Search found 66 matches

by mojojojo
Thu Nov 10, 2011 4:55 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14516

Is it dead? Nope. It's too ingrained into to institutional (Pension, Endowment, etc) manager's way of thinking. Add in the fact that the CFA is basically based off of it, although they are getting better. It will be here for a while. I think the smart managers have known the issues for a while now a...
by mojojojo
Wed Nov 09, 2011 9:42 am
Forum: Brokers
Topic: Need recommendations
Replies: 3
Views: 2819

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. Here is the IB page for LSE products containing 2477 stocks (you can check to see if your ETF's are amongst t...
by mojojojo
Tue Nov 08, 2011 8:43 am
Forum: Brokers
Topic: Need recommendations
Replies: 3
Views: 2819

Need recommendations

Looking for a broker to handle non-US client that allows me to trade listed securities (mainly ETFs) on at least the LSE, access to other exchanges are a plus. This will be for an entity based out of Singapore. Being based in the US, I'm looking for a good starting point. I know that I can google pl...
by mojojojo
Thu Aug 25, 2011 2:37 pm
Forum: Money Management
Topic: Any idea about how to find the formula for 3 items?
Replies: 5
Views: 4366

I don't see q in that formula and p is correlation, not probability. Symbol What the OP called it What it stands for ======================================================================== Roman letter "w" w weight Greek letter "rho" p correlation Greek letter "sigma" q sqrt of variance I was forc...
by mojojojo
Wed Aug 24, 2011 12:33 pm
Forum: Money Management
Topic: Any idea about how to find the formula for 3 items?
Replies: 5
Views: 4366

Eventhorizon wrote:I am feeling mean ...

Let me Google that for you

Sorry! :wink:
ha ha First time that I saw that.

I don't see q in that formula and p is correlation, not probability.
by mojojojo
Tue Aug 09, 2011 9:59 am
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 5143

Re: Trend Following and Financial Maths (Brownian motion, et

My take ... Yes. Trend following is about trying to identify a trend and jumping in on it. There is no correct way to identify a trend. If you can find some complex stochastic process or what ever that can do it, then your good. On a different note, there have been comments by well known trend foll...
by mojojojo
Fri Jul 29, 2011 11:58 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9912

svquant wrote: While some people discount academic works there was a recent paper which showed that trading a portfolio of calendar spreads via a momentum rule was as to more profitable then trading the outright instrument with the same momentum (trend) rule.
Do you have a link to that paper?
by mojojojo
Thu Jul 28, 2011 3:23 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 5143

Re: Trend Following and Financial Maths (Brownian motion, et

This may be a long shot, but I'll give it a try. Does trend following have anything at all to do with what people learn in financial mathematics -- things like Brownian motion, the Black-Scholes model, stochastic processes, etc.? Can the two be linked together in any ways? Have some interesting res...
by mojojojo
Wed Jul 13, 2011 3:35 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 5684

Turtles traded futures, not stocks. I know, but I just used stocks above for "simplicity" (because I'm more familiar with stocks). But it doesn't matter. My question holds no matter what the contract type is. I don't trade futures but I'm pretty sure that it does matter. Futures have leverage built...
by mojojojo
Fri Jun 24, 2011 4:56 pm
Forum: Testing Software
Topic: "Raw" results data export from TBB / automated dai
Replies: 7
Views: 3522

Math-for-fun: calculate the average run-time for ONE of those 100,000 trading system simulations. If 14 parallel copies of Blox can compute 100k simulations in 13hrs 15mins of wallclock time, how long for 1 copy of Blox to compute 1 simulation (on average)? It's been a long day but I will give it a...
by mojojojo
Thu Jun 02, 2011 11:29 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13026

Didn't save the original doc, how did it change the performance? Also, sounds like you not looking for how to assign rank based on your examples. It seems more like what matrix/value is worth ranking. There are a ton of different things to rank. Returns RSI % above/below moving average There are var...
by mojojojo
Wed Jun 01, 2011 10:50 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13026

rossb34

very nice work. I do have one question though.

Going through your ETF strategy spreadsheet, I noticed that your "Average All Returns" columns includes your RS calculation along with your X period returns. What is the reasoning behind that?

mojo
by mojojojo
Wed May 04, 2011 3:56 pm
Forum: Testing and Simulation
Topic: How to realise the system is obsolete
Replies: 7
Views: 3314

That's a tough question and I don't think there is a correct answer. I also feel it depends on the system. If you system is designed to exploit a specific event, you will have to decide if the market has some how changed to a point where that event is no longer valid. In a general sense, the only th...
by mojojojo
Mon Apr 18, 2011 2:20 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13026

Re: ETF Momentum System

You should search for a paper by AQR Capital. They do a study of monthly rotation based off of previous 12month return and I believe Book Value. They test them seperately and together. They test it over stocks within an index, stock indexes, commodities, and I think some fixed income. It is a prett...
by mojojojo
Wed Apr 13, 2011 1:33 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13026

Re: ETF Momentum System

I spent a lot of time on here and have "taken" a lot of great info from some very generous people. This is my humble effort to "give" a little bit, even though this isn't a huge breakthrough. The excel 2004 attachment runs a "ranking" momentum system on the sector SDPRs. It's simple. Take the top x...
by mojojojo
Thu Mar 27, 2008 7:38 am
Forum: Custom C++ or Java Platforms
Topic: SQL db design recommendation
Replies: 3
Views: 4676

It really depends on how you plan on using the data and accessing that data. For a database that will grow by that amount you might want to pick up a book on database design. Little things like what to index can make a huge difference.
by mojojojo
Tue Jun 26, 2007 7:08 am
Forum: Testing and Simulation
Topic: Speed metric for Backtesting software: CPU clocks per bar
Replies: 3
Views: 3400

You have to be carefull with multiple core systems. You can't assume that all cores are actively processing data for the tests. There has been benchmark tests that show that multiple core systems vary significantly in terms of effective cores being used. There was an article recent in linux magazine...
by mojojojo
Thu Jun 07, 2007 3:09 pm
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 21973

Damian,

I just setup a parallels install yesterday and it did "just work". Once you have the Mac setup, the parallels/windows install goes very smoothly ... as far as network connectivity goes.
by mojojojo
Thu Jun 07, 2007 6:58 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 21973

I am slowing rolling out Macs across the company that I work for. Right now a majority of the software applications that we run are windows only. Because of that we do have parallels installed with either Windows XP or 2000. So far we haven't had a problems with it and the performance is pretty good...
by mojojojo
Thu May 17, 2007 9:00 am
Forum: Money Management
Topic: How to actively adjust the portfolio?
Replies: 11
Views: 10897

It really depends on your portfolio make-up and what type of strategy that you are employing. If you are running a buy and hold type of strategy, then once a year is sufficient for rebalancing ... in my opinion. There are a number of papers on this if you do a google search. Also, I believe that one...