Search found 110 matches
- Tue Dec 15, 2009 6:40 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
A quote from the infamous chapter What the professionals have don e, by Ralph Vince in The Handbook of Portfolio Mathematics : [...]The concept of using an array of parameter values is also rather widely thought to help alleviate the problems of what parameter values to use in the future, based on h...
- Tue Dec 15, 2009 6:33 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
I very much agree. Nor do I think any high degree of statistical or mathematical expertise is required in all this beyond some commonsense appreciation of such basics as adequate sample size and so forth. Which is fortunate, since I do not possess any. Same here. :) That's why we can hopefully coun...
- Mon Dec 14, 2009 9:37 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
- Mon Dec 14, 2009 8:58 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
Re: Quantification of system robustness
[...]trendfollowers are fond of the long-option-like positive skew of this system type, but when the return profile is based on rare events, such as the once- or twice-a-decade-trade, what can we really, STATISTICALLY, say about these returns? Anyone in the biz knows that the rarer the event, the h...
- Mon Dec 14, 2009 8:09 am
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
This post by sluggo is a nice match for the thread: LINK
- Sun Dec 13, 2009 2:21 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20763
I do know for certain, that we don't know for certain if any system can be robust forever. I believe that some things about the market will be constant, simply because it's a market of human individuals and human nature is constant (at least over our lifetimes). I also know for a fact, from researc...
- Tue Dec 08, 2009 9:25 pm
- Forum: Testing and Simulation
- Topic: Curve-fitted portfolios and portfolio optimization
- Replies: 2
- Views: 2421
- Tue Dec 08, 2009 8:19 pm
- Forum: Testing and Simulation
- Topic: Curve-fitted portfolios and portfolio optimization
- Replies: 2
- Views: 2421
Curve-fitted portfolios and portfolio optimization
When testing do you avoid curve-fitted portfolios completely, or instead admit some portfolio optimization ? By portfolio optimization I mean choosing parameter values based upon the actually traded portfolio, even though a larger portfolio or even completely different markets might be used to valid...
- Sun Nov 22, 2009 7:40 pm
- Forum: Trader Psychology
- Topic: It's boring to trade a system; how do you use your time?
- Replies: 13
- Views: 17222
Zen and the Art of Poker is a great book in this regard.azkurz wrote:Play poker
- Thu Sep 10, 2009 7:54 pm
- Forum: Trader Psychology
- Topic: It's boring to trade a system; how do you use your time?
- Replies: 13
- Views: 17222
- Thu Jul 16, 2009 8:29 pm
- Forum: Testing and Simulation
- Topic: Is the built-in Donchian system too good to be true?
- Replies: 24
- Views: 17818
As for better systems to be discovered, they are out there. There are long term trend following systems whose performance did not degrade over the past several years. While I cannot go into the specifics of those systems... With the due respect, I don't see any evidence in your posts that you have ...
- Mon Jun 15, 2009 10:30 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
Re: Trendfollowing works on any asset class
They seem to only be interested in confirming their existing belief structure. It’s amazing, but true. It's funny how irrational and emotional markets can be in our collective attempt to fundamentally justify any action or market move, as if we were that much rational in the first place. Perhaps ...
- Sun Jun 14, 2009 9:22 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
Re: Trendfollowing works on any asset class
The problem with them is no drawdown or risk controls. They are betting that the parameters they use to pick stocks never go out of favor enough to cause catastrophe. Could you elaborate on what you mean by "drawdown or risk controls"? Do you think guys out there like Eckhardt Trading or ...
- Sun Jun 14, 2009 4:58 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
Re: Trendfollowing works on any asset class
Unless you improve your entry/exit timing, and be willing to be in/out until your position is protected(by short term profit). The vast majority of the market's gains have come from a small minority of stocks. If you miss these you miss the gains. The only way to ensure participation in these stock...
- Fri Jun 12, 2009 2:19 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
- Thu Jun 11, 2009 10:36 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
Yes, we've tried everything from 10 day highs to 3 year highs to all time highs, in 5 day increments. Performance is nearly the same from 2 year highs to all time highs. It starts to deteriorate when you move to the left of 1.5 year highs. The deterioration is due to opportunity cost at first. When...
- Wed Jun 10, 2009 10:31 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52621
The randomness argument doesn't hold water for long term trend following (in my opinion). See pages 3 and 4 in the following document: http://michaelcovel.com/pdfs/TrendingStocksDriveTheMarket.pdf Also, the high degree of correlation (especially in declining markets) can be used to your advantage i...
- Tue May 26, 2009 10:13 pm
- Forum: Testing and Simulation
- Topic: Trading My Own System's Index or ETF
- Replies: 2
- Views: 2377
- Mon May 25, 2009 10:29 pm
- Forum: Testing and Simulation
- Topic: Trading My Own System's Index or ETF
- Replies: 2
- Views: 2377
Trading My Own System's Index or ETF
Rather inspired by the current mania of trading funds or "trend following" of "trend following" funds, and also concerned about the rather volatile appearance of my system's equity curve, which I deem quite robust, I decided to do an experiment: I programmed the system to write a...
- Sun May 17, 2009 3:38 pm
- Forum: Trader Psychology
- Topic: Sluggo's Remorse Ratio
- Replies: 9
- Views: 16342
The mechanical trader executes her system faithfully, flawlessly and, more important, emotionlessly. There is no emotion involved in the quantitative, programmed algorithm. So, unless a T-888 terminator-like trader designs and runs the system, eventually some emotions might try to express themselves...