Search found 62 matches

by drm7
Thu Mar 29, 2012 9:02 am
Forum: Testing and Simulation
Topic: High win %
Replies: 5
Views: 2298

LeviF: Is your system a countertrend system? I think that these kinds of systems are tempting, because that high win rate can make the results look really good. However, the really damaging losses don't show up until later, and its hard to really predict them. Vic Niederhoffer successfully traded a ...
by drm7
Wed Mar 14, 2012 1:25 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70653

AFJ,

I'm a little dense today, so bear with me...are you implying that Dunn should have left their systems alone, or were correct in modifying them. I couldn't tease it out of the context of your post.
by drm7
Tue Mar 13, 2012 9:37 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 5959

This might be a bit tedious, but you should use a charting program to bring up a chart with the necessary indicators and go through 25 to 50 trades BY HAND, to see entry/exit/risk, etc. This should help you figure out if the system matches the output.
by drm7
Tue Jan 31, 2012 11:16 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21505

Here's my counterpoint to the OP, although it is by no means an exhaustive analysis. The attached spreadsheet shows a portolio that I created using the IASG database - called "old school TF." These are CTAs that most people would have recognized as top performers in 2001. (I don't have performance r...
by drm7
Wed Dec 21, 2011 1:23 pm
Forum: Testing Software
Topic: Cool Free Data Mining Software
Replies: 4
Views: 2985

Looks interesting, Dean. I may take a look at this over Christmas break.
by drm7
Tue Dec 13, 2011 8:06 am
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12324

My "drug" of choice is a cup of black coffee in the morning. Caffiene helps me focus, as I'm borderline ADD. I remember reading an article a long time ago where high-level symphony orchestra musicians had a thriving black market in beta-blockers. Beta blockers reduce high blood pressure, but also in...
by drm7
Wed Dec 07, 2011 2:40 pm
Forum: Stocks
Topic: Who manage my Fund after the end of my life?
Replies: 5
Views: 3745

That is a subject that a good estate attorney can help you with (for a nominal fee, of course!) You can set up instructions in your will - for example give $x in cash (for immediate expenses, etc.), invest $y in a pre-selected investment portfolio with a conservative allocation 50/50 world stocks/wo...
by drm7
Tue Nov 29, 2011 2:28 pm
Forum: Testing and Simulation
Topic: Systematic options trading
Replies: 5
Views: 3132

Here is a strategy that has already been backtested. Looks interesting. You'll have to know a few things about option pricing to get the parameters correct, though. What astounds me is that the equity curve doesn't look like a typical "short volatility" curve. There is another paper published by GMO...
by drm7
Fri Nov 25, 2011 6:49 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13678

One scenario which may leave the "Euro" intact is, ironically, the wholesale abandonment of the "Euro" by Southern Europe. In this case, the Euro starts to look something like the "Deutschefranc," which would be relatively stable. While the transition would create severe volatility in the short-term...
by drm7
Wed Nov 16, 2011 7:48 pm
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 3865

ESZ11 is by far the most active contract of these two you mentioned and is the current "front month." Once December (ESZ11) expires, you roll to March (ESH12). If March (ESH12) Expires, does it roll to Jun (ESM12)? If Jun (ESM12) Expires, does it roll to Sep (ESU12)? If Sep (ESU12) Expires, does it...
by drm7
Wed Nov 16, 2011 2:33 pm
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 3865

This is another questions referring to S&P contracts If today is 10 Dec 2011, does the front month at Dec Jan 2012 contract? If today is 10 Jan 2012, does the front month at Dec Feb 2012 contract? and so on ... If I trade S&P 500, which one plays an active role on representing S&P contract? ESZ11.C...
by drm7
Thu Nov 03, 2011 5:27 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11306

We've had a lot of huge moves in the past few years (gold, silver, corn, cotton) and we are reaching a transition point where things get volatile. There is a great interview with Paul Tudor Jones done in 2008 that I think has a lot of applicability to the current environment. http://www.absoluteretu...
by drm7
Thu Oct 06, 2011 4:25 pm
Forum: Money Management
Topic: What happens when your porfolio correlates to 1?
Replies: 4
Views: 3798

I recall that Tom Basso has a similar system for limiting risk (at least at the time of his interview in Market Wizards .) He limits "total open volatility" (i.e., the total $ value of ATR in his open positions). If volatility goes up, he trims back positions until his portfolio is back at the targe...
by drm7
Mon Oct 03, 2011 8:57 am
Forum: Money Management
Topic: How to manage position sizing for option?
Replies: 5
Views: 4150

The way I would approach it is to take the option premium and make that your "1R" risk. As to adding to positions, time decay makes it problematic. However, you could try adding a position to the next expiration month. So, if you bought 10 NOV calls and your system tells you to add another 0.5R on x...
by drm7
Wed Sep 28, 2011 4:09 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23622

SURELY 2 TF's with correlation below 50% are not TF 's ? Seems carazy to expect 2 firms who both follow trends in global futures markets to have a correlation of less than 0.5 ? if tehy do something maybe wrong I think by the broadest definition of "trendfollowing" (a medium to long term system tra...
by drm7
Thu Sep 08, 2011 3:59 pm
Forum: Testing and Simulation
Topic: How do You De-leverage
Replies: 7
Views: 3827

Re: How do You De-leverage

what have others found ?C I stumbled on a similar discussion on a "quant" trading blog. The author does a lot of stat arb and thinks a lot about optimal leverage vs. performance, etc. In this post http://epchan.blogspot.com/2011/07/sorry-your-return-is-too-high-for-us.html , he offers a similar sol...
by drm7
Wed Aug 31, 2011 7:55 am
Forum: Testing and Simulation
Topic: Question about the adjustment method of TB futures data
Replies: 5
Views: 1968

I think you have it backwards - the contract rolls when open interest on the front month falls below the next month. If open interest isn't reported or front-month OI hasn't fallen below back month by 7 days prior to expiration, then the contract rolls automatically 7 seven days prior to expiration....
by drm7
Mon Aug 22, 2011 5:00 pm
Forum: Futures Markets
Topic: Historical Futures Charts
Replies: 3
Views: 1881

I would look at barchart.com. I don't think that it has DMark/French Franc, but it does have some fairly long-term charts if you tweak the settings enough. The continuous charts are NOT back-adjusted, so you will need to look at the "cash" contracts.
by drm7
Mon Aug 22, 2011 8:56 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78555

[quote="AFJ Garner"]What was that word I was grasping for? Ah yes, “Hubrisâ€
by drm7
Thu Jul 28, 2011 5:10 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 5190

Trend-following takes advantage of the nature of financial markets to have "fat tails" - you cut losers (which protects you from the downside fat tail) and let winners run (which reaps the rewards of the upside fat tail.) The trades in the middle cancel each other out. You can look at kurtosis, skew...