Search found 102 matches

by ecritt
Wed Jul 08, 2009 6:12 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

From what I can see, firms that have implemented such have been worse off for it...in many cases dramatically worse off. Weird. Any ideas about why this might be the case? In my short foray into studying the markets, they have done nothing but confound my logic :cry: I could write a book about this...
by ecritt
Tue Jul 07, 2009 11:13 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

What do you mean by "GARP-style filter"? Perhaps an example? Thanks. e.g. decent eps growth with not-too demanding p/e. Or even just simply eps growth of perhaps >20%. I'm too inexperienced to give you anything more precise than that, sorry. It's just from my limited knowlege and experience, these ...
by ecritt
Mon Jun 15, 2009 10:12 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Sluggo,

That's some good info. Thank you for posting it!
by ecritt
Mon Jun 15, 2009 12:44 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Re: Trendfollowing works on any asset class

Moreover the word "speculator" is often associated to futures/commodity and currency trading. The general public and the stock picking mutual fund managers appear to equate traditional stock investment with "safety" and "conservatism", particularly in relation to the mature, developed equity market...
by ecritt
Sun Jun 14, 2009 10:00 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

"Could you elaborate on what you mean by "drawdown or risk controls"? Do you think guys out there like Eckhardt Trading or Transtrend have some kind of "drawdown" control other than diversification and what is rather mystically referred to as "robustness"?" I can't speak for Eckhardt or Transtrend ...
by ecritt
Sun Jun 14, 2009 5:39 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Re: Trendfollowing works on any asset class

Thanks. It looks like nobody has been able to find a foolproof way of picking up the best performing stocks either. Hence the thread. By the way, we often see CTAs touting their commodity/currency investiment programs as an alternative or diversification to equity trading. The reverse is not so com...
by ecritt
Fri Jun 12, 2009 9:13 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Re: Trendfollowing works on any asset class

But don't expect to achieve outstanding returns on a large portfolio (>100 stocks) using conventional lttf. The law of large number dictates that doing so will only lead to average returns. Unless you improve your entry/exit timing, and be willing to be in/out until your position is protected(by sh...
by ecritt
Fri Jun 12, 2009 9:07 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

A lot of stocks make new highs, but only a small minority go on to make huge gains. If I could figure out which stocks are going to be the big winners (in advance) I'd be the richest man in the world. Have you tried any technical filters such as volume, momentum/strength, etc.? New all time highs i...
by ecritt
Fri Jun 12, 2009 11:26 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Yes, we've tried everything from 10 day highs to 3 year highs to all time highs, in 5 day increments. Performance is nearly the same from 2 year highs to all time highs. It starts to deteriorate when you move to the left of 1.5 year highs. The deterioration is due to opportunity cost at first. When...
by ecritt
Thu Jun 11, 2009 8:21 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Eric, have you tried any other method other than buying new all time highs as an entry point to invest in stocks that "continue to appreciate"? Yes, we've tried everything from 10 day highs to 3 year highs to all time highs, in 5 day increments. Performance is nearly the same from 2 year highs to a...
by ecritt
Sun Jun 07, 2009 12:06 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Trend following in stocks often puzzles those who wonder why it doesn't work like it does in futures markets, but maybe it's not such a big mystery. Richard Dennis reduced this to stocks being "more random," but there is a simpler explanation: stocks, especially stocks of a single country, are corr...
by ecritt
Sun May 03, 2009 11:14 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5252

Re: survivor bias

It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not including delist...
by ecritt
Sun May 03, 2009 8:34 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5252

Re: survivor bias

It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not including delist...
by ecritt
Sun May 03, 2009 3:58 pm
Forum: Stocks
Topic: survivor bias
Replies: 6
Views: 5252

Re: survivor bias

Hi all, I've recently done an experiment testing a system on a free database of currently traded stocks (yahoo) and purchased database free of survivor bias. I'm glad I bought that data because the performance on the latter was significantly worse. Even though the system buys supposedly strong stoc...
by ecritt
Thu Apr 09, 2009 10:36 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78050

Utrading:
“My approach involves technical analysis + pattern recognition. I also apply William O'Neil's CANSLIM when it comes to personal investment.â€
by ecritt
Mon Apr 06, 2009 5:36 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78050

Blackstar converted to long/short in February of 2008. So now we are net short every stock in the Russell 3000 that we do not own in the long portfolio. Despite this we still lost approx 20% in 2008. The max drawdown (end of day) was approx 25%. 2008 was very much like 1974, brutal. The long-only pr...
by ecritt
Sat Dec 06, 2008 5:24 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9500

AFJ,

Has your opinion of FUNDX changed after their 50%+ drawdown? Or was that within your range of expectations?

Thanks,

ec
by ecritt
Mon Sep 15, 2008 7:47 pm
Forum: Money Management
Topic: Maximum MAR; optimal betsize
Replies: 7
Views: 12102

Sluggo, That is an outstanding chart. Excellent. Sluggo replies: Nah, it's just the output of a Blox "Stepped Parameter" simulation run, plotted using Excel (to get all four curves on the same graph). Only took an hour from start to finish, including the chart. Blox did all the work. -S. (see fig1.p...
by ecritt
Sun Sep 14, 2008 12:53 pm
Forum: Money Management
Topic: Maximum MAR; optimal betsize
Replies: 7
Views: 12102

Re: Maximum MAR; optimal betsize

I've been reading through some past threads and I came across http://www.tradingblox.com/forum/viewtopic.php?p=17701&highlight=curvature#17701 which I found really interesting and clearly explained. Here is the part I am having trouble with: It's also fun to note that the maximum MAR ratio occurs a...
by ecritt
Sun Jun 22, 2008 5:34 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33227

Hi Eric, Have you discovered any good filters for stocks to improve returns? If by "filters" you mean fundamental inputs the answer is no. Many adhere to the long-value / short-growth trade because it has worked over the past 15 years. But it's just an observation. The next 15 years could easily yi...