Search found 339 matches

by Chris67
Wed Nov 30, 2011 2:27 pm
Forum: Trader Psychology
Topic: Serious Question to Forum Traders
Replies: 15
Views: 8650

Serious Question to Forum Traders

Honest question Do you think things have changed ? Is there a danger here that we may be in that bag of marbles dicussed elsewhere on the forum where we have not used enough histiroc data - i.e. is TF about to really struggle as more markets are banned from shorting, governmnets intervene more , mar...
by Chris67
Wed Nov 30, 2011 1:38 am
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13693

yes there is already a black market for domestic currencies and in fact there are regions in Germany that dont use the Euro Unfortunately as we hear all day every day teh Euro zone will not be breaking up so therefore teh Euro can only go one way which is down When it breaks up / when Italy / Spain ...
by Chris67
Sun Nov 27, 2011 3:15 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13693

This really shouldnt be a surprise should it ? Best analogy is simply this and I seem to have been banging out this idea for years - a heroin addict will never live until his underlying problems are resolved - all Europe has done for 2 years is stick a plaster over teh wound and give teh addict anot...
by Chris67
Sat Nov 26, 2011 1:03 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 13693

the answer- as Ive said many times lies in Germany leaving teh Euro - not the weak countries - that way the Euro could head down to 50 Cents on the Dollar and that would resolve many issues - The problem for Germany of a strong Deutscmark would be short lived here as Germany now faces huge problems ...
by Chris67
Tue Nov 22, 2011 6:52 am
Forum: Testing and Simulation
Topic: Robustly Selecting Porfolio to Trade
Replies: 6
Views: 2327

"There are markets that don't trend well I presume you eliminate those ? " Tomasso - No I dont eliminate those - because how do I know those wont be the markets that trend well in the future ? I took Sugar 11 out of my porfolio in 2005 because it had nver shown my system a profit - it was silly erro...
by Chris67
Sun Nov 20, 2011 2:10 pm
Forum: Testing and Simulation
Topic: Robustly Selecting Porfolio to Trade
Replies: 6
Views: 2327

Tomaso As a rule of thumb you want as many markets as you can handle Also assuming the systems you vack test have some form of heat control then why not test on all available markets / 100+ markets - then you will left in no dounbt if the system is robust or not In terms of chosing which markets to ...
by Chris67
Fri Nov 18, 2011 11:55 am
Forum: Futures Markets
Topic: Russian Ruble
Replies: 3
Views: 1762

I trade CME Russuan Rouble - i find iut every very tradable - sometimes more so that AUD or NZD - Seems for such low reported volume there is mostly a tight spread with plenty on either side
well correlated to the Euro mind !!
by Chris67
Fri Nov 11, 2011 6:24 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14780

SEEMS We always come back to the same problem in any investment technique which is correlation watching London cocoa trade hand in hand with the bund/ btp spread - you know you have problems !! Surely when one tests a large portfolio over 30 years of data then there have been many times in history w...
by Chris67
Fri Nov 11, 2011 1:44 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

unfortunately most HFT shops are not far away from some rather large problems and issues and this type of trading has no longer term track record - bit like nasdaq day trading was really profitable 1995-2000 then they all disappeared - robust ? I think not
by Chris67
Fri Nov 04, 2011 1:51 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

if you wanted to break down a study of correlation changes (forget whether its input or output for now) then anyone recommend the best way to do it ? Say, as a simple example, you have 2 market instruments - the Euro and the Swiss Say you look at correl over the 1980-1985 period then walk it forward...
by Chris67
Fri Nov 04, 2011 9:15 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

Rush - thats extremely kind and thanks for your update - I for one look forward to seeing your findings - I till will post what I see thanks
C
by Chris67
Fri Nov 04, 2011 3:08 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

One thing Im struggling with is my inclinations on trading seem to be okay at present but this conflicts with what "I should" be doing - I think it goes back to the system vrs discretionary split at the moment. Markets are certainly moving and opportuinities exist - certainly not opportunities that ...
by Chris67
Thu Nov 03, 2011 4:10 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

Thanks for your comments Sluggo I most certainly will I will put up my research results along with teh way I arrived at the results if others, perhaps more mathematically inclined than myself, could then comment onteh mistakes, they think, I have made in my approach - perhaps we will all get there t...
by Chris67
Thu Nov 03, 2011 12:30 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11315

Will somebody please do this research? / has anyone already?

It certainly seems at the momentliek Trend Following (TF) is hard. Most TF's, myself included, getting a nice thumping on the year and even those Holy Grail providors such as Winton, Bluetrend and Aspect are not exactly setting the Wolrd on fire (it seems Winton's new pemanenet return profile is enc...
by Chris67
Thu Oct 13, 2011 6:09 am
Forum: Trader Psychology
Topic: Current Market Psychology
Replies: 11
Views: 5638

Rush - Thanks for your response - agreed - or if you are TF then by going with the price I guess !!!!
by Chris67
Wed Oct 12, 2011 11:20 am
Forum: Futures Markets
Topic: trading question
Replies: 4
Views: 2442

My Comments Echo Zach

Interesting that with modern day electronic markets that people still trade ORB systems ? Surely these carry far less weight now
C
by Chris67
Wed Oct 12, 2011 6:55 am
Forum: Trader Psychology
Topic: Current Market Psychology
Replies: 11
Views: 5638

Current Market Psychology

More stupid than ever ? The markets are never wrong I know I know - at any given moment in time they rpresent buyers and seleers - I know I know - But something seems to be getting more and more disjointed here The DAX is up 20 % in 7 days as things get progressively worse in Europe - the markets se...
by Chris67
Fri Oct 07, 2011 2:17 am
Forum: Money Management
Topic: What happens when your porfolio correlates to 1?
Replies: 4
Views: 3806

RGD RE: "then nothing will separate you from the guys who have 40-50% drawdowns" If you dont have at least one or two of these drawdowns in your time then I'm afraid there will probably be a lot that seperates you from teh guys who make 20% CAGR over 20 years i.e you cannot have one without the othe...
by Chris67
Thu Oct 06, 2011 12:57 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 5901

do remember that David HARDING is a marketer - he is full of it when it comes to what Winton do - trying to convince investors that they are somehow different to others when in fact they are not really different at all as their results clearly demonstrate Also intyersting chart - I'd like to know ho...
by Chris67
Fri Sep 30, 2011 3:14 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23701

Mr Jimmons What I mean is simply this If had 90 Million to Invest as an institutional investor I would give $3 Million each to the 30 TF's in my index - some of these TF's are correlated at 0.95+ and some are correlated as low as 0.75 If you study the outcome of this you get a very smooth equity cur...