Search found 60 matches
- Fri May 30, 2008 11:54 am
- Forum: Testing and Simulation
- Topic: Question for those who trade what they test...
- Replies: 4
- Views: 4654
Perhaps there are two questions here? In general the difference between your real equity curve (account) and the theoretical curve (TBB) should be very small. Slippage differences, TBill rate differences, perhaps a missed or late trade due to vacation etc. If the difference is large then there is a ...
- Fri May 16, 2008 10:22 am
- Forum: Testing and Simulation
- Topic: Has anyone ever researched a horse betting system?
- Replies: 2
- Views: 2971
- Thu May 01, 2008 9:39 am
- Forum: Futures Markets
- Topic: VIX futures
- Replies: 7
- Views: 7110
Don't see them taking business from the OTC market unless there is a huge counterparty default and people want, demand, or legislate a single clearing party. Even then it will not be a given. The market is reasonably liquid and deep for the big players and easy to value so no need to change - that d...
- Wed Apr 30, 2008 9:53 am
- Forum: Futures Markets
- Topic: VIX futures
- Replies: 7
- Views: 7110
- Mon Apr 21, 2008 10:18 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50122
For those interested in this topic there is a lot of research in this area especially with momentum strategies which is a form of trend following. Earlier this year, February 2008, ABN AMRO released their global investment yearbook with a study of the largest 100 UK stocks and momentum trading showi...
- Tue Apr 15, 2008 1:50 pm
- Forum: Forex
- Topic: Carry Trade System Anyone ?
- Replies: 13
- Views: 14564
- Tue Apr 15, 2008 9:37 am
- Forum: Forex
- Topic: Carry Trade System Anyone ?
- Replies: 13
- Views: 14564
AFJ - yes momentum (trend) is part of the return of the carry trade strategy but not the signaling mechanism. In general I think about 50% of the returns to the various indexes come from the trend part vs the interest rate differential. Your millage may vary based on how you construct the carry trad...
- Mon Apr 14, 2008 2:31 pm
- Forum: Forex
- Topic: Carry Trade System Anyone ?
- Replies: 13
- Views: 14564
Just some info on carry trades: There is a lot of literature out there. If you are interested in more academic studies look for UIP (uncovered interest rate parity) for FRB (forward rate bias). If you are looking at futures within TBB you need to be able to get to the interest rate in order to rank ...
- Mon Mar 03, 2008 8:17 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Users Don't Forget to Refresh Your CME Note/Bond Data
- Replies: 2
- Views: 4200
CSI Users Don't Forget to Refresh Your CME Note/Bond Data
Change in CME tick size using my custom software created a little panic for 5 mins today... Refresh per CSI Support instructions via their new blogsite and all will be fine.
Just an FYI for others in case you are wondering where that $100K drawdown came from all of a sudden
Just an FYI for others in case you are wondering where that $100K drawdown came from all of a sudden
- Thu Nov 08, 2007 12:20 am
- Forum: Testing and Simulation
- Topic: Benchmarking
- Replies: 9
- Views: 9188
Interesting graphs sluggo - thanks! One thing that stood out for me was just how few points were above the diagonal line in the CAGR vs MaxDD graph. Yes, many of us know this from our testing or live trading that it take a lot of effort to be above the 1:1 ratio on CAGR vs MaxDD but it is good to &q...
- Thu Nov 01, 2007 11:32 am
- Forum: Futures Markets
- Topic: Rolling strategies and the emergence of ETFs
- Replies: 3
- Views: 4695
You are correct that a majority of the ~$100B in commodity indexes are in long only products like GSCI and DJ-AIG (not all via ETF/ETNs) so knowing those dynamics can help in rollovers but be very careful... 1) Traders are already trading the commodity index rollover effects and now there are even t...
- Thu Sep 20, 2007 10:18 pm
- Forum: Testing and Simulation
- Topic: Correlation: Between Markets or MarketSystems?
- Replies: 5
- Views: 6986
While commanding a bevy of grad students does sound enticing, before we send them on their way with a powerful simulation platform, perhaps it is best just to review some math... Sort of reminds me of someone I once worked with who went through the control theory of how a PLL works and other circuit...
- Mon Jun 04, 2007 1:34 pm
- Forum: Testing and Simulation
- Topic: STATISTICAL PROCESS CONTROL to monitor a trading system
- Replies: 6
- Views: 9134
CUSUM
Just an FYI there is a lot of literature on using CUSUM (part of SPC area) in order to evaluate and manage asset managers. According to a presentation I have it is used as part of a tool box to monitor some $500B in assets... yes it did say billions. Basically it is used to quickly detect when a man...
- Tue Mar 27, 2007 1:30 pm
- Forum: Money Management
- Topic: How Many Systems are Enough?
- Replies: 5
- Views: 9165
Nickmar - nice work. I fully agree that with individual equities will get more diversification. One caveat to watch for in going down this road is too large a sector bet depending on account equity. You don't want to have all oil stocks in the portfolio based on momentum. Using indexes forces this n...
- Tue Mar 27, 2007 11:30 am
- Forum: Money Management
- Topic: How Many Systems are Enough?
- Replies: 5
- Views: 9165
- Tue Mar 27, 2007 12:28 am
- Forum: Money Management
- Topic: How Many Systems are Enough?
- Replies: 5
- Views: 9165
How Many Systems are Enough?
Attached to this posting is a PDF of an extended abstract I wrote ~8 years ago for a finance conference. This paper did not get in but the area is an interesting one. The paper deals with diversification especially when having a shortfall is a big concern. This is true in institutional portfolios wh...
- Mon Mar 26, 2007 9:42 pm
- Forum: Testing and Simulation
- Topic: Rnd Entry or Rnd Exit - Different Sides of the Same Coin
- Replies: 2
- Views: 5827
Rnd Entry or Rnd Exit - Different Sides of the Same Coin
The posts regarding random entries or random exits and their effectiveness got me thinking that perhaps we are just testing the same hypothesis two different ways. This hypothesis is that "trend following works" on average Sluggo went about looking at the oft quoted saying that entries don...
- Sat Mar 24, 2007 4:27 pm
- Forum: Testing and Simulation
- Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
- Replies: 13
- Views: 14022
Perhaps Overkill
Sluggo: Yes in the end all trades are just entry and exit dates... oh but the effort we put into those dates :D My comments were really in terms of #2 and c.f.' comment about the distribution. Of course another way would be to just look at the distributions from a few different systems/exits and use...
- Fri Mar 23, 2007 6:24 pm
- Forum: Testing and Simulation
- Topic: Your advice: what's a reasonable way to test RANDOM EXITS?
- Replies: 13
- Views: 14022
Perhaps another "random exit"
Just to throw out another idea on the random exit method would be to have a random selection of exit methodologies per trade. In the fixed N-day or distribution based N-day exit we are really testing a fixed time exit criterion. Yes we vary the days but not the method. I'm suggesting to look at pick...
- Wed Mar 14, 2007 8:45 pm
- Forum: Data Providers and other non testing software
- Topic: Which CSI Back Adjuster
- Replies: 1
- Views: 3583
Which CSI Back Adjuster
Wanted to get some feedback on which back adjuster people use with their CSI Data. Do most people check the box for the C++ adjuster or not? I was playing around and noticed the old FORTRAN adjuster does not handle certain formats correctly - specifically the unadjusted close, i.e. U field, as TB li...