Search found 143 matches

by Chuck B
Fri Nov 04, 2011 12:51 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11148

Some central banks have gotten MUCH smarter than in years past however. They know they need to make price action reach certain levels to trigger exits in the big guys for example. How many long term trendfollowers are going to remain in the position when a 12ATR move from the prior close against the...
by Chuck B
Fri Nov 04, 2011 11:43 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11148

The second thing I think about is the the rise of flash crashes. I believe flash crashes come from a mixture of more people trading with stops and high frequency trading. Those two processes together create a feedback loop that can work against trend traders. I have not enough work on this but I do...
by Chuck B
Fri Nov 04, 2011 11:33 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11148

In an interview in 2000, Jim Simons stated that commodity markets used to trend nicely but don't any more. He was wrong (see gold for a good example). The day human psychology changes and people stop trading based on their emotions, we will have a problem. I don't see that happening any time soon. ...
by Chuck B
Fri Nov 04, 2011 9:16 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11148

When you ask the question "has the market changed", a lot of qualifiers are needed to make sense of that question. There is no question that the micro-structure of today's futures markets are profoundly different than in the past when the market essentially had massive direct human involvement. In t...
by Chuck B
Thu Nov 03, 2011 4:39 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11148

I'm reminded of a seminar I was at almost 20 years ago where the whole subject of the death of trend following came up since I think at the time it was a cover story on Futures magazine. Anyway, someone in the group made the comment that "currencies are great trending markets" upon which Tom Basso s...
by Chuck B
Fri Oct 21, 2011 2:22 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 7798

BTW, I should mention to those others that ages ago I settled on specific roll date criteria by market to build proper continuous contracts. The specific reasons for a given market's roll date vary depending on said market, but I've never built or used continuous contracts that depend on volume or O...
by Chuck B
Fri Oct 21, 2011 2:20 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 7798

There are still people on this forum who deny the accuracy of back testing using gap adjusted price series (leaving aside the question of ratio dependent calculations). Until these guys have actually gone through the matter in enough depth, the penny will not drop. I suppose the market will help th...
by Chuck B
Fri Oct 21, 2011 1:01 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 7798

The real point in all this is: 1. Contango. 2. Backwardation; and 3. Price gaps on rollovers. To fail to account for these will give back tested results which are, for all reasonable purposes, completely useless. Don't forget liquidity (lack thereof) in the non-front-month contract. For example, if...
by Chuck B
Thu Aug 18, 2011 9:14 am
Forum: Futures Markets
Topic: Aug 2011: Can't short these Stock Index Futures
Replies: 14
Views: 5642

Updated details for the CAC futures:
http://www.amf-france.org/documents/general/10111_1.pdf
by Chuck B
Wed Aug 17, 2011 4:38 pm
Forum: Futures Markets
Topic: Aug 2011: Can't short these Stock Index Futures
Replies: 14
Views: 5642

The bigger picture here is also interesting Europe (excluding Germany) cannot even organise a short selling ban without causing mass confusion via its only inability to come up with a coherent policy / framework on what you can and cannot do - Am being told that certain funds are challenging the po...
by Chuck B
Tue Jul 26, 2011 11:24 am
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9682

Let us not forget soon-to-be professional trader LeviF's recommendation: Simultaneously trade several copies of your trend-following system, where each copy uses the exact same entries but different exits, arranged thus: Let copy #1 be the original, unmodified system which Lets Profits Run a la tre...
by Chuck B
Thu Jul 21, 2011 9:06 am
Forum: Futures Markets
Topic: YTD performance of Trend Following Wizards
Replies: 5
Views: 2897

Re: YTD performance of Trend Following Wizards

It would be interesting to know, if or what these 4 Wizards with "black" YTD numbers have in common? The answer is most likely nothing. It could range from asset selection to risk sizing algos, discretion (i.e. recognizing after the huge 2+ year run-up that the Bin Laden execution was "the" emotion...
by Chuck B
Fri May 13, 2011 9:01 am
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 3756

Yeah, my point was really that many managers equity curves are due to risk (position) management decisions which often times are not market specific but portfolio specific. Sort of like the old days in the pits when you would hear that "so and so" was buying (selling) T-bonds as if that was useful i...
by Chuck B
Thu May 12, 2011 1:16 pm
Forum: Testing and Simulation
Topic: Reverse Engineering System Parameters
Replies: 11
Views: 3756

From a practical perspective, I have gotten good ideas from looking at the equity curves and/or trades of other managers. While it may be impossible to exactly reverse engineer the system, it is possible to obtain useful information from such an exercise. At the very least you might come to the con...
by Chuck B
Thu May 12, 2011 11:31 am
Forum: Testing and Simulation
Topic: How to realise the system is obsolete
Replies: 7
Views: 3314

Re: How to realise the system is obsolete

The turtles system, highly succesful as it was in the 70s and 80s became obsolete with its standard parameters in the 90s. Drawdowns and bad performance persisted since then. The system whilst profitable still had temporary periods of bad performance, sometimes going for years before a turnaround. ...
by Chuck B
Thu Apr 21, 2011 9:56 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78044

Just to clarify... The exit you used is initially 7ATR from the entry price. Ongoing I assume you meant that this 7ATR exit was updated (referenced off the close (or high/low) each day) and only moved in a favorable direction. Hence this is the unconditional exit -- a trade will ALWAYS exit if this ...
by Chuck B
Thu Apr 21, 2011 9:25 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78044

I had originally drafted the above post for an article in a UK based wealth manager magazine which the editor had enthusiastically requested. Since he has not had the courtesy to come back to me on the article despite several follow up e-mails and a telephone message, it seems a pity to waste it so...
by Chuck B
Fri Apr 15, 2011 7:01 pm
Forum: Futures Markets
Topic: Things are correlated until they are not
Replies: 5
Views: 3526

As was posted up above, it can make profound sense to trade "highly correlated" assets with the same system (i.e. Brent and WTI). What *really* matters is how "correlated" they are (their performance) when applied to your system (which in most cases means how the individual volatility of the asset "...
by Chuck B
Fri Apr 15, 2011 6:54 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78044

Buy and Hold based on the MSCI AC WORLD INDEX Net Standard contrasted to a simple triple moving average system and a portfolio of 22 equity index futures. 350, 80 and 25 day MAs. An off the cuff example of what can be done to improve the lot of the hapless equity investor. ...only problem being tha...
by Chuck B
Wed Dec 10, 2008 10:59 am
Forum: Futures Markets
Topic: Anyone notice the VOLATILITY INTERUPT 12/08 Eurex Schatz
Replies: 3
Views: 2731

Not surprising given the profound lack of liquidity in today's markets. The financial futures are just a glimmer of their former selves. So many participants are now gone, many gone for good, that these markets are really thin -- especially at crunch times. Wicks, spikes, Eurex fast market halts, et...