Search found 729 matches

by AFJ Garner
Wed Nov 12, 2014 4:28 am
Forum: Trend Indicators and Signals
Topic: Trend Following risk factors versus buy and hold
Replies: 1
Views: 3541

Re: Trend Following risk factors versus buy and hold

The really Good News is that you can subscribe to Harry Long's algorithms: Note: Due to the sheer number of requests for bespoke quant strategies, research projects, and quant consulting services, we have instituted the following pricing for the non-exclusive licensing of our algorithms to instituti...
by AFJ Garner
Sat Oct 11, 2014 4:09 am
Forum: Testing and Simulation
Topic: Bond Funds
Replies: 2
Views: 4567

Here is an example. Which of these two series do you want to use to back test a momentum strategy? The same considerations apply to any stock paying large dividends such as a RIET. And for a real laugh of course, try comparing price and total return on a money market fund.
by AFJ Garner
Fri Oct 10, 2014 5:35 pm
Forum: Testing and Simulation
Topic: Bond Funds
Replies: 2
Views: 4567

Bond Funds

For anyone devising an asset allocation solution using bond funds, is anyone generating a mixed portfolio in CSI US of bond and equity funds? It represents a tricky situation in terms of dividends and their treatment. The basic point is there is no point treating dividends on bond funds in the way T...
by AFJ Garner
Tue Aug 19, 2014 11:31 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3905

My only use for volume figures is (a) to avoid trading low volume stocks in back tests and (b) in real trading avoid trading or holding more than x% of the turnover.

But chopping out parameters sounds like a good idea to me.
by AFJ Garner
Sat Aug 16, 2014 4:28 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3905

You may find this recent reply from Richard Dale of Norgate Investor services helpful: Hi Anthony, You raise an interesting question… I’ve done some research and presented how our data works below. PRICE DATA UPDATE SCHEDULE Our consolidated tape price data arrives in two batches each day. 1. A ...
by AFJ Garner
Tue Jul 01, 2014 1:17 pm
Forum: Futures Markets
Topic: Which index is more popular on commodities?
Replies: 3
Views: 1951

What is the purpose of your enquiry? Sluggo is talking about trading an index derivative. I have a hunch that you are more interested in following an index in the same way that a stock investor might loosely speaking follow the S&P 500 or at least use it as a benchmark. If so, you want to start look...
by AFJ Garner
Mon Jun 30, 2014 2:47 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 3570

Thanks Tim. Turns out the naughty monkeys hadn't un-encrypted them it seems. Very negligent of me not to have spotted it before. I had been lazily using dividend adjusted files and recently changed to using the cash dividends.......However careful I try to be I still seem to make endless schoolboy e...
by AFJ Garner
Mon Jun 30, 2014 2:37 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 3570

Probably a CSI error.
by AFJ Garner
Mon Jun 30, 2014 2:26 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 3570

CSI Dividend Info

I am authorised at the CSI end to have access to dividends and yet the csv files built by trading blox are blank. Anyone else having this problem?
by AFJ Garner
Thu Jun 19, 2014 12:46 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3377

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by AFJ Garner
Thu Jun 19, 2014 12:46 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3377

Very eye opening. And sobering. Care to elaborate? Yep - the equity curve went from the top left 45 degrees down to the bottom right of the graph! Not to be recommended. The other "whole " portfolios were a disaster too. You have to apply a filter: using historic index stocks is a market cap filter...
by AFJ Garner
Thu Jun 19, 2014 12:08 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3377

Thanks Jake, very nice explanation. And the portfolio tests very well. Yes, volume and price: unless we have the rolling number of shares in issue or a list of leavers and joiners in a relevant index we can't pursue the more usual index type market cap route. Which may be no bad thing. I have more o...
by AFJ Garner
Thu Jun 19, 2014 4:29 am
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3377

Incidentally, just for the sake of clarity, I am NOT recommending Right Edge. I have tried it and do not like it at all.
by AFJ Garner
Thu Jun 19, 2014 4:14 am
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3377

Trading Blox Equities Portfolio

I would be very interested to hear from Tim, Jake et al just how they devised this portfolio. Would you guys care to comment? Incidentally, see this thread at Traders Place: http://tradersplace.net/forum/thread/380/choosing-a-universe-of-stocks-to-trade/ In particular: I'm too investigating this iss...
by AFJ Garner
Sun Jun 15, 2014 5:00 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 3019

You may also like to ask the Trading Blox staff how they went about choosing the portfolio they provide as part of their equities package.

Which, incidentally, is downloadable direct from CSI.
by AFJ Garner
Sun Jun 15, 2014 4:34 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 3019

What I do is to assess what it is I am aiming to achieve. Why should I choose the S&P 500? The S&P 400? The Russell 1000? What am I aiming at? If I want a universe of stocks to trade what should the nature of those stocks be? Does the methodology of the S&P 500 suit my aims? If not, would the Russel...
by AFJ Garner
Sat Jun 14, 2014 6:45 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5683

Ah! Just the sort of problem I'm trying to avoid. Using a combination of Python and mySQL we are building our own database which will only allow updates not retrospective changes. Instead of re-building the stocksinfo.txt file I guess one has to manually adapt for changes - and only for additions, I...
by AFJ Garner
Fri Jun 13, 2014 5:06 pm
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5683

Thanks Roger. The problem is the portfolio builder wizard. It is misleading as regards Mutual Funds. Choose mutual funds and it leaves out de-listed mutual funds. Choose US de-listed stocks and it does not include de-listed/defunct mutual funds. The only way to access them is as you describe above b...
by AFJ Garner
Fri Jun 13, 2014 11:47 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5683

I think I may have misunderstood the way CSI retrieves information. If you use the portfolio wizard and request mutual funds it only returns currently active mutual funds. If you request US de-listed stocks it looks as if then and only then will you get de-listed mutual funds. In addition to de-list...
by AFJ Garner
Fri Jun 13, 2014 11:26 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 5683

Thanks Roger, I'll give that a try. Oddly enough, as it is CSI's fact sheets is supposed to append A for listed and I for inactive to the stocksinfo.txt file........but in the cases where I have used the appropriate procedure to write files for an entire market, this feature seem to have gone by the...