Search found 41 matches
- Wed Jan 30, 2013 5:40 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10960
keep in mind that the spreads and liquidity one sees on the screen is often not indicative of the true liquidity in a lot of these ETPs. A rule of thumb: if the underlying is liquid, the authorized participant or market makers will usually make a decent market for you. This is assuming you are tradi...
- Tue Jan 17, 2012 9:39 pm
- Forum: Data Providers and other non testing software
- Topic: erroneous prices 1/17/11
- Replies: 2
- Views: 3945
erroneous prices 1/17/11
Anyone else notice erroneous prices on tonight's download? Have noticed issues with CL, HG, SP, ND, TU, TY
- Thu Oct 27, 2011 11:24 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 97217
To me, the most important part of backtesting is understanding when you are fooling yourself. To the degree you are certain you have found the holy grail, and are about to embark on a career that will make Winton look bad, remember... pride goeth before the fall! To the degree you live in constant f...
- Sun Oct 09, 2011 8:22 am
- Forum: Testing and Simulation
- Topic: Market filter
- Replies: 10
- Views: 7086
- Thu Oct 06, 2011 3:22 pm
- Forum: Testing and Simulation
- Topic: David Harding Quote
- Replies: 9
- Views: 9569
michaelt - IASG or Autumngold might be a good place to start I would venture to guess that Winton is doing things that are light years beyond simple DMA systems. I know I would be if I had 100 quants in lab coats in my research dept. I read a presentation by Winton that had a profound impact on me, ...
- Thu Oct 06, 2011 3:11 pm
- Forum: Money Management
- Topic: What happens when your porfolio correlates to 1?
- Replies: 4
- Views: 7028
I have pondered this issue at length. I limit total risk. Yes it does put a cap on upside to a certain extent. But, backtesting will always lead you to take too much risk. If you do not employ a logical override, like limiting total risk or portfolio level volatility, then nothing will separate you ...
- Mon Sep 26, 2011 1:40 pm
- Forum: Money Management
- Topic: When To Start Your System?
- Replies: 28
- Views: 25878
I should state that my research only looked at 50-60 data points, and evaulated the results on a rolling 1 year basis. This obviously overlooks those times that the theoretical launch immediately went into drawdown, yet managed to maintain the positions and was better off after 12 months. Sluggo mak...
- Mon Sep 26, 2011 12:40 pm
- Forum: Money Management
- Topic: When To Start Your System?
- Replies: 28
- Views: 25878
- Tue Sep 13, 2011 8:48 pm
- Forum: Testing and Simulation
- Topic: Blox for testing entry based on percentage move?
- Replies: 5
- Views: 4195
- Fri Sep 09, 2011 10:59 am
- Forum: Testing and Simulation
- Topic: How do You De-leverage
- Replies: 7
- Views: 6292
- Tue Aug 30, 2011 11:19 am
- Forum: Testing and Simulation
- Topic: Parameter Stepping Methods and Implications
- Replies: 14
- Views: 9119
My belief is that investors of systematic managers and not buying into the models themselves, but the model building skills of the manager. If the manager is unable to tell the difference between sitting atop a mound of robustness vs. a pinnacle of optimization, then the investors are in for great d...
- Thu Jun 16, 2011 7:01 pm
- Forum: Testing and Simulation
- Topic: Data from Excel to TB
- Replies: 7
- Views: 5228
- Mon Jun 13, 2011 5:58 pm
- Forum: Futures Markets
- Topic: Q on when others roll new old crop to new crop
- Replies: 10
- Views: 7335
- Fri May 27, 2011 11:11 am
- Forum: Money Management
- Topic: Number of Trades Decrease as Risk Per Trade (%) Increases?
- Replies: 9
- Views: 8489
Not to be smart, but it is similar to the laws of physics by which we are all bound. To generate returns you have to assume risk, risk = volatility, volatility = drawdown. There seems to be a limit to how much return one can extract from markets in relation to the volatility one must endure. At time...
- Tue May 24, 2011 7:48 am
- Forum: Testing and Simulation
- Topic: Has anyone tried using Fractal properties for testing?
- Replies: 5
- Views: 4072
I too have found the same thing. While I read and enjoyed Mandelbrot's book, I find that academics try to force everything into neat, tidy, cleary defined categories. I always say that markets are more about the vagaries of mass psychology, than the discipline of any hard science. Fortunately, at a ...
- Fri May 13, 2011 9:56 am
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6438
Good points. Everyone decides for themselves what is worthwhile and what is not. For me, knowing what is possible is a great motivator in my research. For example, quite a few managers post daily equity numbers. If I find my daily numbers are correlated to theirs, then, abruptly, they diverge, mine ...
- Thu May 12, 2011 4:23 pm
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6438
- Wed May 11, 2011 4:26 pm
- Forum: Testing and Simulation
- Topic: Reverse Engineering System Parameters
- Replies: 11
- Views: 6438
From a practical perspective, I have gotten good ideas from looking at the equity curves and/or trades of other managers. While it may be impossible to exactly reverse engineer the system, it is possible to obtain useful information from such an exercise. At the very least you might come to the conc...
- Sun May 01, 2011 9:35 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 20827
- Sat Apr 23, 2011 1:23 pm
- Forum: Money Management
- Topic: Equity Adjustment?
- Replies: 5
- Views: 5058
Yes, taking long positions in rates and bonds up here has not been fun as of late, but neither have most of the shorts either. Your mentor is probably correct. For me personally, I imagine a continuum of possible outcomes in every market, of which one is an environment in which rates and bonds exper...