Search found 166 matches

by kianti
Wed Dec 23, 2009 3:57 am
Forum: Data Providers and other non testing software
Topic: CSI SYMBOL USC ( USD/EUR)
Replies: 7
Views: 3581

Re: CSI SYMBOL USC ( USD/EUR)

marriot wrote:Few days ago, Csidata has deleted lots of years from USC data.
EU9
CSINum 2349
U.S. Dollars per 1 Euro
by kianti
Tue Dec 22, 2009 5:32 pm
Forum: Market Psychology
Topic: Trader Resolutions
Replies: 7
Views: 6583

Re: Trader Resolutions

Doug Hirschorn posted "13 Trader Resolutions for 2010" on a blog for CNBC..... Here are three of Buffett's rules: 1. Rule No.1: Never lose money. Rule No.2: Never forget rule No.1. 2. The stock market is designed to transfer money from the active to the patient. 3. The most important quality for an...
by kianti
Sun Dec 13, 2009 2:32 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12488

Re: Do Markets Change? Trend Following.

Not to mention the fact that I am a self confessed pompous and self opinionated old bore. :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock: :shock:
by kianti
Wed Dec 02, 2009 7:45 am
Forum: Trader Psychology
Topic: It's boring to trade a system; how do you use your time?
Replies: 13
Views: 11252

A.Kiev, Trading to Win

Tue Dec 1, 2009 12:15pm EST
Trading coach to hedge fund powerhouse SAC dies

Rest In Peace
by kianti
Fri Nov 13, 2009 12:58 pm
Forum: Trader Psychology
Topic: It's boring to trade a system; how do you use your time?
Replies: 13
Views: 11252

If not too bored, you could read:
A.Kiev, Trading to Win and
T.Gallwey, Inner Game of Golf

best regards, as ever
by kianti
Mon Oct 19, 2009 5:40 am
Forum: Testing and Simulation
Topic: Sector Limits
Replies: 12
Views: 5177

Dendogram

Any dendogrammer around? The complexity in dealing with correlated market lies in correctly identifying correlated groups. With just two markets this is simple enough, the market is either correlated or not. With three things get a little more complicated. Imagine three markets A,B & C, if A is high...
by kianti
Wed Sep 30, 2009 6:31 am
Forum: Testing and Simulation
Topic: Infiniti Capital unveils new hedge fund ranking method
Replies: 0
Views: 1852

Infiniti Capital unveils new hedge fund ranking method

Hong Kong-based hedge funds of funds shop Infiniti Capital believes it has found a better way to quantitatively rank the risk adjusted returns of hedge funds than that used by traditional methods. The new ranking method, called the Infiniti Single Fund Analysis (SFA) score, is included as a risk adj...
by kianti
Sun Sep 27, 2009 6:13 am
Forum: Testing and Simulation
Topic: CTA performance excell formulas for 13 column table
Replies: 8
Views: 5669

You could copy a section of your Excel sheet in a picture software (I use Infranview).

best regards, as ever
by kianti
Thu Jun 18, 2009 9:01 am
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21587

If anyone has any ideas/suggestions/leads????
How about using historical volatility x pointvalue x YourMultiplier?

best regards, as ever
by kianti
Wed Jun 03, 2009 2:35 pm
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8481

... and Kelly, results seem very close
by kianti
Wed Jun 03, 2009 11:41 am
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8481

Sluggo,
Does your spreadsheet calculate an optimal f of approximately 8% ?
Yes :!: :?: :!: and I guess I answered my previous question, optimal f is not the % to risk on each trade.

best regards, as ever
by kianti
Wed Jun 03, 2009 9:42 am
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8481

Sluggo, thanks for your kind relpy, I'll study the link you suggested and I would like to have your precious opinion on this: Optimal f is the divisor of the biggest loss, the result of which we divide our total stake by to know how many bets to make or contracts to have on Optimal f is not the perc...
by kianti
Wed Jun 03, 2009 6:47 am
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8481

I enjoyed the book, I found a lot of interesting things, expecially the idea of trading in terms of target returns and the best way to get it with optimal f. I have the feeling that Vince dismisses Kelly too quickly: In trading we can count on our wins being for various amounts and our losses being ...
by kianti
Wed Dec 06, 2006 2:59 pm
Forum: Testing and Simulation
Topic: Kat, Goldman and copulas
Replies: 8
Views: 5119

So, instead of asking Kat the questions suggested by Sluggo, I would ask him to be more explicit about his strategy so that potential investors, given enough energy and the right tools, can see for themselves, from their own testing, what returns can be replicated and how. I agree, it would have be...
by kianti
Tue Dec 05, 2006 3:05 pm
Forum: Testing and Simulation
Topic: Kat, Goldman and copulas
Replies: 8
Views: 5119

Sluggo, I agree with you, I guess that selling point for the synthetic fund is (quote from the pdf) the ability to generate very similar returns in a much more mechanical way and with a lot less effort. If it is, we may be able to do without expensive hedge fund managers and all the hassle, includin...
by kianti
Tue Dec 05, 2006 8:28 am
Forum: Testing and Simulation
Topic: Kat, Goldman and copulas
Replies: 8
Views: 5119

Kat, Goldman and copulas

The Financial News reports that Goldman Sachs has become the first bank to create a hedge fund replication tool in a move that could lead to a shake-up of the $1.3 trillion (€976bn) hedge fund industry. The article reveals that the platform will greatly undercut the notoriously high fees of the h...
by kianti
Sat Dec 02, 2006 1:40 am
Forum: Money Management
Topic: Relationship between volatility and certainty
Replies: 6
Views: 6799

How about fully accept the concept of uncertainty? Uncertainty principle From Wikipedia, the free encyclopedia In quantum physics, the Heisenberg uncertainty principle or the Heisenberg indeterminacy principle — the latter name given to it by Niels Bohr — states that when measuring conjugate qua...
by kianti
Wed Mar 08, 2006 11:41 am
Forum: Futures Markets
Topic: RA , NE - South African Rand, New Zealand Dollar
Replies: 10
Views: 6921

I note that one or two of the better known trend following CTAs trade these currencies but I suspect they trade the currency forwards rather than futures. I was also surprised to see some of the biggest CTA trade illiquid currencies on FINEX. Maybe the futures broker before submitting the order giv...
by kianti
Wed Mar 08, 2006 11:31 am
Forum: Testing and Simulation
Topic: Risk Reward Ratios
Replies: 6
Views: 4839

In the late 1920s Warner Heisenberg stunned the scientific world with his uncertainty principle of quantum mechanics. He showed that you can look closer and see less. Adding a little bit of Behavioral Finance you could notice how utility function or initial state of wealth modifies judgement of numb...