Search found 109 matches

by stopsareforwimps
Tue May 15, 2012 6:46 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8525

Re: Dunn

Ok, i ll drop them an email and i ll be back with the answer. AFJ you are right if they are not charging fees on new highs this matters a lot. Mirec. Either way the 2+20 provisions make it hard for the punters to win. Someone calculated that if Warren Buffet had charged the investors in BRK-A 2+20 ...
by stopsareforwimps
Mon May 07, 2012 7:56 pm
Forum: Trader Psychology
Topic: Short-Term vs Long-Term Trading
Replies: 16
Views: 14210

Never read it, but have seen it mentioned on other various day trading sites. Again polarized opinions to little real interest or discussion. If the biggest criticism is that she does not reveal all, or that her methods cannot be properly backtested --- then what is new..... :) however - what syste...
by stopsareforwimps
Sun May 06, 2012 7:23 pm
Forum: Trader Psychology
Topic: Short-Term vs Long-Term Trading
Replies: 16
Views: 14210

Re: combining timeframes

Interestingly, Cynthia Kase has written about sharpening one's enties and exits by using short-term time frames for these, and longer-term frames for monitoring positions (Kase, Cynthia A. Trading With the Odds 1996 McGraw Hill Chapt 4). She also has some proprietary technical indicators which I ca...
by stopsareforwimps
Fri Mar 16, 2012 7:37 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9270

Victor is a speculator... Not everyone may be aware that Victor's long term compound rate of return is -100%. His investment approach seemed to be counter-trend. Such a strategy can result in smooth returns followed by catastrophic drawdowns. His books are very entertaining and possibly informative...
by stopsareforwimps
Sun Mar 04, 2012 2:20 am
Forum: Testing and Simulation
Topic: A practical question about coding the Donchian Trend system
Replies: 4
Views: 2140

Re: A practical question about coding the Donchian Trend sys

fc wrote:The Donchian Trend system... But how should one code this?
You could try coding up this exercise, and working on it until you get it right to the cent. At that point you will probably understand it.

http://www.seykota.com/tribe/TSP/SR/index.htm
by stopsareforwimps
Wed Feb 22, 2012 5:59 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 8739

Re: How to start trading with only $10,000?

I suspect that within a year I will have accumulated $10,000 to trade with, but not much more than that. It is easy to slip into the assumption that losing all your account equity is an unacceptable outcome. I ran some simulations a while back that suggested that if: 1. You are young enough and hav...
by stopsareforwimps
Wed Feb 15, 2012 4:24 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21523

Anyway, This is a system I use...And never had a negative year..so I am happy... Let us be entirely clear: you posted above a simulation created using Trading Blox for a system back test which commenced in 2003 and since that date has recorded a theoretical CAGR of almost 300% with a theoretical ma...
by stopsareforwimps
Wed Feb 08, 2012 4:43 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34623

So, are we saying that a Facebook 40-60 old, male, well educated, with an interest in investing is less valuable than that same demographic elsewhere? In my case yes....(which is sorta my point) Have you had success finding investors using Adwords or other paid online advertising? It is hard to fin...
by stopsareforwimps
Tue Feb 07, 2012 6:12 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34623

I've used Facebook for advertising. You are right - you can target very precisely and their rates per click through were (for me) much cheaper than Google's. I also used them, why did you stop? (I stopped because it was a waste of money with a negative ROI) I stopped because I no longer have a need...
by stopsareforwimps
Tue Feb 07, 2012 3:19 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34623

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. ... Well, on Facebook, you can get enormous granularity due to how much personal info they have on everyone. If I want to advertise to females, ages 25-30, who live in B...
by stopsareforwimps
Tue Feb 07, 2012 2:21 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21523

Re: " your biggest drawdown is always in the future " Here is a fragment from a post on this Forum in 2006; if you're really interested, search for it: The key assumption behind this oft-repeated falsehood is: you will live and trade forever . Let us consider Mr. Warren Buffet of Omaha, Nebraska, U...
by stopsareforwimps
Mon Feb 06, 2012 4:12 am
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5169

I would love to revive this thread and ask, 3 months after the MF Global mess started, what are people doing? Have people found methods of account management that provide an acceptable trade-off between safety and convenience? My plan is to have two accounts at >=2 different brokerages and to own p...
by stopsareforwimps
Mon Jan 30, 2012 2:02 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21523

Re: Musings on (worthless) Past Performance

The general theme was to prove the worthlessness of most past performance statistics for CTAs ... the out of sample Sharpe Ratios fell an average of 70%. Returns fell by roughly 60% and maximum drawdowns increased by roughly 30%. Would it be possible to compute a survivorship-bias-corrected predict...
by stopsareforwimps
Tue Jan 24, 2012 2:59 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 6024

If you had enough money in the first place you would have taken the original trade. No problems. Now if you are in the original trade and it moves against you then how is this different to entering the trade a bit later on at the risk you can afford. Your system is saying you should be Short (or Lo...
by stopsareforwimps
Tue Jan 24, 2012 12:36 am
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 6024

Re: Following your system . . . . with a delay

Do you take the trade? I would suggest it depends on what you tested. Your ability to take trades based on size/risk is part of your system. If you tested taking the trades later on and it worked out well, all good. Otherwise it is not part of your system. I am currently coding up this very test. (...
by stopsareforwimps
Sun Jan 22, 2012 4:10 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16827

I have encountered the same problems with complexity and coding stock systems. The way I look at it is that is what I get paid for, to do the dirty work. It is frustrating and sometimes I take a few weeks away. Thanks toosday. I don't seem to be able to PM for some reason. I think most people take ...
by stopsareforwimps
Fri Jan 20, 2012 3:07 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16827

...We talked a lot about his research on mechanical stock trading and his methods of making room for new trades in the "parking lot". That was illuminating and counter-intuitive. Getting rid of the oldest positions to make room for new ones was one idea which looked promising and interesting. Old p...
by stopsareforwimps
Wed Jan 18, 2012 7:48 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7440

Lots of historical intraday data for a cheap price http://disktrading.is99.com/disktrading/ Can anyone suggest the best source for historical options data? Options on equity indexes are the focus at the moment. Motivation: Checking this out in my spare time for fun: http://papers.ssrn.com/sol3/pape...
by stopsareforwimps
Mon Jan 16, 2012 12:16 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16787

When trading your system on ETF’s as a proxy to Futures As previously mentioned you need to have a close look at your instrument. Here is an example where an ETF provides less than perfect fidelity to the index it allegedly tracks. http://www.tradingblox.com/forum/files/vas_versus_xjo_337.png I r...
by stopsareforwimps
Sun Jan 15, 2012 2:11 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16787

Re: Newbie asks: How to trade futures with only $100K?

I read with great interest the old thread entitled: How to begin trading futures with account < $100K ? and all of the great contributions by members of this forum. I certainly see the advantage of having a large portfolio of 100+ markets and $1,000,000 startup capital for LTTF Nothing profound her...