Search found 126 matches

by nodoodahs
Tue Oct 05, 2010 9:43 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30518

Comparing equity curves levered to have the same max drawdown is an idea by Modigliani* and Modigliani. They reason: if you were willing to tolerate 41.6% drawdown without profit targets, you're also willing to tolerate 41.6% drawdown with profit targets, and why not avail yourself of the improved ...
by nodoodahs
Sat Oct 02, 2010 10:19 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23430

td80 wrote:There is a lot of insight into the madness of the institutional mindset in this thread.
:lol:
by nodoodahs
Fri Sep 24, 2010 5:56 pm
Forum: Money Management
Topic: different % Risk for longs and shorts
Replies: 11
Views: 6381

I would guess from context that he was using "sectors" in the same way I would have used the term "asset classes" to describe futures contracts on different types of instrument. - stock index futures - physical commodity futures (could be further subdivided) - bond futures - currency futures Grabbin...
by nodoodahs
Sun Sep 05, 2010 11:46 am
Forum: Trader Psychology
Topic: Buy, Sell, or Hold on a Drawdown?
Replies: 0
Views: 2952

Buy, Sell, or Hold on a Drawdown?

http://www.attaincapital.com/alternative-investment-education/managed-futures-newsletter/investment_research_analysis/380 You could do the same study with passive investments (like a 50/50 U.S. stock/bond mix) and I'm pretty sure you'd get the same results, their "buy a drawdown" is essentially a re...
by nodoodahs
Sat Aug 28, 2010 9:11 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10665

Re: 9th Vs 10th, remember that trending and momentum aren't the same thing - far from it! Currencies are a fine example. Yes, currencies tend to trend, because the economic variables that drive their movements tend to be stable over long periods of time. I don't personally need to know what the %#%$...
by nodoodahs
Thu Aug 19, 2010 7:43 pm
Forum: Market Psychology
Topic: Profitability of System Types at Present
Replies: 11
Views: 8275

From a philosophical standpoint, are there really any discretionary traders?

Or are they all just systematic traders who suffer from a lack of proper documentation?
by nodoodahs
Wed Aug 18, 2010 5:59 pm
Forum: Market Psychology
Topic: Profitability of System Types at Present
Replies: 11
Views: 8275

Chris67 wrote:...Gut feel overlay ...
My gut feeling is that I need to trade my $@^%#%&*$^ system and not (&(%$^*@# about discretion.

I've learned that my "discretion" needs to be confined to system design. :shock:
by nodoodahs
Wed Aug 18, 2010 5:56 pm
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 10665

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1656460 "New" --- ROFLMAOPIMP! That particular "anomaly" has been around since rocks were soft! Plus, the word "anomaly" is about as anachronistic as it gets. Note those are cri...
by nodoodahs
Sat Aug 14, 2010 9:22 pm
Forum: Testing and Simulation
Topic: My system is not a profitable in all markets
Replies: 4
Views: 2065

Along the lines of what Kiwi asked ... of the unprofitable markets, what do they have in common? Are they all physicals, currencies, stock indices, bonds? How is the profitability in the other markets of that type? I would say that if the system had nothing but unprofitable or breakeven performances...
by nodoodahs
Fri Apr 09, 2010 2:59 pm
Forum: Testing and Simulation
Topic: New goodness function
Replies: 14
Views: 4270

I think a large part of the issue is that most practitioners find that “goodnessâ€
by nodoodahs
Sun Mar 07, 2010 9:26 am
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5482

A complete discussion of modeling the whole curve is beyond this thread. You need to search for some academic papers on this, use Google Scholar, Repec, SSRN, or search at the Fed websites. Usually 5 year is between 3 month and 10 year, but much closer to 10 year yield. When the curve gets very flat...
by nodoodahs
Sat Mar 06, 2010 11:04 pm
Forum: Stocks
Topic: Economic Cycle for yield curve
Replies: 3
Views: 3352

It's there.
viewtopic.php?p=41472#41472

Probably better to keep it all on that one thread.
by nodoodahs
Sat Mar 06, 2010 11:02 pm
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5482

You can find “officialâ€
by nodoodahs
Sat Mar 06, 2010 6:53 pm
Forum: Stocks
Topic: Economic Cycle for yield curve
Replies: 3
Views: 3352

viewtopic.php?p=41374#41374

Above didn't work for you?
by nodoodahs
Tue Mar 02, 2010 4:45 pm
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5482

The typical state of affairs for any single currency’s rates is for the shorter term to be slightly lower than the longer term, e.g., the yield on U.S. three-month money is typically about 1.5% or so below the yield on U.S. ten-year money. The relationship in term rates is pretty much the same in ...
by nodoodahs
Fri Feb 26, 2010 4:41 pm
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 23311

Hmmm ... I read about an old European "hedge fund" manager who passed along this "system" to a n00b many years ago. Basically, he invested in countries only if both their bonds and their overall stock index were "in trend" defined as the 50dma being above the 200dma. He used relative strength to dec...
by nodoodahs
Mon Feb 15, 2010 5:23 pm
Forum: Testing and Simulation
Topic: Usefulness of Monte Carlo
Replies: 3
Views: 2233

OTOH selling fully-capitalized just OTM SPX puts looks VERY good if you don't have 1987 and 2008 in the backtest ... and if you DO have 1987 and 2008 in the backtest, it STILL looks PRETTY DARN GOOD compared to buy+hold the underlying index from 1986 through 2009. Sometimes we overstate the risks of...
by nodoodahs
Tue Feb 02, 2010 9:06 pm
Forum: Testing and Simulation
Topic: System Longevity
Replies: 22
Views: 9043

As a colleague and I were discussing a while ago, when looking at MAR on IASG and comparing it to what you see in back testing, you should make sure you are comparing apples to apples. You must look at both your back tests and IASG figures GROSS of fees or NET of fees. DON'T FORGET TO TAKE OUT THE ...
by nodoodahs
Sat Jan 09, 2010 6:35 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 4317

My concern was spot signals and spot returns applied to futures. With spot signals and b/t futures returns, I think it's reasonably OK.