Search found 109 matches

by stopsareforwimps
Mon Nov 14, 2011 5:02 am
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5113

I wondered if there was a real IT opportunity for a clearing house system, and as he pointed out the biggest issue would be none of the banks wish to open their systems to others, admit that there are lots of internal security/IT issues and also the fact they make a lot of money from the "slippage ...
by stopsareforwimps
Thu Nov 10, 2011 8:44 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14536

Re: Is Modern Portfolio Theory Dead?

Here is an amusing thread that takes (good) aim at Modern Portfolio Theory. ... Beta, the child of MPT, explains nothing. Correlations are not stable. In particular they are not stable in the face of changing 'volatility'. Return distributions are not normal by factors of millions in the tails. And...
by stopsareforwimps
Wed Nov 09, 2011 2:23 am
Forum: Brokers
Topic: Need recommendations
Replies: 3
Views: 2827

Interactive Brokers allows customers (both US and Non-US) to trade on the LSE as well as many other exchanges throughout the world. IB could therefore be a starting point for your research. My accountant is always ribbing me about how many banks and brokerages I have my money spread over... fortuna...
by stopsareforwimps
Sun Oct 16, 2011 6:11 am
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 7799

Re: Turtle System for Tradestation 9 Easy Language

...will be using the turtle method of trend following with a few alterations of my own that have proven successful over the years... You might want to read this and related threads. http://www.tradingblox.com/forum/viewtopic.php?t=7301&highlight=turtle I have a variant of Turtle but it is written i...
by stopsareforwimps
Fri Sep 30, 2011 11:17 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30576

A lot of people view CTAs in general and trendfollowers in particular as portfolio insurance, and the insurance policy will have a much worse pay out if you use targets. This is an important point I think. Which is - the customer wants to optimize his or her overall risk/reward. Even if the custome...
by stopsareforwimps
Fri Sep 23, 2011 8:03 am
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

I will report back in due course. TLDR: A heap of research showed me that when stops and profit targets are quite tight, they can affect the skew and kurtosis of the monthly returns. But otherwise they seem not to. So Sluggo was right. My flippant comment was flawed. Ultimately the fact that the lo...
by stopsareforwimps
Thu Sep 22, 2011 3:32 am
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

I will report back in due course. Sluggo I can reproduce all your results except for the profitability of the system. (You are right about the tenuous relationship between the skew on a per trade basis and the skew of periodic returns). The only things I can think of are a) I am using stops and pro...
by stopsareforwimps
Wed Sep 21, 2011 11:55 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70136

Construction of the basket is a whole topic in itself. Rather like the argument against market cap weighting for stock investment, do you really want the great majority of your assets in USD or Yen or whatever? Or would you prefer a more equal weighted approach? I try to match my holdings to my exp...
by stopsareforwimps
Wed Sep 21, 2011 11:35 pm
Forum: Trader Psychology
Topic: Beware the outside investor with the iron stomach...
Replies: 5
Views: 4071

...If a client asks "why" a third time, the account is closed, the money is wired out, the management agreement is terminated, and the client is barred from reinvesting for a period of Y years... Ed doesn't like "whys guys" that's for sure. I heard he has a very simple rule. You can only ever make ...
by stopsareforwimps
Mon Sep 19, 2011 10:29 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70136

Stopsareforwimps - I get a feeling your analysis / assumptions are going down the wrong path for adjusting historical returns for inflation You make some very good points. I agree it is quite tricky adjusting for inflation. My intention in this case was mainly to adjust the results curves to avoid ...
by stopsareforwimps
Sun Sep 18, 2011 7:24 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70136

Re: Dead Turtles

As I stated in the article, main parameters used were as follows:... Could you clarify one point about the parameters of the modified turtle system? The original system had a rule which stated "ignore entry signals if the previous signal in that market produced (or would have produced) a winning tr...
by stopsareforwimps
Sun Sep 18, 2011 7:17 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70136

For the sake of completeness here is Turtle 1970 to end 1990. Again using the same settings as in the article except for the end date of the test. Anthony would you be so kind as to post a table of the data that this graph is based on? I would like to do a version adjusted for inflation. Without ad...
by stopsareforwimps
Wed Sep 07, 2011 7:41 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

It is a pity that human life is so short; if I had another lifetime ahead of me AI is very probably what I would focus on. Yes I think we about to enter the golden age of AI as computers finally catch up with the human brain's processing capabilities. It's been a long time coming. Last year I left ...
by stopsareforwimps
Tue Sep 06, 2011 2:18 am
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

Hello stopsareforwimps, I think I have found a photograph. Is it right? http://tinyurl.com/3dexs2n This one is more flattering I think. In case anyone is wondering how someone "outed" me, I posted my name in an earlier thread. A beginning futures trader, having only traded currencies and index futu...
by stopsareforwimps
Mon Sep 05, 2011 6:12 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

... phonies and blowhards... Please feel free to play around with this system and these ideas, in your own research. Download the code if you wish, duplicate the portfolio if you're so inclined. Fiddle around with the parameters, run some tests, and see what you can learn. It will be fun! It is fun...
by stopsareforwimps
Sat Sep 03, 2011 7:05 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

On the other hand, if a profitable trader has a positive skew of monthly returns , it doesn't necessarily mean the trader rides winners and cuts losers. Sluggo I am impressed that you were able to come up with this example. Questions a) Is this a pathological case or is it representative of some cl...
by stopsareforwimps
Fri Sep 02, 2011 10:34 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12083

MAR ratios of reporting CTA's. See attached image which graphs Compound Returns and Max DD against year of inception. My conclusions The distribution early on looks like a truncated levy distribution (like a normal distribution but with fatter tails). So it looks like there is a lot of survivorship...
by stopsareforwimps
Tue Jul 05, 2011 4:52 am
Forum: Money Management
Topic: How to determine the optimial risk levels?
Replies: 3
Views: 3177

Re: How to determine the optimial risk levels?

...does anyone have any suggestions on how to determine the optimial risk levels for portifolio? ... Ralph Vince covers this topic in considerable detail - with a fair bit of mathematics - in his books. I don't think you can get around the need for math in this area. I liked this one best: "The Han...
by stopsareforwimps
Tue Jul 05, 2011 4:45 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30576

SimJimons wrote:Stopsareforwimps, I think you misread my post!

/Sim
Yes - now I see. In my defence I had been coding all day.

I think we agree.

I am attracted also to the idea someone expressed that profit targets are another parameter in your system, thus an opportunity to curve-fit the past.

Tim Josling
by stopsareforwimps
Mon Jul 04, 2011 5:40 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30576

[quote="SimJimons"]... constraining the right hand tail will not increase skew, as far as I can see. Anyway... /Sim[/quote] Positive skew is a good thing. I don't think you would want to reduce that. In fact that is the whole rationale of letting winners run and cutting losers short - it increases s...