Search found 60 matches

by svquant
Fri May 30, 2008 11:54 am
Forum: Testing and Simulation
Topic: Question for those who trade what they test...
Replies: 4
Views: 3349

Perhaps there are two questions here? In general the difference between your real equity curve (account) and the theoretical curve (TBB) should be very small. Slippage differences, TBill rate differences, perhaps a missed or late trade due to vacation etc. If the difference is large then there is a ...
by svquant
Fri May 16, 2008 10:22 am
Forum: Testing and Simulation
Topic: Has anyone ever researched a horse betting system?
Replies: 2
Views: 2173

I have not built one but there are plenty of great papers in the area. William Ziemba also know as "Dr Z" is someone to look up in terms of papers published. Very well known and respected professor in finance and operations theory who also does quant investing and gambling. The book you want to find...
by svquant
Thu May 01, 2008 9:39 am
Forum: Futures Markets
Topic: VIX futures
Replies: 7
Views: 5208

Don't see them taking business from the OTC market unless there is a huge counterparty default and people want, demand, or legislate a single clearing party. Even then it will not be a given. The market is reasonably liquid and deep for the big players and easy to value so no need to change - that d...
by svquant
Wed Apr 30, 2008 9:53 am
Forum: Futures Markets
Topic: VIX futures
Replies: 7
Views: 5208

Hedge funds are not trading VIX futures but they do trade volatility via VolSwaps which are large and liquid on the OTC markets.
by svquant
Mon Apr 21, 2008 10:18 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33377

For those interested in this topic there is a lot of research in this area especially with momentum strategies which is a form of trend following. Earlier this year, February 2008, ABN AMRO released their global investment yearbook with a study of the largest 100 UK stocks and momentum trading showi...
by svquant
Tue Apr 15, 2008 1:50 pm
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9724

Clarification - the statistics I gave were from a top/bottom 3 type of system for both momentum & carry trades. The carry trade strategy is very close to the G10 Harvest Index from DB: long 3 highest interest rate currencies, short the three lowest interest rate currencies. Since Japan's IR has been...
by svquant
Tue Apr 15, 2008 9:37 am
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9724

AFJ - yes momentum (trend) is part of the return of the carry trade strategy but not the signaling mechanism. In general I think about 50% of the returns to the various indexes come from the trend part vs the interest rate differential. Your millage may vary based on how you construct the carry trad...
by svquant
Mon Apr 14, 2008 2:31 pm
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9724

Just some info on carry trades: There is a lot of literature out there. If you are interested in more academic studies look for UIP (uncovered interest rate parity) for FRB (forward rate bias). If you are looking at futures within TBB you need to be able to get to the interest rate in order to rank ...
by svquant
Mon Mar 03, 2008 8:17 pm
Forum: Data Providers and other non testing software
Topic: CSI Users Don't Forget to Refresh Your CME Note/Bond Data
Replies: 2
Views: 3090

CSI Users Don't Forget to Refresh Your CME Note/Bond Data

Change in CME tick size using my custom software created a little panic for 5 mins today... Refresh per CSI Support instructions via their new blogsite and all will be fine.

Just an FYI for others in case you are wondering where that $100K drawdown came from all of a sudden :shock:
by svquant
Thu Nov 08, 2007 12:20 am
Forum: Testing and Simulation
Topic: Benchmarking
Replies: 9
Views: 6591

Interesting graphs sluggo - thanks! One thing that stood out for me was just how few points were above the diagonal line in the CAGR vs MaxDD graph. Yes, many of us know this from our testing or live trading that it take a lot of effort to be above the 1:1 ratio on CAGR vs MaxDD but it is good to "s...
by svquant
Thu Nov 01, 2007 11:32 am
Forum: Futures Markets
Topic: Rolling strategies and the emergence of ETFs
Replies: 3
Views: 3496

