Search found 110 matches

by alp
Tue Dec 15, 2009 6:40 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

A quote from the infamous chapter What the professionals have don e, by Ralph Vince in The Handbook of Portfolio Mathematics : [...]The concept of using an array of parameter values is also rather widely thought to help alleviate the problems of what parameter values to use in the future, based on h...
by alp
Tue Dec 15, 2009 6:33 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

I very much agree. Nor do I think any high degree of statistical or mathematical expertise is required in all this beyond some commonsense appreciation of such basics as adequate sample size and so forth. Which is fortunate, since I do not possess any. Same here. :) That's why we can hopefully coun...
by alp
Mon Dec 14, 2009 9:37 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

Errors, Robustness, and The Fourth Quadrant The main points about living with uncertainty (the "Fourth Quadrant"): 1) Avoid Optimization, Learn to Love Redundancy. [...] Only fools (such as Banks) optimize, not realizing that a simple model error can blow through their capital (as it just did). [.....
by alp
Mon Dec 14, 2009 8:58 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

Re: Quantification of system robustness

[...]trendfollowers are fond of the long-option-like positive skew of this system type, but when the return profile is based on rare events, such as the once- or twice-a-decade-trade, what can we really, STATISTICALLY, say about these returns? Anyone in the biz knows that the rarer the event, the h...
by alp
Mon Dec 14, 2009 8:09 am
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

This post by sluggo is a nice match for the thread: LINK
by alp
Sun Dec 13, 2009 2:21 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12489

I do know for certain, that we don't know for certain if any system can be robust forever. I believe that some things about the market will be constant, simply because it's a market of human individuals and human nature is constant (at least over our lifetimes). I also know for a fact, from researc...
by alp
Tue Dec 08, 2009 9:25 pm
Forum: Testing and Simulation
Topic: Curve-fitted portfolios and portfolio optimization
Replies: 2
Views: 1710

Sometimes I "develop" (design and optimize) on a 200-300 market portfolio, but only trade a 100-200 market subset. The extra markets have the effect of giving the Suite of systems more price scenarios to chew upon. The extra markets also increase the ratio (#trades / #system_parameters) which gives...
by alp
Tue Dec 08, 2009 8:19 pm
Forum: Testing and Simulation
Topic: Curve-fitted portfolios and portfolio optimization
Replies: 2
Views: 1710

Curve-fitted portfolios and portfolio optimization

When testing do you avoid curve-fitted portfolios completely, or instead admit some portfolio optimization ? By portfolio optimization I mean choosing parameter values based upon the actually traded portfolio, even though a larger portfolio or even completely different markets might be used to valid...
by alp
Sun Nov 22, 2009 7:40 pm
Forum: Trader Psychology
Topic: It's boring to trade a system; how do you use your time?
Replies: 13
Views: 11254

azkurz wrote:Play poker
Zen and the Art of Poker is a great book in this regard.
by alp
Thu Sep 10, 2009 7:54 pm
Forum: Trader Psychology
Topic: It's boring to trade a system; how do you use your time?
Replies: 13
Views: 11254

DMFord wrote:Also plenty of time for canoeing, fishing, skiing, cycling, camping with the 4 little un's too!
Looks like a smart choice.
by alp
Thu Jul 16, 2009 8:29 pm
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11814

As for better systems to be discovered, they are out there. There are long term trend following systems whose performance did not degrade over the past several years. While I cannot go into the specifics of those systems... With the due respect, I don't see any evidence in your posts that you have ...
by alp
Mon Jun 15, 2009 10:30 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

Re: Trendfollowing works on any asset class

They seem to only be interested in confirming their existing belief structure. It’s amazing, but true. It's funny how irrational and emotional markets can be in our collective attempt to fundamentally justify any action or market move, as if we were that much rational in the first place. Perhaps ...
by alp
Sun Jun 14, 2009 9:22 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

Re: Trendfollowing works on any asset class

The problem with them is no drawdown or risk controls. They are betting that the parameters they use to pick stocks never go out of favor enough to cause catastrophe. Could you elaborate on what you mean by "drawdown or risk controls"? Do you think guys out there like Eckhardt Trading or Transtrend...
by alp
Sun Jun 14, 2009 4:58 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

Re: Trendfollowing works on any asset class

Unless you improve your entry/exit timing, and be willing to be in/out until your position is protected(by short term profit). The vast majority of the market's gains have come from a small minority of stocks. If you miss these you miss the gains. The only way to ensure participation in these stock...
by alp
Fri Jun 12, 2009 2:19 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

ecritt wrote:A lot of stocks make new highs, but only a small minority go on to make huge gains. If I could figure out which stocks are going to be the big winners (in advance) I'd be the richest man in the world.
Have you tried any technical filters such as volume, momentum/strength, etc.?
by alp
Thu Jun 11, 2009 10:36 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

Yes, we've tried everything from 10 day highs to 3 year highs to all time highs, in 5 day increments. Performance is nearly the same from 2 year highs to all time highs. It starts to deteriorate when you move to the left of 1.5 year highs. The deterioration is due to opportunity cost at first. When...
by alp
Wed Jun 10, 2009 10:31 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33215

The randomness argument doesn't hold water for long term trend following (in my opinion). See pages 3 and 4 in the following document: http://michaelcovel.com/pdfs/TrendingStocksDriveTheMarket.pdf Also, the high degree of correlation (especially in declining markets) can be used to your advantage i...
by alp
Tue May 26, 2009 10:13 pm
Forum: Testing and Simulation
Topic: Trading My Own System's Index or ETF
Replies: 2
Views: 1646

Thanks. The position size is already a function of the equity curve. Whatever, other than proper timing for investment, my preliminary tests kind of suggest "don't tinker with it".
by alp
Mon May 25, 2009 10:29 pm
Forum: Testing and Simulation
Topic: Trading My Own System's Index or ETF
Replies: 2
Views: 1646

Trading My Own System's Index or ETF

Rather inspired by the current mania of trading funds or "trend following" of "trend following" funds, and also concerned about the rather volatile appearance of my system's equity curve, which I deem quite robust, I decided to do an experiment: I programmed the system to write an output file with t...
by alp
Sun May 17, 2009 3:38 pm
Forum: Trader Psychology
Topic: Sluggo's Remorse Ratio
Replies: 9
Views: 11205

The mechanical trader executes her system faithfully, flawlessly and, more important, emotionlessly. There is no emotion involved in the quantitative, programmed algorithm. So, unless a T-888 terminator-like trader designs and runs the system, eventually some emotions might try to express themselves...