Search found 62 matches

by drm7
Fri Jan 23, 2009 4:39 pm
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 3451

Too high/low?

I think this issue was addressed in the Way of the Turtle book, where he shorted Sugar at some single-digit price and made truckloads of money. How could he have made money, when Sugar was selling for less than the production cost? He had the "roll" in his favor. I don't remember the exact prices, b...
by drm7
Tue Dec 23, 2008 3:24 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25011

What about insurance companies? Banks?

My day job has one leg in the securities industry and the other in the insurance industry, both of which take a lot of heat for "not making anything" or "pushing paper." Insurance companies basically write options against the value of your car/home/life etc. By purchasing the option you are making a...
by drm7
Tue Dec 23, 2008 3:03 pm
Forum: Testing and Simulation
Topic: backtesting strategy
Replies: 8
Views: 5618

Re: stops

I was having a debate with a trader who was applying to come work for us. but he is a gunslinger. his mandate is to risk 10% utilizing the rsi macd and slow stoch, along with candlesticks. he made assertions that he was doing an average of 156% per annum over the past five years. the only issue tho...
by drm7
Thu Dec 11, 2008 10:29 pm
Forum: Testing and Simulation
Topic: Momentum System for ETFs /ETCs
Replies: 18
Views: 9498

I wonder if the "FUNDX with a filter" system could be benchmarked against a "fixed allocation system with a filter" such as Mebane Faber's 10 month MA system.

Is it the ranking of the ETFs, or the filter that is bringing the most value?
by drm7
Thu Oct 30, 2008 4:07 pm
Forum: Money Management
Topic: How to deal with correlated instruments
Replies: 15
Views: 8031

I would look at it two ways, either alone or in combination: 1) Use Seykota's concept of "Portfolio Heat," (which is total open risk for all trades) and apply it to groups of currencies. Lets say you take 1% risk on every trade. You can limit yourself to 2.5% "heat" on all common-currency-common-dir...
by drm7
Thu Feb 07, 2008 12:08 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35344

Jim Simons

I thought this little piece from a recent FT article shows that Mr. Simons may not be as bearish on trendfollowing as the earlier article implies. One recent example is the launch of a medium-term trend following fund by Renaissance Technologies, the Long Island, New York-based hedge fund that is on...
by drm7
Tue Aug 22, 2006 4:05 pm
Forum: Testing and Simulation
Topic: 2 systems - 1 market
Replies: 9
Views: 4710

Trading Systems offsetting each other

To avoid having short orders unwinding a long-term long position (or vice versa), the trader can do two things:

1. Place the offsetting order under a different ticket number. Now you you have 30 long on ticket #1 and 10 short under ticket #2.

2. Trade each system on a seperate account.
by drm7
Wed Mar 31, 2004 10:13 am
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 5777

Taxes

I agree that tax considerations are often overlooked, and need to be strongly considered in any strategy. The problem is that taxes are so different around the world. Even in one country such as the U.S., people have different tax rates depending on their income. Other people have their trading acco...
by drm7
Mon Oct 20, 2003 12:25 pm
Forum: Brokers
Topic: Brokers for non-US stocks (other than IB)
Replies: 3
Views: 3602

Brokers for non-US stocks (other than IB)

I am looking for a discount broker who has access to non-US listed stocks, especially Hong Kong. I am pretty sure that the big full-service houses can do this (Merrill Lynch), but the costs are probably exorbitant. I have looked at places like Schwab and TD Waterhouse, and it is very difficult to fi...
by drm7
Mon Oct 13, 2003 3:17 pm
Forum: Trader Psychology
Topic: Keeping a journal
Replies: 1
Views: 3694

Keeping a journal

In my readings of various trading and investment literature, not to mention "self-help" type books, A common thread I see is a strong recommendation to keep a journal. Keeping a journal seems to help us work through our psychological conflicts, plus gives a great record of our decisions, unbiased by...
by drm7
Sat Sep 27, 2003 12:53 pm
Forum: Brokers
Topic: FOREX Brokers
Replies: 3
Views: 4208

