Search found 752 matches
- Fri Feb 22, 2013 10:55 am
- Forum: Testing and Simulation
- Topic: Back Testing - Tools for Fools?
- Replies: 4
- Views: 6432
Odd how some people on Forums such as those over on Linked In just don't seem to get the nuances or perhaps even understand the language one uses. My heading for this post was designed to be deliberately provocative to attract attention. I do, very firmly believe in back testing and I am devoted to ...
- Thu Feb 21, 2013 2:55 am
- Forum: Testing and Simulation
- Topic: Back Testing - Tools for Fools?
- Replies: 4
- Views: 6432
- Wed Feb 20, 2013 6:22 am
- Forum: Testing and Simulation
- Topic: Back Testing - Tools for Fools?
- Replies: 4
- Views: 6432
Back Testing - Tools for Fools?
Backtesting – Tools for Fools? At the end of the day, my belief, and certainly my experience is that however carefully I think things out, however much I back test, I am still constantly surprised at how in practice things turn out completely different. Well, perhaps "used to be surprised&quo...
- Tue Feb 05, 2013 12:00 pm
- Forum: Futures Markets
- Topic: Trendiness Indicator
- Replies: 3
- Views: 6624
I think the thing to remember is that my chart above is of one specific parameter run: a rolling 120 day period. The idea was sparked off by reading Estlander's year end report to investors where they showed a graph purporting to show the absence of clean 6 month trends in the last two years. I beli...
- Tue Feb 05, 2013 4:39 am
- Forum: Futures Markets
- Topic: Trendiness Indicator
- Replies: 3
- Views: 6624
Looking at an expanded version of the chart, what it shows is that the efficiency of trends (at least 6 month trends as defined by this index) improved to well above average between mid 2008 and 2009 and then slumped to an historic low for much of the period since. As with all indicators I have come...
- Mon Feb 04, 2013 6:00 pm
- Forum: Futures Markets
- Topic: Trendiness Indicator
- Replies: 3
- Views: 6624
Trendiness Indicator
Copy of article posted to Traders' Place: It has long been my contention that markets have become less kind towards trend following models in recent years. My view is that markets do change and that models therefore need constant adaption to survive, witness the recent demise of JW Henry and the dre...
- Wed Jan 30, 2013 11:51 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10676
The problem is that most ETPs that track commodities do not trade that often and have sizable spreads. The other major issue is that many don't have a lot of history, as AFJ mentions. Also, a lot are ETNs so you have realize that your taking basically credit risk with them. Absolutely agree with al...
- Wed Jan 30, 2013 7:11 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10676
As to data, in 2008 there were few country ETFs with a track record much above 10 years. And those were pretty well limited to Barclays iShares. Frankly, anyone doing research on index tracking ETFs is likely to need to pay the closest attention to tracking error. If tracking error is low and charge...
- Wed Jan 30, 2013 7:07 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 10676
- Thu Nov 22, 2012 3:53 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 38943
A very good post indeed Chuck and I wrestle with exactly the same questions; unfortunately usually also in the middle of the night. Any answer one might arrive at is unfortunately mere guesswork; there do not appear to be many certainties in this universe. For anyone who has not come across the site...
- Mon Nov 19, 2012 4:44 pm
- Forum: Data Providers and other non testing software
- Topic: Transtrend portfolio And European markets
- Replies: 6
- Views: 7013
I never got anywhere in my search for what you are looking for. I ended up using Equis/Metastock which was not very satisfactory as I recall. I seem to remember there was no dividend data available from them although (from memory) the price data was at least adjusted for rights/splits etc etc...hmmm
- Mon Nov 19, 2012 8:15 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 38943
- Mon Nov 19, 2012 5:07 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 38943
Chris67 mentioned these guys on another thread: http://www.iasg.com/groups/group/district-capital-management/program/diversified-program#all I had not come across this outfit before but apparently the lady who runs it began working in the business with her father in 1978. They are in a draw down of ...
- Sat Nov 17, 2012 4:44 am
- Forum: Money Management
- Topic: Shutting down our small fund
- Replies: 43
- Views: 38943
- Mon Nov 12, 2012 12:25 pm
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 9287
When Bonds Fall
To reinforce the concerns over data periods, the attached paper is of interest. CSI futures prices on the 30 year US Bond commence in 1977 (excuse my laziness but presumably from the commencement of T Bond futures). Thus available bond futures prices commenced only 3 years before the current 30+ yea...
- Sun Nov 11, 2012 8:45 am
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 9287
- Sun Nov 11, 2012 6:33 am
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 9287
http://www.globalfinancialdata.com/index.html
See if these people have what you need.
See if these people have what you need.
- Thu Nov 08, 2012 12:59 pm
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 12522
- Thu Nov 08, 2012 5:25 am
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 12522
Re: Trend Index
seems like all those drawdowns are making someone very cranky :D Obama has won and promised MORE OF SAME for next 4 years...I guess 4 more years of same for the systems too... :lol: Hardly surprising given this month's new max DDs. Chesapeake now at 35%, Estlander Alpha Trend 22%, Mulvaney 44%,Hyma...
- Wed Nov 07, 2012 6:12 am
- Forum: Money Management
- Topic: How to apply One Percent Risk on future?
- Replies: 7
- Views: 7468
Sorry, maybe I am being dense but I can't see your problem. You can not work out the risk on a futures contract without using the point value in some shape or form. If you want to use the notional value (eg currently $88,000 on one contract of Crude) fine. But you still need the point value to get t...