Search found 343 matches
- Thu May 31, 2012 1:04 pm
- Forum: Money Management
- Topic: Advanced money mgmt techniques?
- Replies: 15
- Views: 19721
CALL ME cynical but in my opinion these markets are abnormal and it would be suicidal to use old MM techniques in the current abnormal environment. In my opinion the safe thing to do at present is reduce position sizes, reduce risk, and disregard the vast literature of MM which (in my opinion) is no...
- Tue May 29, 2012 3:34 am
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18543
Jason I think maybe splitting your cap in half and trading 50% in what has worked best in the Long term and 50% what has worked best in the last 5 years maybe best ? You have to be careful not to end up chasing performance - to a small degree I did that a bit - i shifted to a much longer term TF str...
- Fri May 25, 2012 12:38 pm
- Forum: Market Psychology
- Topic: Is Trend Trading a "Bubble"
- Replies: 8
- Views: 11713
Toosday I totally agree and have in my own inevitable way been saying it for ages (i.e. Winton is also indicative of the bubble) When Winton raises about a billion per month every month for a year, when Covel's site is so brimming with over-confidence, when everyone is a supposed trend follower then...
- Wed May 16, 2012 12:29 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18543
- Wed May 16, 2012 12:28 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18543
i feel sickened by the whole thing at present it isnt the draw downs that hurt - not to expect them would be ludicrous as a trend follower - its the outlook going forward that really hurts - I cannot see this market environment altering course for a while and that is teh ugly bit - it would be quite...
- Wed May 16, 2012 5:13 am
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18543
I have recently added a mean reversion strategy or two - in small size - to the overall portfolio - its bloody tough to find them that offer anything worthy and i ceratinly wouldnt walk away from the mean reversion strategies and just let them run as I would do with trend following systems I concurr...
- Mon May 14, 2012 5:19 am
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18543
DEpends on if you think human nature has changed - it hasnt therefore it may just be a case of riding this crap out for another 1 week - 18 months before teh markets let go and unwind in spectacular fashion whereupon i imagine trend following will clean up as it did in 2008 and all the short vol / m...
- Fri Apr 27, 2012 2:59 pm
- Forum: Testing and Simulation
- Topic: CTA Performance Index
- Replies: 28
- Views: 16968
if you want an index of trend followers as opposed to CTA's which as we know is a broad all encompassing meaningless term, then I publish a monthly Trend Followers Index- ive been publishing it for many years - its consistent and has dead funds in in to - then PM me and I'll add you to the distribut...
- Mon Apr 02, 2012 5:38 am
- Forum: Trader Psychology
- Topic: Question to those of you who are full time system traders
- Replies: 10
- Views: 11529
YOU CANNOT TAKE OUT ANy insurance against the unknown - also you may put part of your money in trend following systems, some in short term systems, some in long term investments and some in long only equities - and still lose on all of them ? My opinion would be to set up such that if you have a los...
- Thu Mar 15, 2012 4:40 pm
- Forum: Testing and Simulation
- Topic: Most of us are using insufficient data for testing
- Replies: 25
- Views: 16425
well said AFJ But I do think that people like Curtis were not stupid as if you remember he said - always expect the un-expected and then you will never be wrong !!! We are at a real crossroads arent we - it really looks and feels like TF is in trouble - but we just aint gonna know for a few more yea...
- Sat Mar 10, 2012 2:52 am
- Forum: Testing and Simulation
- Topic: Most of us are using insufficient data for testing
- Replies: 25
- Views: 16425
I think this could prove to be one of the most valuable posts ever put on this forum - I'm not sure everybody will understand why Without doubt we do not have enough data - 30 years is a miniscule time frame in the history of what has gone before and what is to come and it may well be that Trend Fol...
- Thu Mar 01, 2012 2:15 am
- Forum: Testing and Simulation
- Topic: Complimentary system to Trend following
- Replies: 20
- Views: 12915
- Wed Feb 29, 2012 3:58 am
- Forum: Testing and Simulation
- Topic: Complimentary system to Trend following
- Replies: 20
- Views: 12915
BEING Short my p/l for the last 14 months was a great trade - and no offence taken I find it unbelievable nobody has asked me about my system - absolutely genuine - 1 trade 25 years and makes money nearly all the time TF doesnt and negative correlation and positive expected outcome ? come on guys .....
- Fri Feb 17, 2012 7:24 am
- Forum: Trend Indicators and Signals
- Topic: Interesting Divergence Data
- Replies: 2
- Views: 5617
FWIW I update a monthly index of TF funds - which some people on this forum have asked me to send them - our own TF Index as it were One thing I have noticed over the last year or so is the very large amount of money going in - obvioulsy mostly to Winton I work on a very simple methodology backed up...
- Tue Feb 14, 2012 3:29 am
- Forum: Testing and Simulation
- Topic: Complimentary system to Trend following
- Replies: 20
- Views: 12915
I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know The best thing about this system was it has had 1 trade in 30 years so the commissions and sli...
- Tue Feb 14, 2012 3:26 am
- Forum: Testing and Simulation
- Topic: CL rolled to Dec12
- Replies: 2
- Views: 2330
- Mon Feb 13, 2012 1:57 pm
- Forum: Testing and Simulation
- Topic: Historic Rollover Rates
- Replies: 2
- Views: 2152
- Mon Feb 13, 2012 12:36 pm
- Forum: Testing and Simulation
- Topic: Historic Rollover Rates
- Replies: 2
- Views: 2152
Historic Rollover Rates
Is it possible to see the rates at which teh system "actually " rolled contracts i.e. teh Buy (sell) of teh previous month fill and teh sell (buy) rate of teh new month ? just so I can compare what Im doing to teh system ? Is it a print statement of some sort as these rates are not shown i...
- Mon Feb 13, 2012 1:33 am
- Forum: Futures Markets
- Topic: US Residents Can't Trade Foreign Futures?!!
- Replies: 21
- Views: 13887
- Mon Feb 06, 2012 3:08 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 41623