Search found 19 matches

by Christian Smart
Sun Mar 26, 2006 3:49 pm
Forum: Testing and Simulation
Topic: Is Monte Carlo Analysis Useful?
Replies: 6
Views: 7444

Faulting Monte Carlo by saying that it cannot account for correlation is like faulting Calculus because it is limited to single variables. That's an incorrect claim. Correlation can definitely be accounted for in Monte Carlo analysis. There are standard techniques of accounting for correlation and l...
by Christian Smart
Fri Mar 10, 2006 12:13 am
Forum: Testing and Simulation
Topic: Risk Reward Ratios
Replies: 6
Views: 6536

Hedge fund managers have to please their clients, the majority of whom seem to prefer a steady stream of returns rather than absolute returns. Look at Toby Crabel's performance - great in risk-adjusted metrics, not so great in absolute returns. The net result is that his is one of the bigger hedge f...
by Christian Smart
Thu Mar 09, 2006 12:33 am
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 9159

Here's an equity curve comparison for one system, with ATR measured as 1. a simple moving average (SMA); 2. an exponential moving average with smoothing factor 1/n (Wilder's EMA), and 3. the traditional 2/n smoothing factor (Traditional EMA). Wilder's EMA and the simple moving average provide simila...
by Christian Smart
Wed Mar 08, 2006 11:53 pm
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 9159

Thanks to everyone for their answers. In my opinion, it seems reasonable to relate the smoothing factor to the length. With a simple moving average, the length is a necessary ingredient, and exponential moving averages are typically expressed in terms of length, 10-day, 50-day, 100-day, etc., so I t...
by Christian Smart
Tue Mar 07, 2006 11:10 pm
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 9159

Difference Between Exponential and Simple Moving Averages

I use average true range to measure volatility for setting stops, position sizing, etc. I use both Trading Recipes and Tradestation, and have learned from doing comparison tests that the two programs calculate ATR differently. TR calculates ATR as an exponential moving average (the same way Welles W...
by Christian Smart
Sun Feb 19, 2006 11:49 pm
Forum: Testing and Simulation
Topic: Recent Trend-following system performance
Replies: 11
Views: 12221

Recent Trend-following system performance

[MODERATOR'S NOTE: This posting and the two that follow were split from another topic on the "Top 10 Trading Systems of All Time"] >I won't be too harsh judging mechanical systems performance from the >last few years, especially 2005. From the 2005 public funds return >(futures mag, same i...
by Christian Smart
Sun Jan 08, 2006 9:39 pm
Forum: Money Management
Topic: Ryan Jones on his Fixed Fractional strategy.......
Replies: 12
Views: 19601

Fixed Ratio Vs. Fixed Fraction

I personally am not a big fan of fixed-ratio position sizing either. Just for fun, I thought it would be an interesting exercise to update Mark Johnson's test in Trading Recipes. Attached is a comparison chart using the same 89-13 channel breakout system, with the same portfolio that Mark Johnson us...
by Christian Smart
Thu Oct 20, 2005 8:16 pm
Forum: Brokers
Topic: Refco
Replies: 30
Views: 29778

Jim Rogers fund affected by Refco debacle

From http://today.reuters.com/investing/financeArticle.aspx?type=bondsNews&storyID=2005-10-20T205909Z_01_N20537083_RTRIDST_0_FINANCIAL-REFCO-ROGERS-UPDATE-3.XML NEW YORK, Oct 20 (Reuters) - A commodities fund backed by investor Jim Rogers said on Thursday it was unlikely to allow clients to imme...
by Christian Smart
Wed Oct 19, 2005 11:44 pm
Forum: Brokers
Topic: Refco
Replies: 30
Views: 29778

Is Man next?

