Search found 35 matches
- Tue Jan 30, 2007 3:08 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data: Reliability of Start Dates?
- Replies: 20
- Views: 25798
- Tue Jan 30, 2007 2:43 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data: Reliability of Start Dates?
- Replies: 20
- Views: 25798
AFJ, Sluggo: Do either of you know how to extract the CUSIP or PermNo identifiers for each security in the CSI database? I wanted to perform an issue date lookup comparison with the following excellent sources of data in order to determine the extent of the problem: Field-Ritter dataset of company f...
- Tue Jan 30, 2007 11:05 am
- Forum: Testing and Simulation
- Topic: Kat, Goldman and copulas
- Replies: 8
- Views: 6997
Kat has a new website: http://www.fundcreator.com/
- Tue Dec 05, 2006 10:16 am
- Forum: Testing and Simulation
- Topic: Kat, Goldman and copulas
- Replies: 8
- Views: 6997
- Wed Nov 15, 2006 9:18 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39888
Our shop employs a systematic approach to market selection. The only real constraint is market liquidity. Each market is categorized by sub-sector (e.g. short-term US interest rates) and exposure to each sub-sector is capped. Back-testing such an approach was not trivial since ALL markets (both acti...
- Wed Nov 01, 2006 9:58 am
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24596
Eric: you certainly bring up a good point regarding Rentec. They have already surpassed the $10B mark in assets under management (in less than a year) and they were up over 12% YTD through August. Rentec does employ a long-term long-only approach but I suspect that their goal is return enhancement r...
- Mon Oct 30, 2006 8:42 pm
- Forum: Stocks
- Topic: Systematic equity funds? CTA's that trade stocks?
- Replies: 18
- Views: 24596
- Thu Oct 26, 2006 1:26 pm
- Forum: Testing and Simulation
- Topic: What is an "Edge"?
- Replies: 32
- Views: 39047
It turns out I was completely wrong here . I ran a short 10-test simulation where this appeared to be true but this just goes to illustrate that small sample sizes can be dangerous. Random Entries do not have an E70-Ratio (short for 70 day Excursion Ratio) of 1.0, it is more like 0.88. The values f...
- Fri Oct 13, 2006 2:14 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
- Replies: 15
- Views: 19017
- Fri Oct 13, 2006 12:17 pm
- Forum: Money Management
- Topic: Length of Time to Reach 100% Equity Risk
- Replies: 17
- Views: 21406
In an attempt to keep risk relatively constant over time (due to the disparity between the number of available markets in the 70s and 80s vs. the number of available markets today), you may want to consider adjusting your position-sizing algorithm to incorporate the number of markets available for t...
- Tue Oct 10, 2006 11:11 am
- Forum: Stocks
- Topic: Distributions of stocks
- Replies: 6
- Views: 13848
- Thu Aug 17, 2006 4:55 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 47175
- Thu Oct 06, 2005 11:06 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39888
Tim - in order to implement the type of system that Dean described without using distinct sector portfolios, I suspect that additional functionality will be needed in the area of group management. For instance, there is currently no way to use the Ranking function to rank the instruments of a specif...
- Thu Oct 06, 2005 7:27 am
- Forum: Money Management
- Topic: Dynamic Portfolio Selection
- Replies: 28
- Views: 39888
I suspect that such a system can be implemented in the current iteration of TBB. Each sector would probably need to be represented as a seperate portfolio. The same system would then need to be applied to each sector portfolio and then combined into one meta system. The instrument ranking functions ...
- Fri Jul 08, 2005 12:03 pm
- Forum: Testing and Simulation
- Topic: Exit Strategy and Profitability
- Replies: 13
- Views: 14288