Search found 126 matches
- Tue Oct 05, 2010 9:43 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49821
Comparing equity curves levered to have the same max drawdown is an idea by Modigliani* and Modigliani. They reason: if you were willing to tolerate 41.6% drawdown without profit targets, you're also willing to tolerate 41.6% drawdown with profit targets, and why not avail yourself of the improved ...
- Sat Oct 02, 2010 10:19 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37913
- Fri Sep 24, 2010 5:56 pm
- Forum: Money Management
- Topic: different % Risk for longs and shorts
- Replies: 11
- Views: 9200
- Sun Sep 05, 2010 11:46 am
- Forum: Trader Psychology
- Topic: Buy, Sell, or Hold on a Drawdown?
- Replies: 0
- Views: 6107
Buy, Sell, or Hold on a Drawdown?
http://www.attaincapital.com/alternative-investment-education/managed-futures-newsletter/investment_research_analysis/380 You could do the same study with passive investments (like a 50/50 U.S. stock/bond mix) and I'm pretty sure you'd get the same results, their "buy a drawdown" is essent...
- Sat Aug 28, 2010 9:11 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16941
Re: 9th Vs 10th, remember that trending and momentum aren't the same thing - far from it! Currencies are a fine example. Yes, currencies tend to trend, because the economic variables that drive their movements tend to be stable over long periods of time. I don't personally need to know what the %#%$...
- Thu Aug 19, 2010 7:43 pm
- Forum: Market Psychology
- Topic: Profitability of System Types at Present
- Replies: 11
- Views: 15160
- Wed Aug 18, 2010 5:59 pm
- Forum: Market Psychology
- Topic: Profitability of System Types at Present
- Replies: 11
- Views: 15160
- Wed Aug 18, 2010 5:56 pm
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16941
- Sat Aug 14, 2010 9:22 pm
- Forum: Testing and Simulation
- Topic: My system is not a profitable in all markets
- Replies: 4
- Views: 3769
Along the lines of what Kiwi asked ... of the unprofitable markets, what do they have in common? Are they all physicals, currencies, stock indices, bonds? How is the profitability in the other markets of that type? I would say that if the system had nothing but unprofitable or breakeven performances...
- Fri Apr 09, 2010 2:59 pm
- Forum: Testing and Simulation
- Topic: New goodness function
- Replies: 14
- Views: 8168
- Sun Mar 07, 2010 9:26 am
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9401
A complete discussion of modeling the whole curve is beyond this thread. You need to search for some academic papers on this, use Google Scholar, Repec, SSRN, or search at the Fed websites. Usually 5 year is between 3 month and 10 year, but much closer to 10 year yield. When the curve gets very flat...
- Sat Mar 06, 2010 11:04 pm
- Forum: Stocks
- Topic: Economic Cycle for yield curve
- Replies: 3
- Views: 7012
- Sat Mar 06, 2010 11:02 pm
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9401
- Sat Mar 06, 2010 6:53 pm
- Forum: Stocks
- Topic: Economic Cycle for yield curve
- Replies: 3
- Views: 7012
- Tue Mar 02, 2010 4:45 pm
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9401
The typical state of affairs for any single currency’s rates is for the shorter term to be slightly lower than the longer term, e.g., the yield on U.S. three-month money is typically about 1.5% or so below the yield on U.S. ten-year money. The relationship in term rates is pretty much the same in ...
- Fri Feb 26, 2010 4:41 pm
- Forum: Market Psychology
- Topic: Why isnt "Turtle System One" (1984) profitable?
- Replies: 10
- Views: 34416
- Sat Feb 20, 2010 5:08 pm
- Forum: Testing and Simulation
- Topic: MSCI Indices
- Replies: 3
- Views: 3026
- Mon Feb 15, 2010 5:23 pm
- Forum: Testing and Simulation
- Topic: Usefulness of Monte Carlo
- Replies: 3
- Views: 3497
OTOH selling fully-capitalized just OTM SPX puts looks VERY good if you don't have 1987 and 2008 in the backtest ... and if you DO have 1987 and 2008 in the backtest, it STILL looks PRETTY DARN GOOD compared to buy+hold the underlying index from 1986 through 2009. Sometimes we overstate the risks of...
- Tue Feb 02, 2010 9:06 pm
- Forum: Testing and Simulation
- Topic: System Longevity
- Replies: 22
- Views: 13893
As a colleague and I were discussing a while ago, when looking at MAR on IASG and comparing it to what you see in back testing, you should make sure you are comparing apples to apples. You must look at both your back tests and IASG figures GROSS of fees or NET of fees. DON'T FORGET TO TAKE OUT THE ...
- Sat Jan 09, 2010 6:35 pm
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7561