Search found 109 matches

by stopsareforwimps
Tue Jul 10, 2012 8:55 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11655

This paper "Momentum Crashes" by Kent Daniel and Tobias Moskowitz http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1914673 argues that after big downdrafts in markets, momentum investing is predictably unprofitable. Similar paper here Tail Risk in Momentum Strategy Returns Abstract: Price momentu...
by stopsareforwimps
Sun Jul 08, 2012 9:36 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11655

If trend following is like buying out of the money options, then such a strategy would be unprofitable when options are expensive. In the context of TF expensive options would equate to highly volatile returns. I've been rereading the Market Wizards books. It was striking how many traders do someth...
by stopsareforwimps
Fri Jul 06, 2012 7:47 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8940

Stopsareforwimps, I think you are looking at the right things, from my experience. IID is a concern, but you can get into non-IID analysis as well. Few do. OP, I would be concerned and scale down... Without even doing the statistical analysis, it seems highly unlikely you would have 5+ neg consecut...
by stopsareforwimps
Fri Jul 06, 2012 7:43 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11655

Re: The Mirage

AFJ Garner wrote:In an effort to gaze into the crystal ball ...
Another issue is the veracity of prices used to settle futures contracts.

http://www.nakedcapitalism.com/2012/07/ ... tives.html
by stopsareforwimps
Tue Jul 03, 2012 8:28 am
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8940

stopsareforwimps, If you're looking for more statistically sophisticated tests than a simple rolling window back test, try reading the reference manual for this R package and the papers referenced in it. This opened up a whole new vista of testing and validation ideas. The statisticians have come u...
by stopsareforwimps
Wed Jun 20, 2012 10:17 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 11655

Trend following isn't broken, it hasn't come to an end and some recent posts on this forum have very clearly pointed out whats changed. Understand and adapt or die. Or perhaps we're in the process of the markets getting rid off most trend followers until TF starts to work again? What kind of adapta...
by stopsareforwimps
Wed Jun 20, 2012 10:10 pm
Forum: Testing and Simulation
Topic: Fuzzy logic trend filter
Replies: 7
Views: 2348

The model isn't the difficult part. It's deciding what factors determine a choppy/trending or whatever class of market you are currently in and furthermore, how much these measures help determine a greater likelihood of continuation. So, IMO, it's more important to focus on factor selection criteri...
by stopsareforwimps
Tue Jun 19, 2012 11:54 pm
Forum: Futures Markets
Topic: Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Replies: 4
Views: 2440

Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa

Most price moves these days are internally generated by the market, and are not a response to external events.http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1998832 Also Robert Shiller pointed out in "Irrational Exuberance" that medium term fluctuations in stock prices have been far higher than...
by stopsareforwimps
Tue Jun 19, 2012 7:18 pm
Forum: Futures Markets
Topic: Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Replies: 4
Views: 2440

Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa

I found this interesting. I’m not a futures trader (yet), but would be interested to know if this rings true to those who are. http://www.sfomag.com/SFOWeekly/Detail.aspx?ID=724&StoryDate=06182012&STID=CA5E2579-7FC6-4B9E-8C55-80573F53C983 All the research I have seen suggests that opening the mar...
by stopsareforwimps
Sat Jun 16, 2012 4:54 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8940

babelproofreader wrote:stopsareforwimps,

If you're looking for more statistically sophisticated tests than a simple rolling window back test, try reading the reference manual for this R package and the papers referenced in it.
Thank you.
by stopsareforwimps
Fri Jun 15, 2012 6:46 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 8940

Step 1. Generate an honest and unbiased backtest (most people can't/won't do this) Step 2. Use appropriate resampling techniques to construct confidence intervals at your chosen level of confidence Step 3. Wait for the system to operate outside its confidence interval jj I have spent the last coupl...
by stopsareforwimps
Tue Jun 12, 2012 7:37 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19880

Whatever system you test, starting from 2000, DD begin to be bigger. For what is worth, i think that changes are related to Internet. Trading made easy for everyone plus automated trades for the most skilled people. I was pondering this at 1:30 am this morning as I attempted to change some of my po...
by stopsareforwimps
Fri Jun 08, 2012 7:36 pm
Forum: Brokers
Topic: Man Group/MF Global
Replies: 14
Views: 11220

Can't see the old thread MFG update: http://www.nakedcapitalism.com/2012/06/the-real-bombshell-in-the-mf-global-post-mortem.html More No big revelations. http://www.nytimes.com/2012/06/08/business/mf-global-case-exposes-weakness-in-accounting-rules.html?_r=1&ref=business http://finance.fortune.cnn....
by stopsareforwimps
Fri Jun 08, 2012 7:19 pm
Forum: Testing and Simulation
Topic: What happened to the "Diversions" section?
Replies: 2
Views: 1103

Re: What happened to the "Diversions" section?

Trading Leech wrote:I seem to recall there being a section called something like "diversions" on this forum. Why was it removed?
It is now customers only.
by stopsareforwimps
Thu Jun 07, 2012 3:59 am
Forum: Brokers
Topic: Man Group/MF Global
Replies: 14
Views: 11220

[SNIP] I believe the reason I can't find it is that that sub-board is now customers only. Recent MF Global activity might have been better placed in the Brokers section where you posted, but with the outrage most of us were feeling at the time, the need to vent the about the theft was stronger than...
by stopsareforwimps
Wed Jun 06, 2012 7:22 pm
Forum: Brokers
Topic: Man Group/MF Global
Replies: 14
Views: 11220

Roger Rines wrote:
stopsareforwimps wrote:Can't see the old thread

MFG update:

http://www.nakedcapitalism.com/2012/06/ ... ortem.html
I suspect this is what you were looking for: MF Global (<- Link)
I believe the reason I can't find it is that that sub-board is now customers only.
by stopsareforwimps
Wed Jun 06, 2012 8:13 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9286

I'm afraid you stand corrected. Trend following funds have made a killing in the month of May. An inaccurate generalization I fear. JWH and Tactical for instance had down months. And it's been a long time between drinks. http://www.attaincapital.com/alternative-investment-education/managed-futures-...
by stopsareforwimps
Wed Jun 06, 2012 7:50 am
Forum: Brokers
Topic: Man Group/MF Global
Replies: 14
Views: 11220

Moto moto wrote:once again its the fault of the accountants! :)
I think the article was suggesting that these decisions were made at very very high levels in the organization.
by stopsareforwimps
Tue Jun 05, 2012 8:02 pm
Forum: Brokers
Topic: Man Group/MF Global
Replies: 14
Views: 11220

Can't see the old thread

MFG update:

http://www.nakedcapitalism.com/2012/06/ ... ortem.html
by stopsareforwimps
Wed May 23, 2012 4:06 am
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 2956

On 1977 there were 27 futures available. W,C,S,O,BO,SM,SI,PL,LC,SB,CC,HG,LH,KW,OJ,CT,LB,FC,JY,CD,BP,SF,KC,GC, PA,US. I don't know if Ed was trading all markets and if i he was trading more then one sistem. I don't think he was too much sophisticated at that time. We can assume he was trading a simp...