Search found 102 matches

by ecritt
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...
by ecritt
Fri Oct 06, 2006 8:49 pm
Forum: Brokers
Topic: Synthesis Bank?
Replies: 5
Views: 10133

Roscoe,

What are you trying to do? Calyon and Fimat have excellent coverage in Europe. IB has good coverage and dirt cheap executions.

ec
by ecritt
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

I used tickdata.com back in 2002-2003 for data on several indexes. I found it to be clean and their tickwrite program to be functional.
by ecritt
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
by ecritt
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...
by ecritt
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...
by ecritt
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...
by ecritt
Wed Jun 14, 2006 2:27 pm
Forum: Money Management
Topic: Question regarding volatility and preferable stock selection
Replies: 14
Views: 15844

Total return chart of TGB & DROOY:
by ecritt
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...
by ecritt
Wed Jun 14, 2006 1:34 pm
Forum: Money Management
Topic: Question regarding volatility and preferable stock selection
Replies: 14
Views: 15844

A long time ago I worked for a family office that had 5 traders. They all blew up spectacularly. I also had several friends/acquaintances that were "day traders" and "swing traders". They blew up too. I noticed that they basically did the same things: 1. They bought dips. 2. They...
by ecritt
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...
by ecritt
Wed Jun 14, 2006 11:31 am
Forum: Money Management
Topic: Question regarding volatility and preferable stock selection
Replies: 14
Views: 15844

Last year I published a study of a simple trend following strategy applied to every stock that traded on U.S. exchanges between 1983 and 2004 (all properly adjusted for dividends & corporate actions). Stocks were purchased the day after hitting new all time highs. They were exited the day after ...
by ecritt
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...
by ecritt
Wed Jun 07, 2006 1:15 am
Forum: Money Management
Topic: Question regarding volatility and preferable stock selection
Replies: 14
Views: 15844

Assuming that both companies were equally risky, then B would indeed be preferable. If stock A had a better covenant and balance sheet than B, then I'd say that A was probably the better trade. "Those who have knowledge don't predict. Those who predict don't have knowledge." Lao Tzu, 6th ...
by ecritt
Fri Jun 02, 2006 12:55 am
Forum: Money Management
Topic: Question regarding volatility and preferable stock selection
Replies: 14
Views: 15844

If you position size based on volatility (or distance to volatility derived stops) neither is preferable. They are essentially the same trade.
by ecritt
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...
by ecritt
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...
by ecritt
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...
by ecritt
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...
by ecritt
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...