Search found 729 matches

by AFJ Garner
Tue Feb 05, 2013 12:00 pm
Forum: Futures Markets
Topic: Trendiness Indicator
Replies: 3
Views: 4042

I think the thing to remember is that my chart above is of one specific parameter run: a rolling 120 day period. The idea was sparked off by reading Estlander's year end report to investors where they showed a graph purporting to show the absence of clean 6 month trends in the last two years. I beli...
by AFJ Garner
Tue Feb 05, 2013 4:39 am
Forum: Futures Markets
Topic: Trendiness Indicator
Replies: 3
Views: 4042

Looking at an expanded version of the chart, what it shows is that the efficiency of trends (at least 6 month trends as defined by this index) improved to well above average between mid 2008 and 2009 and then slumped to an historic low for much of the period since. As with all indicators I have come...
by AFJ Garner
Mon Feb 04, 2013 6:00 pm
Forum: Futures Markets
Topic: Trendiness Indicator
Replies: 3
Views: 4042

Trendiness Indicator

Copy of article posted to Traders' Place: It has long been my contention that markets have become less kind towards trend following models in recent years. My view is that markets do change and that models therefore need constant adaption to survive, witness the recent demise of JW Henry and the dre...
by AFJ Garner
Wed Jan 30, 2013 11:51 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5655

The problem is that most ETPs that track commodities do not trade that often and have sizable spreads. The other major issue is that many don't have a lot of history, as AFJ mentions. Also, a lot are ETNs so you have realize that your taking basically credit risk with them. Absolutely agree with al...
by AFJ Garner
Wed Jan 30, 2013 7:11 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5655

As to data, in 2008 there were few country ETFs with a track record much above 10 years. And those were pretty well limited to Barclays iShares. Frankly, anyone doing research on index tracking ETFs is likely to need to pay the closest attention to tracking error. If tracking error is low and charge...
by AFJ Garner
Wed Jan 30, 2013 7:07 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5655

The best source of information I found was Morgan Stanley's now outdated world guidebook attached. No price data but you have got all the tickers etc.
by AFJ Garner
Thu Nov 22, 2012 3:53 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19479

A very good post indeed Chuck and I wrestle with exactly the same questions; unfortunately usually also in the middle of the night. Any answer one might arrive at is unfortunately mere guesswork; there do not appear to be many certainties in this universe. For anyone who has not come across the site...
by AFJ Garner
Mon Nov 19, 2012 4:44 pm
Forum: Data Providers and other non testing software
Topic: Transtrend portfolio And European markets
Replies: 6
Views: 3838

I never got anywhere in my search for what you are looking for. I ended up using Equis/Metastock which was not very satisfactory as I recall. I seem to remember there was no dividend data available from them although (from memory) the price data was at least adjusted for rights/splits etc etc...hmmm
by AFJ Garner
Mon Nov 19, 2012 8:15 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19479

I'm trying to "let go", in the Jimmy Sloman sense lol, of attachment to my market past. It's still very valuable, all that experience, but being attached to it will likely create a large potential for downfall going forward. It's hard, but I'm trying to see it for what it is. We may and probably wi...
by AFJ Garner
Mon Nov 19, 2012 5:07 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19479

Chris67 mentioned these guys on another thread: http://www.iasg.com/groups/group/district-capital-management/program/diversified-program#all I had not come across this outfit before but apparently the lady who runs it began working in the business with her father in 1978. They are in a draw down of ...
by AFJ Garner
Sat Nov 17, 2012 4:44 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19479

Dead or not (and I don't believe it is dead) things HAVE changed. It is more difficult to make money out of trend following over the past decade. Increased noise and less "efficient" trends coupled with the increased correlation mean that you need to lower leverage and volatility to avoid getting bl...
by AFJ Garner
Mon Nov 12, 2012 12:25 pm
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4948

When Bonds Fall

To reinforce the concerns over data periods, the attached paper is of interest. CSI futures prices on the 30 year US Bond commence in 1977 (excuse my laziness but presumably from the commencement of T Bond futures). Thus available bond futures prices commenced only 3 years before the current 30+ yea...
by AFJ Garner
Sun Nov 11, 2012 8:45 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4948

Wow!!!! & Double WOW!!!! Gold & Silver cash prices back to 1252!!! (Testing a dual moving average crossover system with slow MA=200 years and 'fast' MA=20 years would be fun) Yep, very interesting stuff. Bear in mind the further back you go the prices will be monthly or yearly. Bear in mind also th...
by AFJ Garner
Sun Nov 11, 2012 6:33 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4948

http://www.globalfinancialdata.com/index.html
See if these people have what you need.
by AFJ Garner
Thu Nov 08, 2012 12:59 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 6008

Quite right of course, I stand corrected and withdraw the inappropriate use of the word “modernâ€
by AFJ Garner
Thu Nov 08, 2012 5:25 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 6008

Re: Trend Index

seems like all those drawdowns are making someone very cranky :D Obama has won and promised MORE OF SAME for next 4 years...I guess 4 more years of same for the systems too... :lol: Hardly surprising given this month's new max DDs. Chesapeake now at 35%, Estlander Alpha Trend 22%, Mulvaney 44%,Hyma...
by AFJ Garner
Wed Nov 07, 2012 6:12 am
Forum: Money Management
Topic: How to apply One Percent Risk on future?
Replies: 7
Views: 3891

Sorry, maybe I am being dense but I can't see your problem. You can not work out the risk on a futures contract without using the point value in some shape or form. If you want to use the notional value (eg currently $88,000 on one contract of Crude) fine. But you still need the point value to get t...
by AFJ Garner
Wed Nov 07, 2012 4:43 am
Forum: Money Management
Topic: How to apply One Percent Risk on future?
Replies: 7
Views: 3891

I think there is a bit of muddled thinking here somewhere. First of all, as I am sure you realize, the statement "futures has a leverage at 10 times" is misleading. Leverage varies widely depending on market conditions and the particular instrument you are trading. In any event, in my book leverage ...
by AFJ Garner
Tue Nov 06, 2012 7:54 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 6008

I tell you another thing for free: unless you have a skill for discretionary trading, why bother fretting about it or the wretched index. Or indeed unless you intend to invest with other discretionary traders. I can't see the point in fretting about something you can't see, grasp or back test. There...
by AFJ Garner
Tue Nov 06, 2012 6:59 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 6008

Hmmm. Any ideas on how to understand this better - other studies, could there be hidden biases (eg. survivorship differences), definitional issues (eg how many in "discretionarly" index might actually be primarily systematic with slight "discretionary overlay"), LTTF proportion of systematic or tre...