Search found 102 matches

by ecritt
Sun Jun 22, 2008 4:17 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33465

Also, if memory serves me correctly, the Black Star Funds study is long only and covers pretty the 1990s onwards which was obviously a pretty strong bull market. I would be curious to see how the strategy performed during the 1970s. The start date was dictated by data integrity & availability. Gett...
by ecritt
Tue Jul 17, 2007 10:26 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16816

And what would your top choice of 5 more general hedge funds be? I have no favorites from the typical hedge fund styles like merger arb, conv arb, rel val, distressed, event driven, or mkt neutral. I believe these are very crowded with managers that are all chasing the same finite alpha. I've seen ...
by ecritt
Mon Jul 16, 2007 7:57 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16816

AFJ Garner wrote:So, list of your top 5 CTAs Eric?
Transtrend, Winton, Chesapeake, Lynx, Aspect.
by ecritt
Sun Jul 15, 2007 4:37 pm
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16816

I imagine you mean "CPOs" and/or "Funds" rather than "CTAs". In order to trade thousands of Ralph Vincean Market Systems (what you call individual equity curves), at low enough leverage to produce an overall 10% CAGR with 10% MaxDD, after fees, and with at least one contract per Market System, the ...
by ecritt
Sat Jul 14, 2007 2:26 pm
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16816

Of course Eric, there is one very important way in which your trading on equities differs from TF on futures. Futures have a limited universe - one tends to like to maximise the gains from a given trend and therefore may be willing to suffer give back. After all, we have only 70 or 100 futures each...
by ecritt
Thu Jul 12, 2007 4:41 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16816

AFJ Garner, I agree with you, but still the original question is the validity of a change to to the R-multiple calculation because of its shortcoming. I like the concept of R and have built trading models around it but... "Wouldn't it be better to change the R-multiple calculation to take not only ...
by ecritt
Mon May 28, 2007 7:12 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78568

Re: Dividend Adjustment Lag?

ecritt How many days lag are there in CSI data when they adjust for dividends? You raise a good point!! HMMM I may be acting on a few false sell siganls when dividends are being paid out. There is no lag. The ex-dividend dates are well known in advance. The adjustments are automatically processed d...
by ecritt
Fri Feb 16, 2007 1:15 am
Forum: Testing and Simulation
Topic: Trading using Random Entries (Van Tharp book method)
Replies: 20
Views: 38074

One other possibility is that the pseudo-random number generator for whatever simulation software he used did not have an adequate dispersion of random values. In other words, it wasn''t as random as it needs to be for this sort of test. Computer pseudo-randomnumber genrators that are supplied by t...
by ecritt
Fri Feb 09, 2007 10:44 pm
Forum: Data Providers and other non testing software
Topic: CSI Stock Data - further dangers
Replies: 5
Views: 5628

I've researched dozens of randomly selected delisted stocks from the CSI database; some the result of mergers, some banruptcies. Post 1990 I've found little reason for complaint. Before 1990 there are clearly some omissions. Realtime performance of the database has given me no problems. If you are f...
by ecritt
Mon Feb 05, 2007 2:42 pm
Forum: Data Providers and other non testing software
Topic: CSI Stock Data - further dangers
Replies: 5
Views: 5628

Mergers and spinoffs can get very confusing. Looks like Jefferies Group absorbed Quantex and later spun it off as ITGI, only to reacquire ITGI some years later in a convoluted merger involving multiple entities that resulted in ITG and JEF both listed on the NYSE. ITG and Jefferies. ITG began in 198...
by ecritt
Wed Jan 31, 2007 10:34 am
Forum: Data Providers and other non testing software
Topic: CSI Stock Data: Reliability of Start Dates?
Replies: 20
Views: 17767

CSI's stock data prior to March of 1990 is "hit or miss". Others and myself have been unable to find any material problems post 1990; there were about 20 missed splits and various corporate actions that they have since fixed at my request. CSI's real-time (day to day) performance, which I've been ev...
by ecritt
Sun Dec 03, 2006 3:48 am
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

Eric: you certainly bring up a good point regarding Rentec. They have already surpassed the $10B mark in assets under management (in less than a year) and they were up over 12% YTD through August. Rentec does employ a long-term long-only approach but I suspect that their goal is return enhancement r...
by ecritt
Wed Nov 01, 2006 6:23 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

Aren't y'all forgetting the thundering herds of "Global Macro" hedge fund managers? They trade anything and everything, including commodities, so they have to register as CTA's too. Series 7, Series 3, blah blah blah. They also trade cash equities, it's a major slug of their business. Snuffle your ...
by ecritt
Tue Oct 31, 2006 7:05 pm
Forum: Stocks
Topic: Distributions of stocks
Replies: 6
Views: 10779

in that -4% figure, did you include the t-bill return from the broker on the short sales? institutional accounts can usually get a short rebate. . . Our true cost of borrow is approx 50 basis point. We can borrow at libor + 25 bps, short stocks which brings in cash, invest the cash at libor - 25 bp...
by ecritt
Tue Oct 31, 2006 4:00 pm
Forum: Stocks
Topic: Distributions of stocks
Replies: 6
Views: 10779

Assuming that a trend-follower has the ability to short stocks as well, survivorship bias would imply higher returns in live trading compared to back-test (probably higher risk-adjusted returns as well). This is true. But, this is usually nullified (for most people) because they are backtesting on ...
by ecritt
Tue Oct 31, 2006 3:21 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

You would be surprised how important the marketability aspect is in the equity long/short space. I suspect that the due diligence teams at fund-of-funds feel more comfortable allocating to a Long/Short Manager who utililizes a bottom-up approach and is able to "tell a story" about every name in the...
by ecritt
Mon Oct 30, 2006 8:21 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

I think Campbell's equity trading is both short volatility and very short-term (1 or 2 day hold times). Nothing against Campbell, they are clearly very smart people, but I do not understand why they and every other CTA choose not to offer a long-term cash equities program. The traditional asset spac...
by ecritt
Sun Oct 29, 2006 9:22 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

sluggo wrote:Do these five mutual funds fit your definition: http://www.fundxfund.com/ ?
The one that trades stocks (STOCX) does. Thank you.
by ecritt
Sun Oct 29, 2006 8:37 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

Zero? Not a one?
by ecritt
Mon Oct 23, 2006 3:17 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20103

Systematic equity funds? CTA's that trade stocks?

Does anybody on this forum have knowledge of any truly systematic equity mutual funds and/or hedge funds? By systematic I mean purely price/statistics based, not quantitative evaluation of fundamental metrics. Or..... CTA's / Global Macro firms that have programs that trade cash equities??? Thank yo...