Search found 126 matches
- Thu Apr 21, 2011 10:46 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 117893
- Fri Apr 15, 2011 7:18 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 117893
- Fri Apr 15, 2011 10:31 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 22188
Re: ETF Momentum System
I spent a lot of time on here and have "taken" a lot of great info from some very generous people. This is my humble effort to "give" a little bit, even though this isn't a huge breakthrough. The excel 2004 attachment runs a "ranking" momentum system on the sector SDPR...
- Sat Apr 09, 2011 6:41 am
- Forum: Futures Markets
- Topic: Things are correlated until they are not
- Replies: 5
- Views: 5352
- Fri Apr 08, 2011 9:56 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 117893
- Fri Apr 08, 2011 9:33 pm
- Forum: Testing and Simulation
- Topic: Healthy debate about subjects of testing and system optimati
- Replies: 18
- Views: 11677
- Fri Apr 08, 2011 9:26 pm
- Forum: Futures Markets
- Topic: Things are correlated until they are not
- Replies: 5
- Views: 5352
- Mon Nov 22, 2010 1:38 pm
- Forum: Testing and Simulation
- Topic: What is a good/realistic MAR for a trading system
- Replies: 9
- Views: 9554
Yes, if a CTA has been around for 30 years and initially traded with high leverage / low AUM and now trades low leverage / high AUM, they could have a lifetime MAR of 0.5, even though their MAR on a rolling basis could be greater than 1. This is why the Calmar ratio exists. Could also be a function...
- Mon Nov 22, 2010 12:02 pm
- Forum: Testing and Simulation
- Topic: What is a good/realistic MAR for a trading system
- Replies: 9
- Views: 9554
Using the 50 longest running track records for reporting CTA's yields an average MAR ratio of 0.46. Using the 50 shortest track records (but with at least 12 months of data) yields a MAR ratio of 1.9. Would be interesting to know what the 50 longest and 50 shortest track records MAR ratios were ove...
- Thu Nov 18, 2010 6:01 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13222
- Thu Nov 18, 2010 5:51 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13222
- Fri Nov 12, 2010 6:00 pm
- Forum: Market Psychology
- Topic: Email that I received today
- Replies: 10
- Views: 15012
Non traders are perhaps above all others the most unsuited to entering or exiting the market based upon intuition or discretion. ... 3) If you buy and hold, then spread your assets very widely over as many different asset classes, currencies and jurisdictions as you can. Market timing or no market ...
- Fri Nov 12, 2010 9:29 am
- Forum: Market Psychology
- Topic: Email that I received today
- Replies: 10
- Views: 15012
- Thu Nov 11, 2010 4:36 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13222
- Wed Nov 10, 2010 3:44 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13222
- Tue Oct 26, 2010 7:39 pm
- Forum: Trader Psychology
- Topic: I decided to override the system today
- Replies: 13
- Views: 17995
Chandeliers Vs. MA Xover Entries/Exits Problem I have with chandeliers is, what is the re-entry rule, and what do you do with the capital? If I had a re-entry rule that made sense (to me) and tested well, I would like chandeliers better. Or, if I had a very large universe of potential trades and fix...
- Fri Oct 08, 2010 5:11 pm
- Forum: Testing and Simulation
- Topic: Moving Median: a better indicator than Moving Average?
- Replies: 4
- Views: 7597
- Wed Oct 06, 2010 5:37 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49514
- Wed Oct 06, 2010 9:15 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49514
More clarity on my POV - I don't have a dog in the fight re: profit targets. While I don't have targets; and while I haven't personally investigated whether a combination of setting targets + increasing R + optimizing leverage would work with my systems; I hold open the possibility that I might in t...
- Tue Oct 05, 2010 9:59 pm
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624