Search found 110 matches

by alp
Sun Oct 26, 2008 9:22 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20744

The set of {breakout systems you've simulated} combined with the set of {markets you've tested, over the slice of past history you've tested} has not been satisfyingly profitable on short trades. Naturally this leads to two thoughts. First, what about the systems you haven't tested? Second, will th...
by alp
Sat Oct 25, 2008 10:52 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20744

Re: The short side and trend following

I haven't been super creative, but I've yet to find a traditional trend following or breakout system that has any edge at all on the short side using data back to 1984 for 60+ markets (aggregate portfolio). The reason seems obvious enough: trend following rules favor a particular type of uptrend th...
by alp
Thu Oct 23, 2008 9:03 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20744

sluggo, it looks like you've squeezed every possible, imaginable quantitative analysis out from the systems and markets you trade. And then some traders say that trading is not rocket science. I guess there are a few potentical rocket scientists just on this thread. So, what's been your system actua...
by alp
Fri Mar 21, 2008 2:40 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Both of the examples you give seem, at first glance, to suffer from the same issue - greatly increased AUM making the returns smaller in absolute terms, and much less volatile. Of course, for the manager, it's a blessing, since it's easier to increase income from management fees than it is to incre...
by alp
Fri Mar 14, 2008 4:57 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Thanks nodoodahs for the clear explanation. But then, don't you think in this case the trader is forced to go underground? I think most investors want to know whom they are committing their money to.
by alp
Fri Mar 14, 2008 1:57 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Well, we can make some gross comparisons on simple metrics like cumulative annualized growth rates, and trust that since we're doing them on managers with long tenures, we have adequate controls on risk. I just thought it would nice to recognize that our comparisons are gross and simple, if we do t...
by alp
Fri Mar 14, 2008 1:50 pm
Forum: Testing and Simulation
Topic: Roll timing and order generation with CSI
Replies: 8
Views: 3992

Solution? One possibility is BFMI, Brute Force and Massive Ignorance. You could have two copies of CSI Unfair Advantage, one set to roll on the close of the 12th and the other set to roll on the close of the 13th. Run Blox on both. Now on the evening of the 13th you'll have the set of signals for t...
by alp
Fri Mar 14, 2008 1:41 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Give some good thought to what you mean by "outperform." Metric? Consideration of risk and volatility? Constraints of assets under management? Over what timeframe? Don't you think there is a great rate of mortality in the funds industry? So I suppose that a guy who's been in the business over the p...
by alp
Fri Mar 14, 2008 1:10 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Download the monthly data in ascii and plot it (e.g. using excel) on a log scale. IASG reporting software plots on a linear scale which many people (who seek geometric capital growth ) find misleading. After viewing the log scale plot are you still thrilled? I would venture that the stabilization o...
by alp
Thu Mar 13, 2008 6:17 pm
Forum: Testing and Simulation
Topic: Eckhardt Trading Company equity curve
Replies: 19
Views: 9577

Eckhardt Trading Company equity curve

As I infer from William Eckhardt interviews (and views) he is indeed a true, systematic (or mathematic) trend follower. However I wonder how he can come up with a rather smooth uptrending equity curve such as that of Eckhardt Trading Company Standard: http://www.iasg.com/tabid/56/default.aspx?progra...