Search found 126 matches

by nodoodahs
Thu Apr 21, 2011 10:46 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78374

The real point being: "go it alone; do not buy mutual funds; do not employ professionals; buy and hold index trackers or employ a simple system or both". I do not have great respect or admiration for the established fund management industry. I would change to "do not buy actively-managed discretion...
by nodoodahs
Fri Apr 15, 2011 7:18 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78374

No, actually the pension fund investing in the manager will fire them because their returns have too much "tracking error." Or, alternately, the first time the manager winds up holding "too much cash" the pension fund will fire them because "we pay you to INVEST and not to HOLD CASH." Or perhaps the...
by nodoodahs
Fri Apr 15, 2011 10:31 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13135

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 SDPRs. It's simple. Take the top x...
by nodoodahs
Sat Apr 09, 2011 6:41 am
Forum: Futures Markets
Topic: Things are correlated until they are not
Replies: 5
Views: 3538

The correlation was very persistent over the past decades ... (1) Turn the data into daily movements were each contract held long (2) Use the =correl() function to generate a rolling N-day correlation for several N (3) Graph that over time. (4) See if you still think it was "very persistent" I have...
by nodoodahs
Fri Apr 08, 2011 9:56 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78374

Most of CANSLIM's filters are fundamental, athough I think the lookback period used is atrociously long. The so-called fundamental "anomalies" are legion and all you have to do is choose a small handful to bias the portfolio towards profitability, these could be absolute, or relative to the market, ...
by nodoodahs
Fri Apr 08, 2011 9:33 pm
Forum: Testing and Simulation
Topic: Healthy debate about subjects of testing and system optimati
Replies: 18
Views: 5786

rabidric wrote:somebody else takeover here..... :oops:
OK.

@ d123, I nominate YOU to distill the knowledge, cull through old posts, write the ebook, and get all the benefits of selling it+possible employment+etceteras.
by nodoodahs
Fri Apr 08, 2011 9:26 pm
Forum: Futures Markets
Topic: Things are correlated until they are not
Replies: 5
Views: 3538

You've got it exactly backwards. Things are NOT correlated ... until they ARE. :lol: Seriously though, correlation is not a characteristic of population; correlation is an observation taken on a sample from a population. So rather than worry about whether "correlations change" we should rather first...
by nodoodahs
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: 5300

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...
by nodoodahs
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: 5300

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...
by nodoodahs
Thu Nov 18, 2010 6:01 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 7967

Sorry for the double-post, but some thoughts on DD. Perhaps, just perhaps, DD is more stable for stab art types of strategies? This could be approximated somewhat through sims of much higher Sharpe return streams over time. I know from MC on both hypothetical "known" return streams and bootstraps fr...
by nodoodahs
Thu Nov 18, 2010 5:51 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 7967

However, there is one advantage: because trading occurs less frequently it’s possible to lead a much better lifestyle than if you’re running shorter horizon strategies!
by nodoodahs
Fri Nov 12, 2010 6:00 pm
Forum: Market Psychology
Topic: Email that I received today
Replies: 10
Views: 8171

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 ...
by nodoodahs
Fri Nov 12, 2010 9:29 am
Forum: Market Psychology
Topic: Email that I received today
Replies: 10
Views: 8171

AFJ Garner wrote:I do not intend to revert to discretionary trading.
Mega dittoes.
by nodoodahs
Thu Nov 11, 2010 4:36 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 7967

I mean what is "best" in terms of instrument or signal at any given time? That sounds like something determined by testing in the context of your system(s). This may or may not yield the desired "compromise" of being able to run many systems across a (theoretical) broad set of instruments whilst ha...
by nodoodahs
Wed Nov 10, 2010 3:44 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 7967

A suite of systems on a bunch of instruments could be made to work with limited capital if one of the features of the systems was a “gradingâ€
by nodoodahs
Tue Oct 26, 2010 7:39 pm
Forum: Trader Psychology
Topic: I decided to override the system today
Replies: 13
Views: 10799

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...
by nodoodahs
Fri Oct 08, 2010 5:11 pm
Forum: Testing and Simulation
Topic: Moving Median: a better indicator than Moving Average?
Replies: 4
Views: 4613

How does the moving geometric mean compare to the moving arithmetic mean? :lol:
by nodoodahs
Wed Oct 06, 2010 5:37 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30752

Jez Liberty wrote:"as many bliss functions as there are different traders"
Actually multiply that result by some non-prime integer and you'll get closer to the truth ...
by nodoodahs
Wed Oct 06, 2010 9:15 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30752

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...
by nodoodahs
Tue Oct 05, 2010 9:59 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

td80 wrote:There is a lot of insight into the madness of the institutional mindset in this thread.
This:
http://www.cfapubs.org/doi/pdf/10.2469/faj.v65.n6.4

Also, google "tracking error" in regards to pension funding levels and "alm" and you'll get a snout-full of the institutional investor madness mindset.