idea at the end of my presentation about determining a possible account size was very aggressive. Furthermore, I made that rather clear . However, I think it is you who has crossed the line to the absurd to compare a thought out statisticall...
- Tue Oct 03, 2006 4:14 am
- Forum: Testing and Simulation
- Topic: When To Stop Trading
- Replies: 43
- Views: 46954
I recently created a presentation that touches on this issue of when to stop trading, and how to try and predict maximum future drawdown. (The first part of the preseation talks about a typical investor blunder) You can open it here: http://www.traderstech.net/Flash50/Flash50.html (this is a big fil...
- Sat Jun 24, 2006 3:00 pm
- Forum: Futures Markets
- Topic: Orange Juice Liquidity
- Replies: 10
- Views: 9575
Orange Juice Liquidity
I’ve been passively watching the bull market in Orange Juice for some time. Unfortunately, the liquidity of that market is notoriously bad (which is why I’ve only watched vs. traded it). I’m just curious if anybody has actually been trading the OJ move and can share what kind of slippage they ...
- Mon Jun 05, 2006 10:46 pm
- Forum: Brokers
- Topic: Costly Robobroker Errors
- Replies: 21
- Views: 28826
Keep in mind that when using CSI data you can send your broker your file called portfile.adm This file is located in c:\ua\archives and when imported by your broker will exactly replicate your CSI environment on his computer. This eliminates symbol and or roll over differences etc. Sharing this file...