Search found 50 matches

by rajivm
Tue Oct 09, 2012 4:54 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 20793

Re: Seykota's FAQ

Anyone know the status of Seykota's FAQ? It hasn't been updated since May 2011 and there is no indication of a reason for the hiatus. I've emailed Ed but haven't heard back. Ed doesn't entertain "why" questions, so it is not surprising that there is no reason supplied. For newbies, I find Ed's FAQ ...
by rajivm
Sat Sep 08, 2012 2:49 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 7136

Re: Guar gum

LeviF wrote:Maybe I should move to India...
no need....Its trading has been banned :D
Lot of people got fines
a few might go to jail for manipulation..investigations going on
Raj
by rajivm
Sun Jul 29, 2012 11:11 am
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3862

Re: Drawdown Reduction Threshold

ColdFact wrote:I'd be curious to know how many people use this function.
Don't use in system development -- But in real life I use...
For me Not easy to trade full size if more than 10% loss...
But flip side is -- it takes longer to recover from drawdown :(
by rajivm
Sat Jun 30, 2012 3:38 am
Forum: Trend Indicators and Signals
Topic: Spurious indicators, or uses thereof
Replies: 3
Views: 3502

Re: Spurious indicators, or uses thereof

In one of the Market Wizard interviews I remember reading a quote to the effect that "angle techniques are no technique at all," I presumed at the time referring to Gann angles, on the grounds that angles drawn on charts are entirely dependent on the scale to which the y-axis is drawn, which of cou...
by rajivm
Mon Jun 11, 2012 12:53 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22941

In context of this discussion it would be interesting to see, how the performance of Dean Hoffman’s "Relativity" trading system has performed since 2011. To recall: This system was released a few years ago (I think it was in 2009) and because of some new features like dynamic portfolio management...
by rajivm
Sat Jun 09, 2012 8:40 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 22941

These are: (1) betting strategy – while it is extremely difficult to improve upon the standard fixed-fractional betting strategy, it can be done provided you’re a private trader and don’t trade OPM – ironically, you have to have guts to do the reverse of what Eckhardt taught the Turtles.......
by rajivm
Sun May 27, 2012 8:46 pm
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 6822

Re: Is Trend Trading a "Bubble"

When we look at all of the characteristics of a bubble it is quite possible that trend following has all of the characteristics of a bubble right now. If you look at the IASG website and see the number of managed futures funds that employ trend following, it dwarfs most other categories of trading ...
by rajivm
Sat Mar 10, 2012 1:17 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 10119

I wonder whether you have looked at the performance of professional trend followers over these "last few years?" I wonder whether you have considered what their poor performance might mean given the very large moves we've seen in various markets. Those professional trend follower might be Just happ...
by rajivm
Fri Mar 09, 2012 9:38 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 10119

After testing over more than forty years of data, I am confident that trend following works. From that testing, I am also confident that trend following returns are in a state of terminal decline, and that ever greater research efforts must be expended to maintain the same results. I suspect that t...
by rajivm
Fri Feb 10, 2012 12:18 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve ...
by rajivm
Fri Feb 03, 2012 1:04 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

marriot wrote:Thanks to Corziine, i do not have problems with orders.
Simply i do not.
Marriot,
what you asked in private message I put here..because I cannot attach file in private message.. you asked about orders -- on open only...
by rajivm
Wed Feb 01, 2012 10:17 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

And belive me Rajvim, i am the ship's boy here. Hello Marriot, One question - 30300 trades in 10 years -- 3030 trades in one year....How do you manage such a system? I try to keep number of trades per year in short term system below 500 per year..I feel it is too much work even at that level..::)) ...
by rajivm
Tue Jan 31, 2012 1:19 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

rajivm I dont understand your point - show me a strategy with a long track record of making better returns I dont mean some little fancy short term strategy that has done well for 2 years as we all know where they end up ? Agreed the Rentechs of this World may have found the holy grail - they may h...
by rajivm
Mon Jan 30, 2012 9:39 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

I have no idea know how the option traders, cattle traders, S&P traders, stock pickers, short term, counter trend, and arb guys did over that time period. LTTF is the only method I believe has a chance over the long run. Influenced by hindsight? Probably, but what is the alternative? Frankly LeviF,...
by rajivm
Mon Jan 30, 2012 3:47 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 24202

I don't know about any ratios..But Past performace normally is an indication of future good performance..Look at Soros, Jim Roger or other long time good performers..They STILL are doing well.. If Sluggo has written insightful articles in past .. I would bet he would write more in future so I better...
by rajivm
Wed Jan 11, 2012 1:55 am
Forum: Testing and Simulation
Topic: This is good
Replies: 7
Views: 3404

No...quite achieveable.At least I am certain for systems that keep positions for max 4-5 days it is quite possible.
by rajivm
Sun Nov 20, 2011 12:48 pm
Forum: Testing and Simulation
Topic: Can Google Predict the Markets?
Replies: 11
Views: 6322

Re: Can Google Predict the Markets?

DPH,
Seems like you have lost confidence in your ability to trade simple price trends.... :D
anyway these are difficult times for many ::))
Raj
by rajivm
Fri Nov 18, 2011 2:46 am
Forum: Testing Software
Topic: Wealth-Lab Pro versus TB
Replies: 3
Views: 3542

Re: Wealth-Lab Pro versus TB

numberz wrote:Does anyone have any experience with Fidelity's Wealth-Lab Pro and how its backtesting capabilities and ease of use compare with TB?
I have both.....IT is easier to look at charts in WLab Pro...So I use it browse charts...But for System development..I only use TB..
by rajivm
Sun Jul 31, 2011 10:38 am
Forum: Testing and Simulation
Topic: My research says: the markets haven't changed in 31 years
Replies: 14
Views: 5956

yes it answers the question thanks....mainly with your idea of the short term being 10-20 days :) I find it more fascinating I guess that it seems that a lot of the more manual discretionary type traders I know, myself included seem to reach much the same conclusions as the more automated/systemati...
by rajivm
Fri Mar 25, 2011 9:30 pm
Forum: Money Management
Topic: Money management suggestions for short term system
Replies: 10
Views: 7226

Jan_2004 equity = 5.0E4 Jan_2011 equity = 1.7E8 CAGR (%/yr) = 100 * (-1 + (1.7E8 / 5.0E4)^(1/7) ) = 220% / yr This is a very large CAGR%. Much much larger than the CAGR% of most professional money managers. Yes Sluggo, Back simulations - 207% with 18% max drawdown... But I feel the problem will ari...