Traders' Roundtable

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 ...

Excellent book, thanks!

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...

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...

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...

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...

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...

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...

The best source of information I found was Morgan Stanley's now outdated world guidebook attached. No price data but you have got all the tickers etc.

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...

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

I'm trying to "let go", in the Jimmy Sloman sense lol, of attachment to my market past. It's still very valuable, all that experience, but being attached to it will likely create a large potential for downfall going forward. It's hard, but I'm trying to see it for what it is. We may and p...

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 ...

Dead or not (and I don't believe it is dead) things HAVE changed. It is more difficult to make money out of trend following over the past decade. Increased noise and less "efficient" trends coupled with the increased correlation mean that you need to lower leverage and volatility to avoid ...

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...

Wow!!!! & Double WOW!!!! Gold & Silver cash prices back to 1252!!! (Testing a dual moving average crossover system with slow MA=200 years and 'fast' MA=20 years would be fun) Yep, very interesting stuff. Bear in mind the further back you go the prices will be monthly or yearly. Bear in mind...

http://www.globalfinancialdata.com/index.html
See if these people have what you need.

Quite right of course, I stand corrected and withdraw the inappropriate use of the word “modernâ€

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...

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...