Traders' Roundtable

radidric I obviously simplified and misrepresented their works to elicit such a response. It is up to you to decide to use or ignore the information and work they have generously shared while still working in the industry (not academia) and managing some significant funds and allocations on various ...

Jez: Just an opinion from what I can see - don;t read too much into the New Yorker article and what they say about how Bridgewater trades. I have seen much more financially and hedgefund savvy publications get what goes on under the hood 100% wrong. Either they were purposely misled or fed a partial...

If you are really interested in correlations of trading strategies then look up the works by Emmanuel Acar and Pierre Lequeux where they derive what the correlations between trading rules (MA) based on length should be under various time series properties and then look at some of the empirical data ...

Chris, Yes the Tulip fund looks very good on their live record and in fact perhaps they are much smarter in how they approach the business. While you beat your head trying to convince people your TF fund is a good addition to people like BlueTrend, Winton, Transtrend etc the Tulip people just said -...

Chris, The Tulip Trend Fund I have seen only has a record back to 2003 so not 17 years. There are simulated returns back to 1993 but not actual trading results. Yes it is built off of a fund that has a real 17 year record - but Tulip itself does not have that long of a record of leveraging, timing, ...

From what I have heard from "reliable sources" the MTD performance of the enhanced risk program is -5.8% with a YTD performance of -4.2% as of today.

This is about average for large program trend followers.

Came across this quote from a Transtrend Q2 2010 performance update letter, "Another constantly changing factor that requires adaptation is liquidity. As markets grow and decline and liquidity shifts from one exchange to another, we aim to follow liquidity and add new markets where possible; wh...

Don't believe everything you read. I've noticed pork bellies on the list of tradeables for quite a few large CTAs and it does not compute given their size and the market liquidity. Most of these CTAs have been around for a while and I just think it is left over from when PB was more of a market one ...

Perhaps it is an inverse double double-corss and he really watches (Total Commissions) / (Net Profit) :twisted: Two things to keep in mind - is that they are heavily equity focused with an emphasis on stat arb type of strategies. So perhaps this is a way of steering away from strategies that live of...

Well somewhat related to this subject, I was rereading this article by Peter Muller of Morgan Stanley Process Driven Trading and thought it interesting that he prefers a deeper strategy vs a wider strategy, i.e. fewer better systems than many okay systems in order to maximize the IR. He specifically...

Wanted to start a discussion and share some results with members of the Blox community. In my search to diversify trading systems I use and potentially shorten my time frame I have been exploring the well known technique of a “break out from a reference point.â€

Stevo:

Do you have wait for everything in UA itself? If I remember correctly you must have it set via UA for it to impact EZ...

Of course things may have changed since I last tried this due to UA changes.

Jez, Take a look at DB Optimum Yield version of their commodity indicies - they look out upto 12 mos for the best contract at every rebalance point and go long that contract as part of their long only commodity index products. Since they do trade this index and there is an ETF I would think the liqu...

You may also want to do a search on bootstrapping and testing of technical trading systems for some insights into what people have done to validate the statistical significance of their trading systems vs pure luck (random data). It is a little different than what you are proposing since one does no...

I think it is more that the electronic facilities of LME and the markets made there are behind other markets. Thus IB doesn't participate (i.e. is not a member) when you must have a floor broker to get a good execution.

Many CTAs in the US trade LME, just be careful on what you use for slippage.

Yoyo2k, There was a blox posted that did calculate % daily return for a futures contracts assuming an unadjusted value (close, last bid, last ask) is also saved into the file. This method has some inaccuracies around the rollover date and you'll need to decide if that induced "error" is so...

I think I've posted on this once before in response to a Sluggo inspired thread... Do your own experiments and be comfortable with the results and understand them. In general there appears to be a band of correlation between price series where the correlation between trading systems is even less. Pe...

As you investigate futures vs spot keep in mind the following Differences in the close time from the different data sources - they maynot be the same. CME has the yield differential built-in while spot does not. Need to have good interest rate data and make sure it is accounted for in your cash fx w...

An interesting experiment that some might find enlightening would be to trade the same (or similar) contract in two different currencies and see how the same system performs on each. There was an academic paper quite a while back on this (don't have the reference off hand). Basically looked at coca ...

In addition to sluggo's answer you can get a feel for what you are trying to accomplish by examining the differences in returns from currency trend following indicies vs currency yield indicies. Something to think about as you code up the three tests mentioned.