Search found 66 matches

by DPH
Tue Feb 08, 2011 2:16 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16391

@Dean Hofman Curious to know how you can trade your full diversified portfolio at 8-10% margin with your min. acct of 125-200k? I do it through a sort of dynamic portfolio selection process. In other words, even though I am tracking over 70 markets, my dynamic portfolio may only be permissioning 10...
by DPH
Tue Feb 08, 2011 1:36 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16391

Wisdom, the guys you asked about are Beechdale Capital and Two Sigma Investment. Some stats below… http://www.hoffmanassetmanagement.com/twoprograms.gif Feel free to private message me if you’d like a full blown 5 page (or so) report on both of them, just takes me a second to PDF them… Somethi...
by DPH
Mon Feb 07, 2011 9:07 pm
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16391

Leapfrog, In your case, I agree you want to maximize margin usage, which is why given two programs that make the same return (and all other things being equal), you still choose the one with lower margin. Why tie up $30,000 to make a $30,000 return, if you only need to tie up $15,000 to make the sam...
by DPH
Sat Feb 05, 2011 12:26 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16391

Estimating Future Risk…

Here, is a scenario to consider. Two money managers have identical MAR ratios. They have the same CAGR and the same maximum drawdown. The investor’s job is to pick the better manager. What tools other than MAR can the investor use? For many, industry standards like Sharpe Ratio, Sterling Ratio and...
by DPH
Fri Sep 03, 2010 3:28 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10761

Some solid fundamentals for the newer systems trader.

http://www.relativitytradingsystem.com/?page_id=221

Moderator's note: Above link is the blog of system vendor Dean Paul Hoffman, registered with NFA as president of DH Trading Systems LLC
by DPH
Thu Dec 03, 2009 6:17 pm
Forum: Data Providers and other non testing software
Topic: CSI Stock Data: Reliability of Start Dates?
Replies: 20
Views: 17779

CSI’s has other significant problems. First of all they limit the maximum number of stocks you can export to 10,000. In order to build an entire database you have to go thru a cumbersome process of creating exporting, then deleting a portfolio of fewer than 10,000 stocks and then doing it again an...