You are correct that a majority of the ~$100B in commodity indexes are in long only products like GSCI and DJ-AIG (not all via ETF/ETNs) so knowing those dynamics can help in rollovers but be very careful... 1) Traders are already trading the commodity index rollover effects and now there are even t...
by svquant
Thu Sep 20, 2007 10:18 pm
Forum: Testing and Simulation
Topic: Correlation: Between Markets or MarketSystems?
Replies: 5
Views: 5427

While commanding a bevy of grad students does sound enticing, before we send them on their way with a powerful simulation platform, perhaps it is best just to review some math... Sort of reminds me of someone I once worked with who went through the control theory of how a PLL works and other circuit...
by svquant
Mon Jun 04, 2007 1:34 pm
Forum: Testing and Simulation
Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
Replies: 6
Views: 6775

CUSUM

Just an FYI there is a lot of literature on using CUSUM (part of SPC area) in order to evaluate and manage asset managers. According to a presentation I have it is used as part of a tool box to monitor some $500B in assets... yes it did say billions. Basically it is used to quickly detect when a man...
by svquant
Tue Mar 27, 2007 1:30 pm
Forum: Money Management
Topic: How Many Systems are Enough?
Replies: 5
Views: 7327

Nickmar - nice work. I fully agree that with individual equities will get more diversification. One caveat to watch for in going down this road is too large a sector bet depending on account equity. You don't want to have all oil stocks in the portfolio based on momentum. Using indexes forces this n...
by svquant
Tue Mar 27, 2007 11:30 am
Forum: Money Management
Topic: How Many Systems are Enough?
Replies: 5
Views: 7327

Thanks for the thoughts. Just some further comments on this. You mention the correlation of equity curves as a focal point and that is correct. Many people perhaps use the following logic: instrument X and Y are highly correlated. Two long term trend following systems, A & B, are highly correlated. ...
by svquant
Tue Mar 27, 2007 12:28 am
Forum: Money Management
Topic: How Many Systems are Enough?
Replies: 5
Views: 7327

How Many Systems are Enough?

Attached to this posting is a PDF of an extended abstract I wrote ~8 years ago for a finance conference. This paper did not get in but the area is an interesting one. The paper deals with diversification especially when having a shortfall is a big concern. This is true in institutional portfolios wh...
by svquant
Mon Mar 26, 2007 9:42 pm
Forum: Testing and Simulation
Topic: Rnd Entry or Rnd Exit - Different Sides of the Same Coin
Replies: 2
Views: 4290

Rnd Entry or Rnd Exit - Different Sides of the Same Coin

The posts regarding random entries or random exits and their effectiveness got me thinking that perhaps we are just testing the same hypothesis two different ways. This hypothesis is that "trend following works" on average Sluggo went about looking at the oft quoted saying that entries don't matter ...
by svquant
Sat Mar 24, 2007 4:27 pm
Forum: Testing and Simulation
Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
Replies: 13
Views: 10042

Perhaps Overkill

Sluggo: Yes in the end all trades are just entry and exit dates... oh but the effort we put into those dates :D My comments were really in terms of #2 and c.f.' comment about the distribution. Of course another way would be to just look at the distributions from a few different systems/exits and use...
by svquant
Fri Mar 23, 2007 6:24 pm
Forum: Testing and Simulation
Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
Replies: 13
Views: 10042

Perhaps another "random exit"

Just to throw out another idea on the random exit method would be to have a random selection of exit methodologies per trade. In the fixed N-day or distribution based N-day exit we are really testing a fixed time exit criterion. Yes we vary the days but not the method. I'm suggesting to look at pick...
by svquant
Wed Mar 14, 2007 8:45 pm
Forum: Data Providers and other non testing software
Topic: Which CSI Back Adjuster
Replies: 1
Views: 2908

Which CSI Back Adjuster

Wanted to get some feedback on which back adjuster people use with their CSI Data. Do most people check the box for the C++ adjuster or not? I was playing around and noticed the old FORTRAN adjuster does not handle certain formats correctly - specifically the unadjusted close, i.e. U field, as TB li...