Search found 126 matches

by nodoodahs
Tue Apr 29, 2008 6:16 pm
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10873

And another thought: does the smoothness of a trend say anything about its statistical odds of continuing?
by nodoodahs
Tue Apr 29, 2008 3:01 pm
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10873

Ah, fond memories! I added a gap filter to my efficiently-moving stock scans and got some meaningful information out of that combination, though. I used a ratio of average range (which is intraday) and average true range (which incorporates gaps) to throw some of the nasty teleporters out of the sca...
by nodoodahs
Tue Apr 29, 2008 8:02 am
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10873

Ah, trust me, Sluggo, I do think for myself. :lol: My point was philosophical, as was yours. You point out that we should question the desirability of X before looking for it with programs. I point out that we should DEFINE X before talking too much about it. There has been a lot of talk about smoot...
by nodoodahs
Tue Apr 29, 2008 5:54 am
Forum: Futures Markets
Topic: Let's List the smoothest trending markets
Replies: 15
Views: 10873

Anyone care to QUANTIFY a measure of "smoothness" that could be programmatically searched for?

:shock:
by nodoodahs
Wed Apr 16, 2008 7:45 am
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9632

Daily vol ... over what timeframe? The last six months? The six months that occurred 5 years ago today? The last 12 years? The last 12 days? The 25 days preceding June 15th? I think you will find that there are months at a time when daily interest gains are higher than daily volatility of the underl...
by nodoodahs
Tue Apr 15, 2008 5:44 am
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9632

I was under the impression that the difference between the futures contract price, and the actual spot exchange rate, was determined by the interest rate paid by short-term bonds in the subject currency - similar to how the contract price on the index contracts differs from the cash price in part du...
by nodoodahs
Mon Apr 14, 2008 10:29 am
Forum: Forex
Topic: Carry Trade System Anyone ?
Replies: 13
Views: 9632

Try buying and holding the DBV. It's an ETF that approximates the value gained by a 3-long, 3-short "carry trade" taking place on the G10 currency set. Whether you like the idea of buying DBV or not, I would highly recommend reading their prospectus and other material as "educational" re: carry trade.
by nodoodahs
Mon Mar 24, 2008 9:10 am
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

Both of the examples you give seem, at first glance, to suffer from the same issue - greatly increased AUM making the returns smaller in absolute terms, and much less volatile. Of course, for the manager, it's a blessing, since it's easier to increase income from management fees than it is to incre...
by nodoodahs
Sat Mar 15, 2008 5:20 am
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

@ alp: This is actually a very common dynamic with hedge funds of all stripes, including those playing in the energy futures space - I had a conversation last month with an acquaintance who works for a firm in this predicament. @ AJFGarner: I think the limitations of deploying higher AUM force the t...
by nodoodahs
Fri Mar 14, 2008 2:14 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

Imagine I have a fund that gets 2% per annum +20% of profits in fees, with the 20% subject to a high-water mark (HWM). The HWM means that if I lost money for some investors in 2007, I have to get those investors back to breakeven before I can count any money I make in 2008 as profits subject to the ...
by nodoodahs
Fri Mar 14, 2008 1:49 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

Well, we can make some gross comparisons on simple metrics like cumulative annualized growth rates, and trust that since we're doing them on managers with long tenures, we have adequate controls on risk. I just thought it would nice to recognize that our comparisons are gross and simple, if we do th...
by nodoodahs
Fri Mar 14, 2008 1:20 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

Both of the examples you give seem, at first glance, to suffer from the same issue - greatly increased AUM making the returns smaller in absolute terms, and much less volatile. Of course, for the manager, it's a blessing, since it's easier to increase income from management fees than it is to increa...
by nodoodahs
Fri Mar 14, 2008 12:42 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9504

Re: Eckhardt's funds http://www.iasg.com/tabid/56/default.aspx?programid=56 His five-year compounded of +13.9% is very comparable to his ten-year of +12.4%. He hasn't had a losing year in the last eight. However, this is not as good as the much earlier returns, as in the first 11 years producing a +...
by nodoodahs
Fri Feb 08, 2008 7:05 pm
Forum: Testing and Simulation
Topic: Duplicating results in Way of the Turtle
Replies: 13
Views: 6563

I just realized that sluggo responded to a question for roger. FYI and FWIW, I have weekly returns from 77 weeks back and end of month since inception, and monthly from my start of trading, although I spent a lot of that time as either discretionary or as working on a system, settling on the ones I'...
by nodoodahs
Fri Feb 08, 2008 6:54 pm
Forum: Testing and Simulation
Topic: Duplicating results in Way of the Turtle
Replies: 13
Views: 6563

Eh, I'm not trying to be difficult. Or make you do backflips. The question boils down to: do you have any STATISTICAL IDEA how your actuals compare to the statistics you developed in test? With the majority of the post explicated one method of developing that. Daily? Weekly? Monthly? Quarterly? Annu...
by nodoodahs
Fri Feb 08, 2008 6:24 pm
Forum: Testing and Simulation
Topic: Duplicating results in Way of the Turtle
Replies: 13
Views: 6563

A technical, specific (and yet still strangely non-specific) question about your test vs. your actual results. I say specific and non-specific because it will give me (and perhaps, you) a very important insight into the results, but won't disclose anything sensitive. Calculate your annual backtested...
by nodoodahs
Thu Jan 31, 2008 3:40 pm
Forum: Testing and Simulation
Topic: Reliable number of trades?
Replies: 2
Views: 2956

Just some random thoughts on the matter. Philosophical answer: You never "know" for sure, because, in theory at least, the conditions that existed in the market during your test period may have been unique, and have changed in the current market. With one trade per contract every three years or so, ...
by nodoodahs
Thu Jan 31, 2008 7:36 am
Forum: Testing and Simulation
Topic: Guidelines for system rules & degrees of freedom
Replies: 8
Views: 7759

Spot on, dmford. I was trying to answer the 12/19/2007 questions specifically with my earlier comment, but I'll take a stab at this, too. If I were analyzing a stock market index, I might try to fit various technical, valuation, and econometric data to the index. Looking at 20+ years of data with po...
by nodoodahs
Fri Dec 21, 2007 1:05 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35299

Also a possibility - Instead of making material changes, one could instead make essentially meaningless changes on a frequent basis. * if parameters for one variable between 25 and 35 are robust, use a different one each month * do the same for other variables or filters that have robust ranges of p...
by nodoodahs
Thu Dec 20, 2007 3:43 pm
Forum: Testing and Simulation
Topic: Guidelines for system rules & degrees of freedom
Replies: 8
Views: 7759

Hi Dirk, thought I'd take a stab at some of this, if you don't mind. In expectancy, win% and the win/loss size are both important, and generally work against each other. It's hard to find a system that has both, and to the extent that I maximize one, I degrade the other. I keep in mind that it can b...