Search found 102 matches
- Tue Oct 10, 2006 7:21 am
- Forum: Stocks
- Topic: Distributions of stocks
- Replies: 6
- Views: 13742
Distributions of stocks
I computed the terminal wealth and compounded annual rate of return for all stocks that traded on the NYSE, AMEX and NASDAQ between the years 1983 and 2006 (including delisted stocks). I did this on a total return basis (dividends re-invested). Attached are the resulting distributions. I am somewhat...
- Fri Oct 06, 2006 8:49 pm
- Forum: Brokers
- Topic: Synthesis Bank?
- Replies: 5
- Views: 10133
- Wed Sep 20, 2006 2:21 pm
- Forum: Data Providers and other non testing software
- Topic: Where to get accurate historical tick data?
- Replies: 16
- Views: 16927
- Tue Sep 12, 2006 11:32 am
- Forum: Data Providers and other non testing software
- Topic: Data Manager Software?
- Replies: 4
- Views: 6504
Dana at Dmaxx might have a solution; probably custom work though.
http://www.dmaxx.com/
MarketQA from Quantitative Analytics would probably solve it.
http://www.qaisoftware.com/marketqa_A.html
http://www.dmaxx.com/
MarketQA from Quantitative Analytics would probably solve it.
http://www.qaisoftware.com/marketqa_A.html
- Sun Aug 13, 2006 2:26 am
- Forum: Testing Software
- Topic: Trading Platform Selection
- Replies: 11
- Views: 12267
Hi ecritt, Out of curiosity do any of the other managers you correspond with use commercial packages? As far as commercial packages, Mechanica and TradingBlox are the most common. A few use SmartQuant, or Rina/TS combo. Haven't come across anyone using Tradersstudio yet. Many of these people are al...
- Sat Aug 12, 2006 11:05 pm
- Forum: Testing Software
- Topic: Trading Platform Selection
- Replies: 11
- Views: 12267
TS is worthless if you want to do any portfolio-level testing. Wealthlab is owned by a brokerage firm (Fidelity). I've spent the last few years interviewing and corresponding with several dozen systematic traders with respectable track-records that manage money professionally. None of them used Weal...
- Thu Jul 20, 2006 11:05 pm
- Forum: Testing and Simulation
- Topic: Portfolio Optimization
- Replies: 50
- Views: 46515
Forum Mgmnt, I am curious as to your thoughts on optimizing the same set of rules on a portfolio with different parameters for long and short entry and exit. Is this curve fitting, or do longs and shorts deserve different parameter sets? Thanks, rr I can't make a case for this with respect to short...
- Wed Jun 14, 2006 2:27 pm
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
- Wed Jun 14, 2006 2:22 pm
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
with very large stops you can go broke quickly as well *Not if total open risk at the portfolio level is kept under a certain number and is only allowed to move higher due to opportunity or profit.* Livermore and other great traders taught to never hold a position which shows loss from the start *N...
- Wed Jun 14, 2006 1:34 pm
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
- Wed Jun 14, 2006 12:44 pm
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
No, there wasn't any material difference in the results. If you are position sizing as a function of volatility (as well as using volatility derived stops) you are neutralizing its effect on the outcome; at least that is what the evidence suggests. I have no idea how to comment on the risk manager t...
- Wed Jun 14, 2006 11:31 am
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
- Sat Jun 10, 2006 12:17 am
- Forum: Testing and Simulation
- Topic: Market Data from 1920s
- Replies: 6
- Views: 6400
You might wona check out this. http://www.globalfinancialdata.com/index.php3 I think this service only goes back into the 1960's for U.S. stocks (same as CSI). CSI is an excellent service nontheless. You might try a product called MarketQA from Quantitative Analytics, also the CRSP database from Un...
- Wed Jun 07, 2006 1:15 am
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
- Fri Jun 02, 2006 12:55 am
- Forum: Money Management
- Topic: Question regarding volatility and preferable stock selection
- Replies: 14
- Views: 15844
- Mon May 29, 2006 1:25 pm
- Forum: Trader Psychology
- Topic: I Hate Myself
- Replies: 19
- Views: 24978
Nobody enters the speculative trading world armed with backtested results that lose money. Yet most traders fail in the long run. One must have an edge (most people do not). One must have effective money management (very few do). One must have the discipline to execute (only a tiny minority can). On...
- Fri Oct 08, 2004 3:28 am
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8889
I will also point out that CSI's Unfair Advantage allows one to adjust stock data for dividends. If you are using a long-term approach, backtesting on data that is not adjusted for dividends will lead to unrealistic results. The greater the dividend yield the more the error. If you are using liquidi...
- Fri Oct 08, 2004 3:09 am
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8889
I use CSI's Unfair Advantage and pay professional fees. The data I have goes back to 1962. CSI claims to have complete data, including delisted stocks, 99% of the time going back to day 1 of trading. From what I can see this is true. As for correlations, I have found that they are high (>70%) and un...
- Mon Aug 30, 2004 12:39 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 105104
Re: Index emulation
5. Accuracy of your historical price database (if not proportionally adjusted for dividends then its worth less than zero) I don't really understand this. Could you please elaborate? thanks, tobbe The vast majority of data providers and charting packages ignore dividends. For certain equities, like...
- Sun Aug 29, 2004 12:43 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 105104
Re: Index emulation
Hi all, I am a little unclear as to why you would end up emulating an index if you trade many of the strongest stocks out there. If you are picking stocks by a long term trend following methodology then you will stay with the strong stocks and sell the weak ones. Thus concentrating your holdings in...