Search found 339 matches

by Chris67
Mon Jan 30, 2012 6:27 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

i think , fwiw, its best just to understand that there will probably never be a CTA or fund that has an MAR of > 1 if it lasts 20 years and therefore allocating assets on the basis of teh last few years performance where a new CTA has great stats or an MAR of 3 is a ridiculo9us exercise I wrote befo...
by Chris67
Wed Jan 25, 2012 12:55 am
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 5955

Interesting stuff I have always found - and thats just my experience on my systems - that the best edge available in trading - is that the market is moving in your direction at the time of entry and hence the odds - in most systems- should be weighted towards sell MOO (Stop entry whatver) as opposed...
by Chris67
Tue Jan 24, 2012 2:43 am
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 5955

surely the odds of this beinga winning trade have now changed - the market has moved against the initial position and hence is moving in an un-favourable direction - it may well be you get in and then in tanks in your direction - hey presto you risked less money than teh system and made out good - b...
by Chris67
Mon Jan 23, 2012 4:14 am
Forum: Futures Markets
Topic: Mexican Govt Notes (Symbol TII)
Replies: 2
Views: 1584

Difficult market to get access to ?
by Chris67
Wed Jan 18, 2012 5:22 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7249

yeah it ws teh zero hedge idea - think it made sense actually - but not a system one could seriously trade for all the obvious reasons - friend of mine tested out some time systems based loosely aound it - fascinating resultts - very seductive and very alluring !!! but probably not worth pusuing bes...
by Chris67
Tue Jan 17, 2012 12:27 pm
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7249

Well
what Im looking at is a system that is so simple its ridiculous - it has made 40%+ cagr for 12 years and involves 2 trades per day and it involves Gold - to good to be true - well it probably is - but my word !!!
by Chris67
Tue Jan 17, 2012 4:31 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7249

VERY kind and much appreciated
C
by Chris67
Tue Jan 17, 2012 4:17 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7249

HEHE - Not on your life !!!!
by Chris67
Tue Jan 17, 2012 3:28 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7249

Gold Hourly Data

Anyone got 10 years of hourly data on Gold they could send me / sell me - happy to share an interesting idea with anyone who has it

Please P.M me if you can help
Best
C
by Chris67
Wed Jan 11, 2012 1:53 am
Forum: Testing and Simulation
Topic: This is good
Replies: 7
Views: 3090

too good
by Chris67
Mon Jan 09, 2012 4:04 am
Forum: Money Management
Topic: UK Based Security of Assets
Replies: 2
Views: 2722

UK Based Security of Assets

Anyone operating out of the U.K come up with any good ideas on making assets as secure as possible going forward? Its amazing ho wmany funds are still sitting on one Prime Broker and One Custodial bank - some TF's are sitting on these both in France ? Anyway - anyone got any good ideas for security ...
by Chris67
Sun Jan 01, 2012 7:46 am
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8791

Just seen this link
Maybe very useful for re-establishing Dollar / Spain / Greece/Portugal / Italy - very soon so the transition can be made asap
by Chris67
Fri Dec 23, 2011 4:36 am
Forum: Trader Psychology
Topic: Instrument Choice for Year Ahead
Replies: 5
Views: 5067

Thanks to both of you for your comments Yes you are both right - Im just musing I think taking some money off the table in those instruments that have performed best over the last 250 days may be something to test - let the test say if its right On another topic (sort of) this all came about due to ...
by Chris67
Thu Dec 22, 2011 7:57 am
Forum: Trader Psychology
Topic: Instrument Choice for Year Ahead
Replies: 5
Views: 5067

Instrument Choice for Year Ahead

Anyone toyed with the idea of looking abck at 2011 - finding their most profitable trades and removing those instruments from the portfolio for 2012 ? I maybe forced not to trade Gilts next year (as a UK fund we need to report to the FSA - So my backoffice said to me - your choice - pay a reporting ...
by Chris67
Tue Dec 20, 2011 2:58 am
Forum: Money Management
Topic: CTA Research Results
Replies: 4
Views: 3841

DPH Interestingpost and thanks for posting Do you not find it interesting that something so utterly obvious is a) Something that the brokerage firm would have already understood b) Something that should as clear as daylight to anyone in the industry who does the simplest research project ? c) Somthi...
by Chris67
Thu Dec 15, 2011 11:38 am
Forum: Testing and Simulation
Topic: Risk Reduction = Poor Performance ?
Replies: 7
Views: 2688

Sluggo - You r point is valid... BUT .. if you are running a TF Fund out there in the public view and you had, say 2 years of -2.5 and up 2.5% as your risk reducing techniques were working great but those 2 years presented other TF's with two 30% years then Im afraid you aint got a business any longer
by Chris67
Thu Dec 15, 2011 5:57 am
Forum: Testing and Simulation
Topic: Risk Reduction = Poor Performance ?
Replies: 7
Views: 2688

I always try and make money - but I do it in a way that gives it to investors they way that they want it based on what share class they are in - thats why, I guess many TF's have many types of share class ranging from institutional low volatility to high vol double leveraged turbo class ? I do think...
by Chris67
Thu Dec 15, 2011 3:18 am
Forum: Testing and Simulation
Topic: Risk Reduction = Poor Performance ?
Replies: 7
Views: 2688

Risk Reduction = Poor Performance ?

I remember reading an interesting interview with Paul Mulvaney of Mulvaney Capital Management recently (someone I know quite well also) who made a great case for why trying to reduce volatility and draw downs and pander to investors "wants" can ruin a very good system. I have several parameters I us...
by Chris67
Tue Dec 13, 2011 6:08 am
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12145

prozac - cant eat , cant sleep , cant pee, cant s%$£t , cant get an erection !!!!

And they call them happy pills !
by Chris67
Mon Dec 12, 2011 5:48 am
Forum: Testing and Simulation
Topic: Robustness of systems
Replies: 9
Views: 3188

I think you raise the most valid points in "our World" at the moment Mr Garner and I suspect like me you are having many moments of contemplation recently about those issues I think you (plural) would be foolish to charge ahead assuming nothing has changed in the World of Trend Following as clearly ...