Good Non Corrleated System

[Chris67]

Ok Here's an interesting one !!!

A system where you could invest 10%? of your equity into a long term system that is perfectly non - corelated to TF (-0.15). Its simple to use , only involves 1 single trade ever ! This system "appears" to make money in 95% of the months that my TF systems lose money looking back to 1992 - I belive this system could be improved by the use of reblancing during times when it has out-performed TF and when TF has out-performed it ! For example it could possibly have got you out of a chunk of TF positions and into positions that made very good money from Jan 2009 till now !

Im absolutely happy to post the system here but I want a firm commitment of some help on the rebalancing issues - at present I have a column of data that is effectively the spread between my TF systems AND this new system - I would like some help on mathemtical formulas I could use in Excel that can be set to rebalance automatically i.e. after a run-up / after a draw down - I dont believe that part of the process is quite as simple as it at first sounds - my excel work is okay but Im finding this one a bit hard and simply havent got the time!!

So if its a deal I'll post this ground breaking piece of work ?>

[sluggo]

Hope it works out, thanks in advance!

[Chris67]

Sluggo - Im being slightly fecetious - BUT I do have a system and it does make money in 95% of the months that TF loses - its all honest Guv.... promise

[Eventhorizon]

Chris,

You would probably want to use Ralph Vince's LSPM to explore part of this issue. Not something you can do in excel, but I could certainly do it for you in R!

PM me if your interested in exploring this further.

[CyTrend]

i've been staring at my screen for the last three days Chris. Has the deal been reached yet?

[Chris67]

HEHE - Not a sniff - Its working like a dream today - nobody wants to know though !!!