Search found 109 matches

by stopsareforwimps
Mon Jan 09, 2012 6:45 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14766

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 Also eventhorizon asked the same question. Generate csv file with a lisp program. Open csv file in OpenOffice....
by stopsareforwimps
Mon Jan 09, 2012 3:47 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14766

Re: Is Modern Portfolio Theory Dead?

Here is an amusing thread that takes (good) aim at Modern Portfolio Theory. ... Correlations are not stable. In particular they are not stable in the face of changing 'volatility'. I ran a random portfolio of futures contracts through a program to analyze the correlations as a function of the volat...
by stopsareforwimps
Sun Jan 01, 2012 11:23 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

Re: Preparing for the Demise of the Euro

Until a few moments ago I had a long position in the Euro, as a partial hedge against short positions on various Euro country stocks. This shocking article on financial repression may be of interest to those who have or aspire to have some wealth. As governments try to get out of debt, all sorts of...
by stopsareforwimps
Fri Dec 30, 2011 6:43 am
Forum: Market Psychology
Topic: Is now the time to take a trading holiday?
Replies: 12
Views: 6643

Re: Is now the time to take a trading holiday?

AFJ Garner wrote:
rhc wrote: You might consider reading Luke 4:23
Can you clarify for me your understanding of Luke 4:23 in this context?
He is rightly suggesting that I should consider my own long-standing reluctance to trade futures before throwing stones at others for with the same problem.
by stopsareforwimps
Thu Dec 29, 2011 1:46 am
Forum: Market Psychology
Topic: Is now the time to take a trading holiday?
Replies: 12
Views: 6643

Re: Is now the time to take a trading holiday?

trading holiday...Any thoughts? Some people have voted with their feet: http://www.zerohedge.com/news/entire-system-has-been-utterly-destroyed-mf-global-collapse-presenting-first-mf-global-casualty However "Tyler Durden" is a full-on glass half empty man. He will be right sometimes and he digs up i...
by stopsareforwimps
Wed Dec 21, 2011 1:51 pm
Forum: Trend Indicators and Signals
Topic: Performance of various managed futures strategies in 2011
Replies: 2
Views: 3010

Performance of various managed futures strategies in 2011

TL;DR: Fixed income and spreads trading did well, everyone else average to poor. Trend following had a bad year as we know.

http://www.attaincapital.com/alternativ ... cation/455
by stopsareforwimps
Wed Dec 14, 2011 6:10 pm
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12336

AFJ Garner wrote:an hour and a half in the gym. We are our bodies
I'll second that. I recently discovered weightlifting. Really good if done right.
by stopsareforwimps
Tue Dec 13, 2011 6:20 pm
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12336

My "drug" of choice is a cup of black coffee in the morning. I have some relations with ADHD and had the opportunity to try Ritalin and Dexamphetamine. Naturally I declined the opportunity. From my readings, these drugs can help people with poor attention, but do not help those who already have goo...
by stopsareforwimps
Mon Dec 12, 2011 5:32 pm
Forum: Testing and Simulation
Topic: Robustness of systems
Replies: 9
Views: 3263

stopsareforwimps wrote:So most stocks would be negatively correlated with the market, when they were positively correlated earlier on.
Correction: they may not be negatively correlated but the direction would be different.
by stopsareforwimps
Mon Dec 12, 2011 3:10 pm
Forum: Testing and Simulation
Topic: Robustness of systems
Replies: 9
Views: 3263

Heavy sigh indeed. But all I am really saying is "damned if I know"! A few thoughts... Perhaps there may be value in widening our sights a bit. I was reading a random blog somewhere and it had a graph of extremes of sentiment: the McClellan indicator http://www.zerohedge.com/contributed/you-gotta-h...
by stopsareforwimps
Fri Dec 09, 2011 4:52 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

Euros ain't Euros

http://globaleconomicanalysis.blogspot.com/2011/12/monetary-flight-european-ceos-move-cash.html Bloomberg reports European CEOs Move Cash to Germany Grupo Gowex (GOW), a Spanish provider of Wi-Fi wireless services, is moving funds to Germany because it expects Spain to exit the euro. German machiner...
by stopsareforwimps
Thu Dec 08, 2011 5:30 pm
Forum: Testing and Simulation
Topic: Robustness of systems
Replies: 9
Views: 3263

Yes. Less is more in the future, usually. Useful search terms include "bias variance tradeoff", regularization, overfitting, Bayesian Estimation, Ridge Regression. In machine learning there are often two levels of fitting of models to data, which requires the data to be split into three lots, only ...
by stopsareforwimps
Fri Dec 02, 2011 5:03 am
Forum: Forex
Topic: How to know which countries are printing money?
Replies: 12
Views: 4402

Re: How to know which countries are printing money?

Do you have any suggestions where to get the data online? Sorry for the flippant reply. This article might be a good starting point. http://en.wikipedia.org/wiki/Money_supply Various central banks publish figures from which one may be able to ferret out the answer to your question (see links at the...
by stopsareforwimps
Fri Dec 02, 2011 1:27 am
Forum: Forex
Topic: How to know which countries are printing money?
Replies: 12
Views: 4402

Re: How to know which countries are printing money?

I would like to know where to find data on printed money for different countries, does anyone have any suggestions? Thanks in advance for any suggestions How do you tell when a politician is lying using body language? Here's how: if their lips are moving they are lying. Similarly: how to tell if a ...
by stopsareforwimps
Wed Nov 30, 2011 5:37 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

(Southpark episode mentioned elsewhere - poof and its gone). Extended version (runs for 2 minutes) . . . very amusing http://www.southparkstudios.com/clips/222624/the-importance-of-saving-money It is frightening how accurate that episode is as far as many of these financial intermediaries go. I rec...
by stopsareforwimps
Wed Nov 30, 2011 4:38 am
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

In the worst case scenario, wouldn't the "value" of a Euro rapidly approach the estimated conversion ratio of say Euros to D-marks? Or Euros to (x*D-marks + y*Francs)? In other words, the Euro becomes a "when-issued" D-mark instrument? One would think a country like Germany would *have* to have som...
by stopsareforwimps
Sat Nov 26, 2011 10:14 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

A couple solutions for a resolution I have seen around that seem to be gaining traction with the "thinkers" of the world: 1) The Fed buys EFSF bonds in size so to prevent the Euro from tanking against the buck, and 2) the IMF steps in with it's SDRs in size..... Hmm there are more scenarios to cons...
by stopsareforwimps
Fri Nov 25, 2011 3:02 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13685

Preparing for the Demise of the Euro

Until a few moments ago I had a long position in the Euro, as a partial hedge against short positions on various Euro country stocks. I live in a country with a very volatile exchange rate, thus the hedge. If I am long a country's index I need a short position on the country's currency as a hedge an...
by stopsareforwimps
Wed Nov 16, 2011 5:42 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16787

I am taking a different approach and am testing systems on accounts at the $30k and $50k levels. Initially I built portfolios of markets with margins of less than $5,000. From there I tested various parameters across the whole group and then started weeding out those markets that had lower profit f...