Search found 39 matches
- Mon Oct 29, 2012 12:08 pm
- Forum: Testing and Simulation
- Topic: The last 7 years have been rough for LTTF
- Replies: 18
- Views: 14026
- Sat Mar 10, 2012 12:16 am
- Forum: Testing and Simulation
- Topic: Most of us are using insufficient data for testing
- Replies: 25
- Views: 16511
- Fri Mar 09, 2012 6:33 pm
- Forum: Testing and Simulation
- Topic: Most of us are using insufficient data for testing
- Replies: 25
- Views: 16511
After testing over more than forty years of data, I am confident that trend following works. From that testing, I am also confident that trend following returns are in a state of terminal decline, and that ever greater research efforts must be expended to maintain the same results. I suspect that th...
- Wed Feb 01, 2012 11:52 pm
- Forum: Futures Markets
- Topic: Anyone trading anything in Africa?
- Replies: 6
- Views: 4525
- Sat Dec 10, 2011 10:58 pm
- Forum: Brokers
- Topic: Interactive Brokers & Re-hypothecation
- Replies: 19
- Views: 31321
- Thu Jan 20, 2011 11:46 am
- Forum: Futures Markets
- Topic: Heads up, bad open interest data causing roll for ES
- Replies: 1
- Views: 2713
- Wed Apr 07, 2010 9:39 am
- Forum: Testing and Simulation
- Topic: Number of Parameters
- Replies: 16
- Views: 9443
- Sat Apr 03, 2010 11:19 pm
- Forum: Testing and Simulation
- Topic: Number of Parameters
- Replies: 16
- Views: 9443
- Fri Mar 12, 2010 1:55 am
- Forum: Data Providers and other non testing software
- Topic: Yet Another CSI Error - NBB
- Replies: 1
- Views: 2657
Yet Another CSI Error - NBB
Heads up -- The data for New Zealand Bank Bills for March 3 is wildly incorrect.
The error is so grossly obvious that you really wonder whether they do any data checking at all before releasing their data. On balance, the quality of their data has been absolutely terrible of late.
The error is so grossly obvious that you really wonder whether they do any data checking at all before releasing their data. On balance, the quality of their data has been absolutely terrible of late.
- Tue Feb 09, 2010 12:19 pm
- Forum: Testing and Simulation
- Topic: Warning: Potential CSI Data Problem - March Corn Low
- Replies: 5
- Views: 3878
Warning: Potential CSI Data Problem - March Corn Low
The low price CSI is posting for March Corn on February 8 appears to be too low. The correct low as reported by the exchange is 353.40. CSI is reporting a much lower low. Has anyone else encountered this?
- Mon Jan 25, 2010 9:03 pm
- Forum: Trader Psychology
- Topic: Is trading moral and ethical?
- Replies: 25
- Views: 41692
- Sat Jul 11, 2009 12:32 pm
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17888
Chris67, I appreciate what you are trying to say. Compared to the hedge fund industry as a whole, it is true that trend following funds are a relatively small asset class. But it is beyond dispute that on a percentage basis the growth in managed futures over the past 20 years has been dramatic. And ...
- Sat Jul 11, 2009 9:51 am
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17888
Chris67, Since the early 90s critics of trend following have been proclaiming the imminent death of the strategy. Some of its adherents have been responding that markets will forever trend so the strategy will remain viable. Who was correct? Neither. Some trend followers prospered over this time per...
- Fri Jul 10, 2009 12:43 pm
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17888
- Fri Jul 10, 2009 8:21 am
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17888
Transaction costs in the real world will vary greatly based on the markets being traded, the entry mechanism, the frequency of trading, the size of the traded account, the specific contract being traded, the skill of the trader, the trading session, and so on. So it is hard to generalize. However, y...
- Tue Jul 07, 2009 4:43 pm
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17888
Try running the Donchian system with realistic transaction costs and you will have answered your question. The performance results are very different. As already mentioned, the Donchian system is a basic trend following system that will profit from trends in roughly the same way as an ATR breakout s...
- Wed Mar 18, 2009 1:41 pm
- Forum: Brokers
- Topic: Recommended Brokers
- Replies: 1
- Views: 6447
Recommended Brokers
With the recent changes at Wisdom Financial, are there any other recommended brokers either at Wisdom or somewhere else? Thanks!
Algonquin
Algonquin
- Sat Jan 31, 2009 8:42 am
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 25343
- Fri Jun 13, 2008 2:31 pm
- Forum: Testing and Simulation
- Topic: What is Pretty Good to You?
- Replies: 1
- Views: 3062
What is Pretty Good to You?
Ed Seykota recently made an interesting post on his site: "A [MAR ratio] of 1.0 is pretty good, better by far than the one you get by buy-and-hold on S&P. People who claim much larger ones such as 2.0 and up don't usually make that claim for long." This comes from a guy who has been tr...
- Fri May 16, 2008 12:47 pm
- Forum: Testing and Simulation
- Topic: Slip and Commission
- Replies: 23
- Views: 28135
Hi Sluggo, Thanks for yet another thought-provoking post. And congratulations on recently surpassing the 1,000 post mark. I, like many, have benefited greatly from your generosity of spirit. With relatively little real world trading experience in the area of large basketed trading systems, I was fac...