Search found 339 matches

by Chris67
Wed May 16, 2012 12:28 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9312

i feel sickened by the whole thing at present it isnt the draw downs that hurt - not to expect them would be ludicrous as a trend follower - its the outlook going forward that really hurts - I cannot see this market environment altering course for a while and that is teh ugly bit - it would be quite...
by Chris67
Wed May 16, 2012 5:13 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9312

I have recently added a mean reversion strategy or two - in small size - to the overall portfolio - its bloody tough to find them that offer anything worthy and i ceratinly wouldnt walk away from the mean reversion strategies and just let them run as I would do with trend following systems I concurr...
by Chris67
Mon May 14, 2012 5:19 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9312

DEpends on if you think human nature has changed - it hasnt therefore it may just be a case of riding this crap out for another 1 week - 18 months before teh markets let go and unwind in spectacular fashion whereupon i imagine trend following will clean up as it did in 2008 and all the short vol / m...
by Chris67
Fri Apr 27, 2012 2:59 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 8335

if you want an index of trend followers as opposed to CTA's which as we know is a broad all encompassing meaningless term, then I publish a monthly Trend Followers Index- ive been publishing it for many years - its consistent and has dead funds in in to - then PM me and I'll add you to the distribut...
by Chris67
Mon Apr 02, 2012 5:38 am
Forum: Trader Psychology
Topic: Question to those of you who are full time system traders
Replies: 10
Views: 5875

YOU CANNOT TAKE OUT ANy insurance against the unknown - also you may put part of your money in trend following systems, some in short term systems, some in long term investments and some in long only equities - and still lose on all of them ? My opinion would be to set up such that if you have a los...
by Chris67
Thu Mar 15, 2012 4:40 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9190

well said AFJ But I do think that people like Curtis were not stupid as if you remember he said - always expect the un-expected and then you will never be wrong !!! We are at a real crossroads arent we - it really looks and feels like TF is in trouble - but we just aint gonna know for a few more yea...
by Chris67
Sat Mar 10, 2012 2:52 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9190

I think this could prove to be one of the most valuable posts ever put on this forum - I'm not sure everybody will understand why Without doubt we do not have enough data - 30 years is a miniscule time frame in the history of what has gone before and what is to come and it may well be that Trend Fol...
by Chris67
Thu Mar 01, 2012 2:15 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6856

HEHE
Thanks Sluggo

The best system you could have used for the last 3 years is probably not to trade - great system and 99% of all TF's would be better off for it
by Chris67
Wed Feb 29, 2012 3:58 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6856

BEING Short my p/l for the last 14 months was a great trade - and no offence taken I find it unbelievable nobody has asked me about my system - absolutely genuine - 1 trade 25 years and makes money nearly all the time TF doesnt and negative correlation and positive expected outcome ? come on guys .....
by Chris67
Fri Feb 17, 2012 7:24 am
Forum: Trend Indicators and Signals
Topic: Interesting Divergence Data
Replies: 2
Views: 2719

FWIW I update a monthly index of TF funds - which some people on this forum have asked me to send them - our own TF Index as it were One thing I have noticed over the last year or so is the very large amount of money going in - obvioulsy mostly to Winton I work on a very simple methodology backed up...
by Chris67
Tue Feb 14, 2012 3:29 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6856

I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know The best thing about this system was it has had 1 trade in 30 years so the commissions and sli...
by Chris67
Mon Feb 13, 2012 1:57 pm
Forum: Testing and Simulation
Topic: Historic Rollover Rates
Replies: 2
Views: 1150

Jake - thanks VM for your comments / Help
C
by Chris67
Mon Feb 13, 2012 12:36 pm
Forum: Testing and Simulation
Topic: Historic Rollover Rates
Replies: 2
Views: 1150

Historic Rollover Rates

Is it possible to see the rates at which teh system "actually " rolled contracts i.e. teh Buy (sell) of teh previous month fill and teh sell (buy) rate of teh new month ? just so I can compare what Im doing to teh system ? Is it a print statement of some sort as these rates are not shown in any trad...
by Chris67
Mon Feb 13, 2012 1:33 am
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 7567

anybody have a view on Penson Futures from a credit worthiness perspective - share price tanking / senior staff leaving ?
No corruption Im sure but as a valid business going forward ? Brokers in general I think are not a valid business going forward i.e. they're not making any money
by Chris67
Mon Feb 06, 2012 3:08 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

was I the only one who used to really fancy Jamie Summers - the bionic woman !!! she was cute
by Chris67
Fri Feb 03, 2012 1:28 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

AND WHAT HAPPENS when someone else comes along and steels their market share or the Chinese LAUNCH THEIR OWN or xy z happens All Im saying is that all weve heard for centuries - is its different this time On average the public lose a whopping amount of money buying Internet based IPO's Im sure faceb...
by Chris67
Thu Feb 02, 2012 12:50 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

neither of them are worth 10% of their market cap
its a bubble and like every bubble before them they will pop
the market learned nothing from 1999
facebook in particular is soooooo suspetible to legal action I personally would pay 50 cents for a share
by Chris67
Tue Jan 31, 2012 7:09 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

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 ha...
by Chris67
Mon Jan 30, 2012 11:49 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

chuck b / Rabidric - yes I agree entirely and its name is
WINTON