Search found 110 matches
- Sun Oct 26, 2008 9:22 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29698
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...
- Sat Oct 25, 2008 10:52 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29698
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...
- Thu Oct 23, 2008 9:03 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29698
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...
- Fri Mar 21, 2008 2:40 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
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...
- Fri Mar 14, 2008 4:57 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
- Fri Mar 14, 2008 1:57 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
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...
- Fri Mar 14, 2008 1:50 pm
- Forum: Testing and Simulation
- Topic: Roll timing and order generation with CSI
- Replies: 8
- Views: 5723
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...
- Fri Mar 14, 2008 1:41 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
- Fri Mar 14, 2008 1:10 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
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...
- Thu Mar 13, 2008 6:17 pm
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13645
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...