Search found 66 matches

by DPH
Mon Feb 06, 2012 12:38 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

your paradigm seems to be LTTF. this is the trading blox forum. not the "LTTF or STFU!" forum. So kindly don't be an ass to me for endorsing another trader's efforts. just because lttf yields so-so performance figures , which incidentally i do not dispute with you, doesn't mean that people can't do...
by DPH
Mon Feb 06, 2012 11:51 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve ...
by DPH
Sun Feb 05, 2012 4:06 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35356

With regard to the mathematicians, it looks like they quickly learn the laws of marketing as well. Their task as successful hedge fund managers is to make people believe they have something special, the key to the secret misteries nobody else has. So, I believe that their interviews are just bullsh...
by DPH
Sun Feb 05, 2012 3:29 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve a...
by DPH
Fri Feb 03, 2012 10:02 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

I'm not sure why, but I often wonder if paid internet advertising with Facebook, Adwords, etc actually reduces credibility of a business like ours... Good point......For me the honest answer is no with Google. I am a trading software-a-holic and often times while "shopping" on Google have found the...
by DPH
Fri Feb 03, 2012 8:04 am
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 7567

Can you list some alternatives? I trade quite a few atypical markets (IE Malaysian Palm Oil, Japanese Rubber, Kerosene) and I am currently executing at 5 FCMs, of which 4 have been just fine. 1. RJO - Excellent (slightly irritated I can't place market on open orders, but service has gone beyond exp...
by DPH
Fri Feb 03, 2012 6:34 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

And another recent survey found that most Brits are drunk in their Facebook photos.
LOL! Whats that all about??? :P
by DPH
Fri Feb 03, 2012 3:58 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

A common psychological mistake people make is to think that since X doesn't appeal or apply to them, it must not have much merit. While someone may not use FB, there are 800M accounts, many of which are active. Look at the stats on how long people spend on Facebook when they do use their accounts.....
by DPH
Thu Feb 02, 2012 1:41 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

neither of them are worth 10% of their market cap its a bubble and like every bubble before them they will pop the market learned nothing from 1999 HUH? 10% of Google's market cap would make it worth roughly 18 billion..They had nearly 40 billion in revenue last year.... [img]http://node_charts_pro...
by DPH
Wed Feb 01, 2012 9:51 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

Facebook IPO, I just don't "get it"

Is it just me, or does anyone else not fully understand the Facebook phenomenon either? Am I just sour grapes, jealous of another’s success?? Comparisons are often made between Facebook and Google and the David and Goliath battle they are in for Internet dominance, but from my perspective Facebook...
by DPH
Wed Feb 01, 2012 2:15 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Dean, There is something funky with those numbers. For example, if the data is for 5 years of returns, there are several entries where the compounded return is positive but the Sharpe is negative. Since arithmetic return is always greater than geometric (i.e. if compounded return is positive then a...
by DPH
Tue Jan 31, 2012 1:22 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Dean thanks for sharing your thoughts in your blog (as linked above) I’m wondering if I am reading the tables and graphs correctly since the 2007-2011 values differ from table to graph For Emory Partners; The table ‘says’ 2002-2006 sharpe ratio = 1.48 and the 2007-2011 sharpe ratio = -0.02 Th...
by DPH
Mon Jan 30, 2012 1:27 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

LeviF wrote: I will play this game if you include the description of the program so I can throw out the option traders, cattle traders, S&P traders, stock pickers, short term, counter trend, arb, basically anything but LTTF. My question is why only LTTF and not the others? Is it possible you are usi...
by DPH
Mon Jan 30, 2012 5:04 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Raj,

I am afraid you’re “in the trapâ€
by DPH
Mon Jan 30, 2012 2:41 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

There is no question that survivorship bias is a MAJOR issue. As far as I am concerned it is the industry’s “dirty little secretâ€
by DPH
Mon Jan 30, 2012 12:30 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

Musings on (worthless) Past Performance

I was working on a blog post today and whipped together a few tables and charts I thought might be of interest to some. The general theme was to prove the worthlessness of most past performance statistics for CTAs. Primary target was the Sharpe Ratio, and frankly this tends to cover them all anyway....
by DPH
Mon Jan 09, 2012 4:38 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14537

I will post the correlations csv file if people are interested.
Very interested!

Also curious what you used to produced the "cool" animated graphic.....freeware? commercial product?

Thanks
by DPH
Wed Dec 21, 2011 12:23 pm
Forum: Testing Software
Topic: Cool Free Data Mining Software
Replies: 4
Views: 2937

Cool Free Data Mining Software

Here is an interesting piece of data-mining freeware from a pair of Harvard and MIT students that helps find meaningful relationships in data. Data Mining Software Here is an introductory video about it: MINE Software Introduction I used it to find a lot of intriguing relationships in a 50,000 data ...
by DPH
Tue Dec 20, 2011 7:26 am
Forum: Money Management
Topic: CTA Research Results
Replies: 4
Views: 3841

Here is the graph with CAGR verses margin. I also kept the Drawdown on it, so it is clearly visible that the rise in CAGR did not keep pace with the rise in Drawdown as margin usage rose. http://www.hoffmantrading.com/wp-content/uploads/2011/12/CAGRWDDMARGIN.jpg Yes Chris, the competence of many in ...
by DPH
Mon Dec 19, 2011 4:02 am
Forum: Money Management
Topic: CTA Research Results
Replies: 4
Views: 3841

CTA Research Results

After conversing with a brokerage firm last week about CTA performance track records, I decided to update some of my previous research. I thought some members here might find it of interest. The brokerage firm was considering adding a new CTA to their marketing lineup and was asking my opinion. They...