Search found 66 matches

by mojojojo
Wed Aug 01, 2012 1:44 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13353

There's a part of me that expects it's just a matter of time until what has happened with MFG and PFG spreads into equity accounts somehow, somewhere. It may take the form of money market accounts that break the buck which quickly spreads. Few people have any clue that fund managers, money fund, st...
by mojojojo
Thu Jul 26, 2012 12:02 pm
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6399

I'm familiar with this work. If anyone finds a good long-term list of securities that could be used as a proxy for the 10 sectors he uses, please list them. I found some good long ones on a monthly basis, but not daily. Along the same thinking, there's a good recent blog on this topic: http://cssan...
by mojojojo
Thu Jun 21, 2012 4:17 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9045

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.
There are so many good packages in R. I'm only starting to scratch the surface now.
by mojojojo
Thu May 10, 2012 11:23 am
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8525

Stock indices track market cap of the underlying securities. Using a similar view to equate a manager to a company, I would think you would want your index to trace their (your systems) equity curves/AUM. I'm pretty sure Hedge Fund indices due the same, except they are either equal weighted between ...
by mojojojo
Thu Apr 26, 2012 11:03 am
Forum: Testing Software
Topic: R Tutorials
Replies: 4
Views: 3215

Very nice.
by mojojojo
Thu Apr 12, 2012 3:13 pm
Forum: Stocks
Topic: LSE question
Replies: 0
Views: 2252

LSE question

Does anyone know if the London Stock Exchange provides a service to get companies financial statements similar to the SEC's Edgar system? SEC offers RSS feeds and FTP access to the data. I'm hoping the LSE (or FSA??) would have something similar. I've searched both sites and can't find anything. The...
by mojojojo
Fri Mar 02, 2012 11:14 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34624

A "Silicon Valley venture capitalist" and former "Apple evangelist" explains why he thinks Google+ may overtake Facebook...And how to promote using social media without being "nauseating".... DPH -- It's funny timing, because yesterday the WSJ had an article how Google+'s average user is on the sit...
by mojojojo
Tue Feb 21, 2012 11:27 am
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?

Stocks are of course another alternative, since you usually don't need that much to buy shares of stock. The difference with stocks is that companies come and go, and one has to monitor thousands of stocks every day, and in the process re-invent the whole notion of what a "trading system" actually ...
by mojojojo
Fri Feb 17, 2012 2:05 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21523

Hey Cytrend, I agree that what I presented is not exhaustive and conclusive "proof" discrediting the Sharpe Ratio. It was not meant to be (notice I titled it "Musings" and not "The Definitive Report On" ). The idea was a more generalized observation that much of the retail Managed Futures / Hedge F...
by mojojojo
Thu Feb 16, 2012 3:08 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21523

Don't get me wrong i am not a big fun of Sharpe Ratios but i don;t think this is the way to discredit it. Hey Cytrend, I agree that what I presented is not exhaustive and conclusive "proof" discrediting the Sharpe Ratio. It was not meant to be (notice I titled it "Musings" and not "The Definitive R...
by mojojojo
Wed Feb 15, 2012 11:47 am
Forum: Testing and Simulation
Topic: Sharpe Versus Annual Sharpe
Replies: 7
Views: 2226

Re: Sharpe Versus Annual Sharpe

can someone please explain the difference? also, why is the annual sharpe sometime lower and sometime higher? if so, can you do so with #'s, real of fake. thanks! Sharpe Ratio is: (Return - Risk Free Rate) / Standard Deviation of Returns How you define Return (Annualized, Total Return) and over wha...
by mojojojo
Wed Feb 15, 2012 11:30 am
Forum: Money Management
Topic: Avoiding/reducing taxes
Replies: 8
Views: 8659

I have yet found a way for me to make money and not pay taxes (legally). It's really something that you can't avoid. You can minimize it by obtaining a citizenship in a country that doesn't tax foreign income and setup a "trading business" outside of that country. That's about as close as your going...
by mojojojo
Tue Feb 07, 2012 12:19 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34624

MarkS ... thanks for the links.

Never really thought of FB as being a CRM-like application. From that point of view, the user/company of the page should be able to categorize their "Friends" into groups based off of their habits. Not sure if they do that or not.
by mojojojo
Fri Feb 03, 2012 10:00 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34624

3. DPF -- You make great points, and I'm not going to argue them because in the end, I have the same personal experience as you with FB, and my LinkedIn experience mirrors yours as well. But enough people believe in the model that FB made $3.1 billion in ad revenue in 2011. If FB can make itself th...
by mojojojo
Thu Feb 02, 2012 1:50 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34624

Facebook provides Marketers access to 'Customers' Google provides 'Customers' access to Markets Hence, Facebook is a Marketers dream Google is a 'Customers' dream +1 with the exception ... Facebook provides Marketers access to "Information" Google provides "Information" to customers and marketers I...
by mojojojo
Thu Dec 29, 2011 3:04 pm
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 12078

I have a quick R question since it seems like we have some users here. Plus you guys are a lot more tolerant of newbie type questions than the R list. I"m having a hard time matching the results up to my reading on the subject. I'm running OLS regression on interest rates and index prices. > lmLevel...
by mojojojo
Thu Dec 08, 2011 1:21 pm
Forum: Stocks
Topic: Who manage my Fund after the end of my life?
Replies: 5
Views: 3749

I would setup some kind of trust. You can dicate the terms of the trust, how the money is managed and paid out. If interest rates weren't so low, I would suggest a Fixed Annuity. At current rates, your not getting a good income stream. Your a currency guy, right? How about a combination of currency ...
by mojojojo
Fri Dec 02, 2011 3:50 pm
Forum: Forex
Topic: How to know which countries are printing money?
Replies: 12
Views: 4400

I would think you would first have to state how you plan on defining "printing money". Once there is a definitation, you can then work on measuring it. Do you define it as a growth in money supply? If so, are there instances where the money supply can grow without money being printed. Is it an incre...
by mojojojo
Thu Dec 01, 2011 12:18 pm
Forum: Forex
Topic: How to know which countries are printing money?
Replies: 12
Views: 4400

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 It's easy. Create a list of all countries that have their own currency. That same list is will work for a list of countries that are printing mon...
by mojojojo
Tue Nov 29, 2011 1:14 pm
Forum: Testing and Simulation
Topic: Systematic options trading
Replies: 5
Views: 3135

Re: Systematic options trading

Dear TB community, I am trying to develop a systematic strategy on options and would love to hear opinions on its feasibility. Let's assume the strategy goes like this: 1. At the beginning of each month, select a strike +/- X from current spot level 2. Within this universe, get call/put prices for ...