Search found 143 matches

by Chuck B
Thu Feb 16, 2012 3:23 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21577

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 Chuck B
Mon Feb 06, 2012 9:21 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21577

Trading is a dangerous game and none of us are immune to its perils. My accountant told me recently of a copper trader who built up his capital to £160m and lost 40% last year. Reminds me of the story the late Ray Kelly told me years ago about an options trader on the CBOE he knew from the beginni...
by Chuck B
Mon Jan 30, 2012 8:25 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21577

Past performance can be an outstanding predictor of future success! That success is however in the marketing of said fund/adviser to the latest performance chasing idiots. Suck in the new money in the largest possible quantities in the shortest amount of time possible. Of course we are just entering...
by Chuck B
Thu Dec 29, 2011 10:31 pm
Forum: Market Psychology
Topic: Is now the time to take a trading holiday?
Replies: 12
Views: 6649

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

Now, the question; What to do with my money if I choose not to trade.? Here in Oz I can get a nice boring ‘safe’ 1 year term deposit at my local friendly bank that pays interest in $AUD of around 5.5% p.a. . . . give half of that to the government in tax and the other half to inflation and I sh...
by Chuck B
Sun Dec 11, 2011 12:20 pm
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 19439

by Chuck B
Fri Dec 02, 2011 5:43 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14780

STIRs are somewhat special cases since the notional value of the contracts are generally very large in comparison to its volatility (or margin). It's "easy" to ramp up a very large notional values where "normal" volatility-based risk measures would indicate a "small" risk. Indeed but what is the an...
by Chuck B
Thu Dec 01, 2011 7:28 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14780

Instead of margin to equity, I've always monitored notional value to account equity both on an instrument basis and total basis. I've always felt it gives a "potentially" better indicator of ultimate risk exposure than volatility although I use volatility to size positions and scale out to hold vola...
by Chuck B
Tue Nov 29, 2011 12:49 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13693

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 some...
by Chuck B
Tue Nov 22, 2011 8:26 am
Forum: Testing and Simulation
Topic: Robustly Selecting Porfolio to Trade
Replies: 6
Views: 2327

Read this thread from the early days of the board before Trading Blox existed and bump it with a reply/question perhaps?

viewtopic.php?t=24
by Chuck B
Sun Nov 20, 2011 7:50 am
Forum: Money Management
Topic: Will Notional Funding Now Become the New Standard?
Replies: 10
Views: 7375

Using long term data, ala weekly charts, everybody here would be short the gambit of financial stocks from JPM, GS, MS, XLF, KBE, BK, what have you, and would have been short these stocks for a long time now. Just compare the whole financial industry group with the S&P...I run a trend system on the ...
by Chuck B
Thu Nov 17, 2011 8:14 am
Forum: Trader Psychology
Topic: (Timely) Larry Williams Quote
Replies: 4
Views: 3516

while I largely agree with it..... the only thing here is often this can be the final straw for some people and sometimes we need people like your friend who will give up everything for 'justice' If we all just cut our losses and did not chase these 'injustices' then I think the world would be a po...
by Chuck B
Wed Nov 16, 2011 9:31 am
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 3875

It's hard to understand what you're asking He is asking "Why does Yahoo Finance still quote the June 2011 contract of CME E-Mini S&P futures, even today? (November 16th)? Didn't the June 2011 contract stop trading several months ago?" Yes, this is my question in my mind. Thanks you very much for yo...
by Chuck B
Wed Nov 16, 2011 8:44 am
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 3875

It's hard to understand what you're asking, but take some time to understand the quarterly S&P futures market fully before venturing into trading it. Front month is what you always want to trade up until the roll in volume begins during end of the 2nd week of the delivery month. When the pit contrac...
by Chuck B
Mon Nov 14, 2011 10:08 am
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5178

Getting money into a FCM is generally easy - getting it out is the problem. If anything positive comes from the MFG fiasco is that this might be improved and become standard - the technology seems to be there, but the will does not. I guess I'm just too pessimistic coupled with how this would look ...
by Chuck B
Fri Nov 04, 2011 3:04 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

I agree, and I don't have any specific answers about testing per se other than to try to look outside the box past data puts us all in and be really creative about dreaming up potential future paths. The more future potential paths I can accumulate, the more market maps I can dream up, the more reso...
by Chuck B
Fri Nov 04, 2011 2:41 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

With the greatest respect and with all due allowance for my own shallow and unhelpful response to Chris, this thread is actually going nowhere. On the one side, various parties have said "trends will remain for ever" on the other people have rightly said that volatility may make those trends diffic...
by Chuck B
Fri Nov 04, 2011 2:37 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

Moto moto wrote:It appears to me that a lot of methods are failing at present.
One that failed for me was believing my Seg-US cash in two MFG accounts was actually secure. Hard to trade when your FCM is stealing from you and your accounts are frozen.
by Chuck B
Fri Nov 04, 2011 2:08 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

@Chuck B All your posts in this thread resonate very strongly with my own thinking. I too read widely in the various fields of General Systems Theory, Complex Adaptive Systems, Evolutionary Dynamics, Heuristics, some econo-physics, theories of Warfare etc. Your idea of capacitance/inductance of pit...
by Chuck B
Fri Nov 04, 2011 1:41 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

"If you don't do TF, what then? Ignore trends? Sell new highs and buy new lows? You have no choice." My thoughts exactly. Just realize that the above statement is simply a belief and not the end-all truth. Recognizing it as just a belief, perhaps a belief that has been profoundly useful in the past...