From - http://www.theglobeandmail.com/servlet/ArticleNews/TPStory/LAC/20051010/RHEDGE10/TPBusiness/Canadian "The U.S. Securities and Exchange Commission has also begun an informal inquiry into allegations that the U.S. brokerage arm of Man Group PLC, one of the world's largest hedge fund compan...
by Christian Smart
Tue Oct 18, 2005 9:21 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 29778

Update

I closed my Refco LLC account Friday morning, and it took until Monday afternoon for them to wire my funds. I spoke with client services Monday morning, and they told me that they were deluged with withdrawal requests and were backlogged. I wonder if there will be any Refco customers left after this...
by Christian Smart
Sun Feb 22, 2004 10:49 am
Forum: Trader Psychology
Topic: Has any one taken Van K. Peak Performance Home Study Program
Replies: 15
Views: 22988

Entries and Exits

I don't recall Tharp making the claim that exits are more important than entries in his PP course, but somewhere in either PP or his Trading System Development course he shows backtest results for a random entry system with traditional trend-following exits that shows profits consistent with other l...
by Christian Smart
Tue Feb 17, 2004 2:47 pm
Forum: Trader Psychology
Topic: Has any one taken Van K. Peak Performance Home Study Program
Replies: 15
Views: 22988

Van Tharp - lots of useful information, but some fluff too.

I found the Peak Performance home study course to be very useful. In addition to the psychological/discipline information, Tharp does some NLP modeling of two traders - one succesful anonymous discretionary trader (who seems a lot like Larry Williams), and one successful systems trader (who seems a ...
by Christian Smart
Sun Feb 08, 2004 11:21 pm
Forum: Money Management
Topic: The Myth of Mathematics
Replies: 8
Views: 9614

Correlation

Correlation can be handled using Monte Carlo simulation. Most decent Monte Carlo software packages, such as Crystal Ball and @Risk, allow for correlation.
by Christian Smart
Fri Feb 06, 2004 9:23 pm
Forum: Market Psychology
Topic: Are Stock Indices Different?
Replies: 12
Views: 25896

The following reply to Van's post is also illuminating:
http://mastermindforum.com/phorum/read. ... 929&t=5833
by Christian Smart
Tue Feb 03, 2004 5:04 pm
Forum: Trend Indicators and Signals
Topic: Asymetric Trend Trading
Replies: 3
Views: 8418

Asymmetry for Trend Following Longs and Shorts

Peter Aan has done some research in this area and it's published in the documentation for his "Mystery System." The optimized version of the Mystery System is asymmetric. [I have no relation to Peter Aan other than being a satisfied customer of his relatively cheap [$95] research report on...
by Christian Smart
Fri Jan 16, 2004 9:26 am
Forum: Money Management
Topic: The Myth of Mathematics
Replies: 8
Views: 9614

Theory of Runs

Actually, Chris, the topic you've brought up is treated very extensively in mathematics and it's called the "theory of runs." Your example is the following: if the probability of a winning trade = 0.5, then the probability of three losses in a row in three trades is 0.5^3 = 0.125. You then...
by Christian Smart
Sun May 25, 2003 11:56 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 33819

Kiwi,
There are ways to generate correlated random numbers in a Monte Carlo simulation. Two Excel add-ins, @Risk and Crystal Ball, have this capability built in. Or if you're a do-it-yourselfer, you can implement the Iman-Conover or the Lurie-Goldberg algorithms.
by Christian Smart
Wed Apr 23, 2003 7:44 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 26490

Hi Forum Mgmnt, What you've described is a form of Monte Carlo simulation - sampling from a histogram based on historical data, even one modified to account for fat tails, is just as much a form of Monte Carlo as is anything else. Also, it is possible to perform correlated (i.e., non-independent) Mo...
by Christian Smart
Sun Apr 20, 2003 10:10 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 67517

One possible way to determine the best possible portfolio for a trend-following system is to choose only the markets that trend well. Has anyone tried this? As far as I can tell, this idea was introduced in a "book" that Bruce Babcock put out years ago called Trendiness in the Futures Mark...