Search found 66 matches
- Wed Aug 01, 2012 1:44 pm
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 25272
There's a part of me that expects it's just a matter of time until what has happened with MFG and PFG spreads into equity accounts somehow, somewhere. It may take the form of money market accounts that break the buck which quickly spreads. Few people have any clue that fund managers, money fund, st...
- Thu Jul 26, 2012 12:02 pm
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 10094
I'm familiar with this work. If anyone finds a good long-term list of securities that could be used as a proxy for the 10 sectors he uses, please list them. I found some good long ones on a monthly basis, but not daily. Along the same thinking, there's a good recent blog on this topic: http://cssan...
- Thu Jun 21, 2012 4:17 pm
- Forum: Testing and Simulation
- Topic: What to make of this chart?
- Replies: 19
- Views: 14078
There are so many good packages in R. I'm only starting to scratch the surface now.babelproofreader wrote:stopsareforwimps,
If you're looking for more statistically sophisticated tests than a simple rolling window back test, try reading the reference manual for this R package and the papers referenced in it.
- Thu May 10, 2012 11:23 am
- Forum: Testing and Simulation
- Topic: CTA Performance Index
- Replies: 28
- Views: 16817
Stock indices track market cap of the underlying securities. Using a similar view to equate a manager to a company, I would think you would want your index to trace their (your systems) equity curves/AUM. I'm pretty sure Hedge Fund indices due the same, except they are either equal weighted between ...
- Thu Apr 26, 2012 11:03 am
- Forum: Testing Software
- Topic: R Tutorials
- Replies: 4
- Views: 7279
- Thu Apr 12, 2012 3:13 pm
- Forum: Stocks
- Topic: LSE question
- Replies: 0
- Views: 4025
LSE question
Does anyone know if the London Stock Exchange provides a service to get companies financial statements similar to the SEC's Edgar system? SEC offers RSS feeds and FTP access to the data. I'm hoping the LSE (or FSA??) would have something similar. I've searched both sites and can't find anything. The...
- Fri Mar 02, 2012 11:14 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 59155
- Tue Feb 21, 2012 11:27 am
- Forum: Testing and Simulation
- Topic: How to start trading with only $10,000?
- Replies: 25
- Views: 16458
Re: How to start trading with only $10,000?
Stocks are of course another alternative, since you usually don't need that much to buy shares of stock. The difference with stocks is that companies come and go, and one has to monitor thousands of stocks every day, and in the process re-invent the whole notion of what a "trading system"...
- Fri Feb 17, 2012 2:05 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 41119
- Thu Feb 16, 2012 3:08 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 41119
- Wed Feb 15, 2012 11:47 am
- Forum: Testing and Simulation
- Topic: Sharpe Versus Annual Sharpe
- Replies: 7
- Views: 4700
Re: Sharpe Versus Annual Sharpe
can someone please explain the difference? also, why is the annual sharpe sometime lower and sometime higher? if so, can you do so with #'s, real of fake. thanks! Sharpe Ratio is: (Return - Risk Free Rate) / Standard Deviation of Returns How you define Return (Annualized, Total Return) and over wha...
- Wed Feb 15, 2012 11:30 am
- Forum: Money Management
- Topic: Avoiding/reducing taxes
- Replies: 8
- Views: 13437
- Tue Feb 07, 2012 12:19 pm
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 59155
- Fri Feb 03, 2012 10:00 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 59155
3. DPF -- You make great points, and I'm not going to argue them because in the end, I have the same personal experience as you with FB, and my LinkedIn experience mirrors yours as well. But enough people believe in the model that FB made $3.1 billion in ad revenue in 2011. If FB can make itself th...
- Thu Feb 02, 2012 1:50 pm
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 59155
- Thu Dec 29, 2011 3:04 pm
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 19385
- Thu Dec 08, 2011 1:21 pm
- Forum: Stocks
- Topic: Who manage my Fund after the end of my life?
- Replies: 5
- Views: 6991
I would setup some kind of trust. You can dicate the terms of the trust, how the money is managed and paid out. If interest rates weren't so low, I would suggest a Fixed Annuity. At current rates, your not getting a good income stream. Your a currency guy, right? How about a combination of currency ...
- Fri Dec 02, 2011 3:50 pm
- Forum: Forex
- Topic: How to know which countries are printing money?
- Replies: 12
- Views: 10048
- Thu Dec 01, 2011 12:18 pm
- Forum: Forex
- Topic: How to know which countries are printing money?
- Replies: 12
- Views: 10048
Re: How to know which countries are printing money?
I would like to know where to find data on printed money for different countries, does anyone have any suggestions? Thanks in advance for any suggestions It's easy. Create a list of all countries that have their own currency. That same list is will work for a list of countries that are printing mon...
- Tue Nov 29, 2011 1:14 pm
- Forum: Testing and Simulation
- Topic: Systematic options trading
- Replies: 5
- Views: 5808
Re: Systematic options trading
Dear TB community, I am trying to develop a systematic strategy on options and would love to hear opinions on its feasibility. Let's assume the strategy goes like this: 1. At the beginning of each month, select a strike +/- X from current spot level 2. Within this universe, get call/put prices for ...