Traders' Roundtable

Comparing equity curves levered to have the same max drawdown is an idea by Modigliani* and Modigliani. They reason: if you were willing to tolerate 41.6% drawdown without profit targets, you're also willing to tolerate 41.6% drawdown with profit targets, and why not avail yourself of the improved ...

td80 wrote:There is a lot of insight into the madness of the institutional mindset in this thread.

I would guess from context that he was using "sectors" in the same way I would have used the term "asset classes" to describe futures contracts on different types of instrument. - stock index futures - physical commodity futures (could be further subdivided) - bond futures - curr...

http://www.attaincapital.com/alternative-investment-education/managed-futures-newsletter/investment_research_analysis/380 You could do the same study with passive investments (like a 50/50 U.S. stock/bond mix) and I'm pretty sure you'd get the same results, their "buy a drawdown" is essent...

Re: 9th Vs 10th, remember that trending and momentum aren't the same thing - far from it! Currencies are a fine example. Yes, currencies tend to trend, because the economic variables that drive their movements tend to be stable over long periods of time. I don't personally need to know what the %#%$...

From a philosophical standpoint, are there really any discretionary traders?

Or are they all just systematic traders who suffer from a lack of proper documentation?

Chris67 wrote:...Gut feel overlay ...

My gut feeling is that I need to trade my $@^%#%&*$^ system and not (&(%$^*@# about discretion.

I've learned that my "discretion" needs to be confined to system design.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1656460 "New" --- ROFLMAOPIMP! That particular "anomaly" has been around since rocks were soft! Plus, the word "anomaly" is about as anachronistic ...

Along the lines of what Kiwi asked ... of the unprofitable markets, what do they have in common? Are they all physicals, currencies, stock indices, bonds? How is the profitability in the other markets of that type? I would say that if the system had nothing but unprofitable or breakeven performances...

I think a large part of the issue is that most practitioners find that “goodnessâ€

A complete discussion of modeling the whole curve is beyond this thread. You need to search for some academic papers on this, use Google Scholar, Repec, SSRN, or search at the Fed websites. Usually 5 year is between 3 month and 10 year, but much closer to 10 year yield. When the curve gets very flat...

It's there.
viewtopic.php?p=41472#41472

Probably better to keep it all on that one thread.

You can find “officialâ€

viewtopic.php?p=41374#41374

Above didn't work for you?

The typical state of affairs for any single currency’s rates is for the shorter term to be slightly lower than the longer term, e.g., the yield on U.S. three-month money is typically about 1.5% or so below the yield on U.S. ten-year money. The relationship in term rates is pretty much the same in ...

Hmmm ... I read about an old European "hedge fund" manager who passed along this "system" to a n00b many years ago. Basically, he invested in countries only if both their bonds and their overall stock index were "in trend" defined as the 50dma being above the 200dma. He...

OTOH selling fully-capitalized just OTM SPX puts looks VERY good if you don't have 1987 and 2008 in the backtest ... and if you DO have 1987 and 2008 in the backtest, it STILL looks PRETTY DARN GOOD compared to buy+hold the underlying index from 1986 through 2009. Sometimes we overstate the risks of...

As a colleague and I were discussing a while ago, when looking at MAR on IASG and comparing it to what you see in back testing, you should make sure you are comparing apples to apples. You must look at both your back tests and IASG figures GROSS of fees or NET of fees. DON'T FORGET TO TAKE OUT THE ...

My concern was spot signals and spot returns applied to futures. With spot signals and b/t futures returns, I think it's reasonably OK.