Historical Interest Rates

Forum Mgmnt, Oanda has a limited (3 year) history of the interest rates that they use to calculate carry charges. Here is how to get it. 1. Register for the free demo. 2. Log into the demo - the trading screen will come up. 3. Select Resources/Interest Rates and type in the currencies and time perio...
by drm7
Sat Aug 09, 2003 11:12 pm
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18479

William O'Neill - IBD

William O'Neill ("How to make Money in Stocks" and "Investors Business Daily") is probably the best known teacher of blending fundamental with technical analysis. His CANSLIM method looks for stocks with rapidly rising earnings, high margins, high relative price appreciation and a strong industry, t...
by drm7
Tue Jul 01, 2003 9:25 am
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 14374

Dream System

Jakub, Your system results sound very encouraging. One other step that I would take is to look at the system performance in trending markets vs. choppy markets. A lot of stock based systems look great on 10 years of data, because most of those years have had a steady up or down trend. Since your str...
by drm7
Sun May 25, 2003 9:27 pm
Forum: Testing and Simulation
Topic: R multiples & Expectency
Replies: 8
Views: 7336

R Multiple Calculation

Damian, I think that everything was done right, although I didn't go over every detail of the calculations. I have two posts on the topic "Analysis of Turtle System Test #14 (Original turtle system forum)" where I go over R-multiples in detail. As to your comment about PGO, the average expectancy is...
by drm7
Fri May 23, 2003 1:23 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75102

Sudden events

I agree with the previous post, Zeno. You really can't quantify the direction of every "black swan" event, such as a crop failure, terrorist attack, etc. The best you can do is make sure that one doesn't wipe you out. You accomplish that with a combination of position sizing and diversification (acr...
by drm7
Mon May 19, 2003 12:49 pm
Forum: Trend Indicators and Signals
Topic: Moving Averages - Comments?
Replies: 7
Views: 8910

Moving Averages

I think that moving averages are out of favor for a few reasons: 1. A lot of traders are obsessed with prediction. Moving Averages are, by definition, a "lagging" indicator that gets in "late" and gets out "late". 2. A lot of traders think complexity is the answer. Moving Averages are quite simple a...
by drm7
Thu May 01, 2003 4:25 pm
Forum: Brokers
Topic: System Brokers
Replies: 7
Views: 5869

Complex Trading Strategies

My question is more general in nature. I am a little confused over how I would integrate money management rules into a robo-broker strategy. Can I say "risk 1% of closed equity on every signal" to the system broker, and they do all of the calculations, or do I have to get more personally involved, w...
by drm7
Tue Apr 29, 2003 9:50 pm
Forum: Brokers
Topic: FOREX Brokers
Replies: 3
Views: 4208

OANDA vs. FXCM

I don't know a whole lot about FXCM, but what I like about OANDA is a $1 trade minimum (yes, you read it right!). You can also trade in $1 increments, which allows you do really "dial in" your position sizing. Most other forex brokers seem to have $50k minimums and $10k increments (or more). Note th...
by drm7
Tue Apr 29, 2003 12:48 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52173

Response to c.f.' test - more thoughts about correlation

This thread has turned into quite a discussion! I have a question for c.f. about his test - Which Turtle System did you use for the correlation test, the 55/20, the 20/10 or a mix? My take on correlation is that it doesn't matter as much until bad stuff happens, and you find yourself with triple and...
by drm7
Sat Apr 26, 2003 9:42 pm
Forum: Money Management
Topic: How much Capital to start
Replies: 25
Views: 26120

Small Capitalization Issues

Jeff, I definitely feel your pain with regard to low trading capital. I posted a long rambling message about this on the testing forum. One other specific alternative is a Forex dealer called OANDA (I don't have any commercial ties to them) www.oanda.com. At OANDA, you trade only foreign exchange, b...