Search found 752 matches

by AFJ Garner
Fri Sep 30, 2005 12:55 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 11759

Reversal System

Hubster, you can still accurately manage risk and position size on a reversal system. You can still have and "hold" stops so long as you have a mechanism to get back into the market if you are stopped out. Take an N Day breakout: 90 day high to enter, 90 day lo to exit. You can attach a 2 ...
by AFJ Garner
Fri Sep 23, 2005 12:54 pm
Forum: Money Management
Topic: Eckhardt is better than Richard Dennis in money management ?
Replies: 7
Views: 10714

Don't just look at the annualised return or the MAR based on the whole history. Look at the performance over the past 5 years. Look at the performance over the past 10 years. Note the very high 1987 performance. Not knocking him, far from it. But you need to look further than the headline figures.
by AFJ Garner
Thu Jul 07, 2005 5:01 pm
Forum: Custom C++ or Java Platforms
Topic: Yet another ATS platform (Erlang)
Replies: 7
Views: 11039

Perhaps for those poor simpletons such as myself who know a bit about markets but little about technology you could explain, in simple English involving the use of as little computer jargon as possible, what it is you are offering (if indeed you are offering anything - the purpose of your post is, t...
by AFJ Garner
Tue Jun 28, 2005 7:09 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 12681

Sorry, I had not noticed the link! Thank you.
by AFJ Garner
Tue Jun 28, 2005 7:00 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 12681

Where can I find the Druz paper? On his website? Yes, re Jerry Parker, his views at that futures conference a couple of years ago were most interesting. Re 1 to 2 trades a year, I think one can take comfort from adding many more markets to the test and taking the total portfolio above 100 assuming a...
by AFJ Garner
Tue Jun 28, 2005 6:31 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 12681

Portfolio "selection" seems a very dangerous tool. I prefer the attitude that you should trade as many different futures as your account and your tolerance for portfolio heat will take. I am spending much time looking at individual markets and it seems as futile to predict when a market wi...
by AFJ Garner
Tue May 31, 2005 3:22 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 39467

Triple MA

I am using Trading Blox. I also use Trading Recipes.
by AFJ Garner
Sat May 28, 2005 3:54 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 39467

Both the triple and double MA work as well with a wide variety of "real" data as on the pre-supplied data over a very wide range of parameters. At least in my tests. At least in my opinion. It is most instructive to test individual contracts on a single contract basis in a non portfolio se...
by AFJ Garner
Sat May 21, 2005 4:08 am
Forum: Testing and Simulation
Topic: adjusted or not adjusted
Replies: 5
Views: 4900

CSI UA

Even within backadjusted contracts there are many different possibilities to test. Detrending for instance which puts a long time series in today's prices and, it is argued, helps to correct the long only bias in inflationary commodities which have risen over time. And price series where backadjusti...
by AFJ Garner
Tue Apr 05, 2005 4:40 am
Forum: Money Management
Topic: Timid Equity / Bold Equity - Position Sizing Method
Replies: 8
Views: 13035

Timid/Bold Equity

As Steady Jake said, the start date is vital. So it is for any system. If you are lucky enough to start at a favourable moment for your system (assuming it is a half reasonable LTTF with a sensible bet size and portfolio), your build up of capital will be rapid - especially risking 7.5% of Bold Equi...
by AFJ Garner
Fri Mar 18, 2005 8:45 am
Forum: Testing and Simulation
Topic: Has Trend Following Really Gotten Harder?
Replies: 10
Views: 13514

Hmm, I must say I wrote instituational brokerage research for Swiss Bank Corporation way back in the 80's. I have to tell you we were always only too pleased to have that chucked around in every way possible. It was our advertising, our calling card. That was its purpose. My less kind friends used t...
by AFJ Garner
Fri Mar 18, 2005 5:51 am
Forum: Testing and Simulation
Topic: Has Trend Following Really Gotten Harder?
Replies: 10
Views: 13514

Although I posted this also under "New Richard Dennis interview" I thought it worth repeating .........for those who like to follow the gurus. Here is an interesting quote from Ed Seykota dated 24th Feb 2005 (taken from his website) when asked the question whether he is still trading the s...
by AFJ Garner
Sat Mar 12, 2005 4:25 am
Forum: Trader Psychology
Topic: Overcoming bad habits acquired from day trading
Replies: 17
Views: 23278

And as I have often pointed out before, for the first few years of trend following, you may well NEED a day job. Unless you are well heeled enough or have other sources of income, it is likely to take a few years to build your account to the size where you can make regular withdrawals to live off. B...
by AFJ Garner
Tue Mar 08, 2005 10:35 am
Forum: Trader Psychology
Topic: Are You Suited to Trend Following
Replies: 42
Views: 82992

Market timing Sluggo and with the benefit of hindsight. Buy and hold when linked to market timing also involves prediction. Look what the same investments in the SPDR or QQQ would have done since January 2000 by way of example. While relieved that I have at least performed no worse than the Barclays...
by AFJ Garner
Wed Jan 12, 2005 4:33 am
Forum: Trader Psychology
Topic: Meditation
Replies: 32
Views: 38787

Meditation

Trade Wynds After 30 years of teaching and practice what stage have you reached? I recently read a Jack Kornfield book and suspect that sadly he, for instance, has not attained the ultimate goal. His work The Path of Heart does not reflect an equanimity in the writer. I would be fascinated to meet s...
by AFJ Garner
Tue Dec 21, 2004 5:01 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100524

Thank you TK for those most interesting references. While I suspect over a 20 year view things will look different it is certainly most interesting to see such a relatively good performace over the past couple of years.
by AFJ Garner
Mon Dec 20, 2004 1:57 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100524

I was also talking purely about mechanical systems traders. I guess I can be forgiven for the mistake of not making that plain, given the forum. To talk of the trading records of Kovner, Tudor Jones, Luis Bacon and so on was not my intention. For one thing I imagine they are mostly discretionary wit...
by AFJ Garner
Mon Dec 20, 2004 1:30 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100524

Yes, sorry Gordon, quite right,very sloppy of me. I should have made plain I was talking about longer termn trend followers in general. I have indeed looked at Crabel's funds for my own investment purposes and while you are of course absolutely correct about the MAR, the CAGR is lowish (from memory)...
by AFJ Garner
Mon Dec 20, 2004 6:29 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100524

As has been pointed out a number of times, you have to add back in management and performance fees to these CTA performances which of course improves MAR. But I have come to exactly the same conclusion as you have. Over the long term I am doubtful that such high MARs are achievable in the real world...
by AFJ Garner
Mon Dec 06, 2004 11:35 am
Forum: Trader Psychology
Topic: Cross roads..
Replies: 3
Views: 7284

At middle age, life for many becomes a spiritual journey in the broadest sense. You enter the world with nothing and leave with nothing and yet most of us spend (or have to spend) our entire lives in the pursuit of material gain or at least material subsistence. As life wears on, more of us seek ans...