Search found 339 matches

by Chris67
Thu Jan 15, 2004 10:09 am
Forum: Money Management
Topic: The Myth of Mathematics
Replies: 8
Views: 7325

The Myth of Mathematics

Okay so I'm probably going to cause more controversy but here goes One thing that never ceases to amaze me in the realm of mechanical trading platforms are peoples willingness to accept certain mathematical models that are simply not shown to be true in ''real-life '' trading. The most astonishing f...
by Chris67
Mon Jan 12, 2004 8:45 am
Forum: Money Management
Topic: sharpe ratio help
Replies: 6
Views: 6583

as I stated at the outset I only have 12 months of returns .. so taking a standard dev. of annual returns is not possible .. therefore do I ANNULAISE MONTHLY RETURNS ... or just take st.deviation of returns ...
by Chris67
Mon Jan 12, 2004 4:51 am
Forum: Money Management
Topic: sharpe ratio help
Replies: 6
Views: 6583

Thanks Kiwi , I dont want to be pedantic but I looked on a tonne of these websites and theyve all got different definitions .. since the sharpe ratio is meant to be an industry standard ( regardless of our known dislike for it ) you would have thought somebody would have agreed on a simple formula a...
by Chris67
Mon Jan 12, 2004 1:56 am
Forum: Money Management
Topic: sharpe ratio help
Replies: 6
Views: 6583

sharpe ratio help

Dear All, Never been a big believer in the usefulness of the sharpe ratio but for raising money purposes i need to use it. If i have 12 months of system results what is the industry standard formula for calculation .. i.e what exactly is the standard deviation of returns .. is it multiplied by squar...
by Chris67
Sun Jan 04, 2004 4:02 pm
Forum: Testing and Simulation
Topic: Some Testing Results/Queries
Replies: 1
Views: 3662

Some Testing Results/Queries

Well I had a great holiday period probably running about 10 or 15 thousand runs on veritrader and as a result I have some problems/ queries .. Some of these may have been talked about elsewhere but I'm sure theyr'e important enough to re - open If a system is Robust then it should work across a broa...
by Chris67
Mon Dec 29, 2003 11:00 am
Forum: Trend Indicators and Signals
Topic: Backtesting my ideas
Replies: 1
Views: 3705

Backtesting my ideas

Apologies if this topic is in the wrong section.. I don't think it necessarily is. I have a good idea for a short term system to overlay on my long term system but dont know how to test. The idea is based on RSI's and the general idea is that if , on a short term basis, perhaps 60 min chart , RSI's ...
by Chris67
Mon Dec 29, 2003 10:56 am
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 12098

Jake, I think your'e dead right in what you said. I would like to run more than one system to smooth out equity. At the moment ive got , approximately , a 20 day breakout system and a 100 day breakout system .. what I would dearly love to do is have a much shorter system running off of rsi's on a 60...
by Chris67
Fri Dec 26, 2003 2:16 am
Forum: Money Management
Topic: Total Capital Requirements
Replies: 5
Views: 5859

Total Capital Requirements

Happy Christmas to Everyone Please note that Ive never been a great believer that the best value from forum discussions comes when everyone agrees , but more so when frank exchanges of opinion and experience are able to take place in a adult and respectful manner. With that said : What I have found ...
by Chris67
Tue Dec 23, 2003 12:37 pm
Forum: Money Management
Topic: negative correlation
Replies: 6
Views: 6093

negative correlation

Dear All, If 2 instruments have a lon term negative correlation .. say -0.85 , are they considered correlated if one gets a signal to buy both ? this happens to me a lot .. where as some may say this is ok as it probably reduces risk ,,, i feel it limits profitability .. maybe simply take the first ...
by Chris67
Fri Dec 19, 2003 7:43 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11952

Thanks for the postings Chaps. I still maintain that if you dont take account of say 50 day correlation that if you are operating on a 55 day breakout then you may load up in correlated positions ... it may well be that over the long term the correlations hold pretty constant but my capital will run...
by Chris67
Fri Dec 19, 2003 2:04 am
Forum: Forex
Topic: Best Way to Trade FX
Replies: 5
Views: 8524

Best Way to Trade FX

For anyone who wants to know about trading FX .. I maybe able to help. As well as 10 years trading in the interbank currency markets I spent a period of time running a spreadbetting trading desk in London. For people who want to trade small fx with no slippage , no commissions and no service costs ....
by Chris67
Fri Dec 19, 2003 1:54 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11952

Verec , Thanks for your reply. I guess my point is this.. If you look at correlation for the last 10 years ( this is just one example .. there are many many more) .. and you had a signal to buy US dollars and Us stocks at the same time then you would nt take signal and load in both since on most lon...
by Chris67
Thu Dec 18, 2003 10:14 am
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11952

Ted ,
Interesting:

The ONLY conclusion that can be drawn from that is that the trendfollowing CTA's do not use the most popular or renowned trendfollowing systems but have eveolved to totally new methods ?? am I right ?
by Chris67
Thu Dec 18, 2003 6:06 am
Forum: Money Management
Topic: Products
Replies: 2
Views: 3273

cheers

Thanks Kiwi
by Chris67
Thu Dec 18, 2003 4:40 am
Forum: Money Management
Topic: Products
Replies: 2
Views: 3273

Products

Does anyone have any views on Orange juice / lumber and pork bellies .. these markets obviously have liquidity issues .. also things like oats and rough rice .. some of these markets show great trending tendancies but are traded on volumes less than 500 I am at present a 1 lot trader where I can be ...
by Chris67
Wed Dec 17, 2003 6:04 am
Forum: Forex
Topic: Shorting options in FX
Replies: 5
Views: 9252

shorting OPtions

Your observations are absolutely spot on ... in fact so close to the truth its unreal ..The management committee of the investment bank had to meet to decide whether to pay these bonuses .. biggest in history within the bank .. 45 % of the mgt said what about if they lose the same they have a free b...
by Chris67
Wed Dec 17, 2003 2:24 am
Forum: Forex
Topic: Shorting options in FX
Replies: 5
Views: 9252

Shorting options in FX

Have been trading FX in large US investment banks for 10 years Shorting options is the same as Russina Roulette I worked with a 10 man prop team that made about 1 billion dollars in 1993 .. they lost it all and more in one week in Feb. 1994 by being short fx options .. relating to stg/yen if i remeb...
by Chris67
Tue Dec 16, 2003 3:52 pm
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 11952

Correlation

This is my second question and has caused me huge headaches for years Correlation has a tendency to shift dramatically over short time period and long time periods .. 2 markets that are correlated at 0.9 over 50 days may suddenly be correlated at -0,4 for example witness this year - U.S stocks up - ...
by Chris67
Tue Dec 16, 2003 3:46 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21755

Portfolio heat

Dear c.f. .. Thanks 4 an excellent forum. I have 2 questions that have bugged me for years .. this is a journey I know .. If the original turtles risked 1 % for n then by the time you are fully loaded in one product you have 5 n of risk on board = 5 % That is effectively 5 % risk on one view ... Say...