Search found 110 matches

by alp
Fri Feb 27, 2009 11:12 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

For those who actually do perform the experiment, I predict you will find some of the results quite surprising . It may induce you to change the composition of your portfolio, or to change the way you think about composing portfolios. And for those who don't, think of the time and money and effort ...
by alp
Fri Feb 27, 2009 10:33 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

adamant wrote:Not sure why you appear to be asking me this question.
Well it was not directed to you particularly. But I am here to learn from you.
by alp
Thu Feb 26, 2009 7:29 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

alp wrote:...I think you might check your feelings about commitment to a system whose results your tests indicate are crummy.
Look for further evidence of an emotional knot if substituting <system> for <relationship>, <job>, etc. rings a bell.
by alp
Thu Feb 26, 2009 6:53 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

Alp: Regarding Crittendens work, which is very interesting: It is important to note that the test period includes one of the greatest secular bull markets of all time. Crittenden states clearly that the system performance on data from the seventies is substantially weaker. Well, apart from some bea...
by alp
Tue Feb 24, 2009 10:33 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

Well, I am not a big fan of stock trading, but I was intrigued by your performance numbers. Our friend Eric Crittenden, from Blackstar Funds, seems to have found the right answers. Check their two papers "Does Trendfollowing Work on Stocks" and "The Capitalism Distribution" downloadable at: http://w...
by alp
Mon Feb 23, 2009 12:10 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

I think a "long only" strategy, by necessity, is only profitable during uptrends. For instance, Garner's system has other instruments in the portfolio: The 400 securities I used included not only many world stock markets and sectoral stock indices but also bonds and bond funds, currencies and commod...
by alp
Sat Feb 21, 2009 4:44 pm
Forum: Testing and Simulation
Topic: Original turtle rules
Replies: 8
Views: 5067

It's always a danger to become fixated on some particular parameter or entry technique or money management algorithm that you read about in a book or whatever, and then pretty soon you are searching for the Holy Grail, entirely missing the forest for the trees. ... My gut feeling says there might b...
by alp
Sat Feb 21, 2009 7:27 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

Re: Query to the System Design Community

The System: Enters on Breakout of "X" Day H/L, 5 ATR Stop,Trailing Stop of "Y" days, risks 1%?Trade, uses no leverage. What do you mean by <Trailing Stop of "Y" days>? Apart from other suggestions given above, have you also tried adding an initial stop? With regard to sluggo's suggestion to "roll-y...
by alp
Fri Feb 20, 2009 10:34 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10411

If the long term trend is up, AND If the short term trend has been down for the recent past, AND If the short term trend just switched from down to up, today... This looks like something interesting to play and experiment with. P.S.: Is Dallas the oldest member in the community (joined in 31 Dec 19...
by alp
Mon Feb 16, 2009 10:29 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10531

gunter wrote:However, in all my live trading, I found that trying to use DRTs just led to the drawdown becoming longer. Shortly after the drawdown reached its maximum point, some nice trends would appear and I would trade them with greatly reduced size.
That's my point.
by alp
Mon Feb 16, 2009 10:25 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10531

No, I was really just interested in the relationship between DD and return and a few other things. Roscoe, did you test the drawndown reduction threshold rule or instead only the relationship between bet size and return? The original Turtle system concept works like a changing bet size, i.e., as th...
by alp
Fri Feb 13, 2009 7:24 pm
Forum: Futures Markets
Topic: Not quite liquid enough: NI , VX
Replies: 8
Views: 5683

Charlie Wright: Most definitely. The major assumption that trend-following managers made in the last 30 years has been that a diversified portfolio of non-correlated futures markets lowers risk. Our research confirms that in the last few years, all the world’s futures markets have been correlatin...
by alp
Thu Feb 12, 2009 8:39 pm
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 10531

I see a dialetical, often complementing process between reason and faith, evidence and theory. Moreover I suppose that empiricism also implies learning from other's mistakes.
by alp
Wed Feb 11, 2009 6:57 pm
Forum: Futures Markets
Topic: Not quite liquid enough: NI , VX
Replies: 8
Views: 5683

Just out of interest, sluggo, apart from liquidity do you also choose instruments based upon volatility of contract value?
by alp
Thu Feb 05, 2009 7:27 pm
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16362

You are the one that lays down the rules, the system testing procedures. You are also the developer of the first trading system. Some time later (T=10 years? T=2 years? T=6 months?), you develop the second trading system. After another T units of time, you develop the third system. T units of time ...
by alp
Sun Feb 01, 2009 3:11 pm
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16362

Stig Ostgaard

Attached is the performance of "LACM Trend Following Diversified Share Class", by Stig Ostgaard, a former turtle himself. His performance seems to be better than his "Robusti" predecessors. Yet, if he's being honest about this philosophy, it still looks like a strategy of the Robusti family with som...
by alp
Sun Feb 01, 2009 11:44 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16362

The glitch is that (maybe like with the 13.9 years of 5-min bar data) these systems have MAR ratios of 0.3 to 0.5 and such like. They make money, astonomically so over time with the power of compounding. But nothing remotely close to what any of us aspire to achieve over the next five years. You al...
by alp
Sun Feb 01, 2009 8:34 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16362

Creativity and imagination

Although this might be a bit off-topic, but I feel it's also rather connected to the main issue we're discussing about, is the issue of creativity and imagination in trading. I feel that trading somehow ends up killing our creativity and imagination because of the random component of markets. It's a...
by alp
Sun Feb 01, 2009 8:21 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16362

Thanks sluggo for bringing forth with greater clarity an issue I was not able to do so in another thread. I sense there is a kind of taboo in this regard as we're dealing with some of the many facets of fear and uncertainty: 1) first and foremost we want to believe we've done the proper tests and th...
by alp
Sun Jan 25, 2009 7:42 am
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 3497

From Mechanical Trading Systems , by R. L. Weissman : [quote]Traders and system developers alike must be ever mindful of paradigm shifts in market dynamics. Because markets are rarely stagnant, what worked in the past may not be robust enough to survive dramatic shifts in the dynamics of market beha...