Traders' Roundtable

A useful project to attempt would be to test trend following on an MSCI World type portfolio: using stocks not only from the US but from a large selection of world markets both mature and exotic. What a task. Especially if you are concerned with survivorship bias. And you would have to be a rather l...

Passive equity funds which track stock indices, be they exchange traded or of the mutual fund variety, have many advantages over actively managed funds. Few would seek to argue the point, although many would point out the superior performance of a small number of the latter. Two of the biggest advan...

I was passed a copy of an earlier and briefer Kat paper last year by Morgan Stanley on the same topic. Yes, I get the idea that you can replicate FoF returns using S&P 500 futures and (10 Yr?) Treasury futures. But if you search amongst Kat's Klingon Formulae and Copula(tion?) approaches, you ar...

One thing you might also add is a thought or two on start date dependency; which I am sure you have researched. You might also like to give us your thoughts on portfolio turnover and management. Particularly if you intend to go global, you have either got to have an extremely small allocation to eac...

Yes, it would appear that this is exactly the route that CSI have taken; I wonder why Pinnacle have not? I may say that I had to e-mail CSI first and ask whether this was to be done: there was no footnote either for the symbol HU or RB. I then had to use database/refresh price history in order to ge...

Barli I do not manage money for others - I have run a proprietory trading book since leaving the world of investment banking in 1992, sometimes with partners. I did launch a Cayman Islands fund at one stage, with partners, but their idea of fund management did not accord with mine and we parted comp...

Barli I have long thought about this and its "unpleasantness". It is not just that trend following or futures can be a hard sell. It is not just that a start up CTA with an 18 month track record and 10 cents under management will find it hard to get in the front door - hence the chicken an...

Fortunately, I had no position anyway. Nor have had for some considerable time. But I still feel a prat (don't look it up, its rude Englih slang). Thinking about it I imagine CSI will eventually decide to treat it like the Euro - splice in the old price history with the new under the new name? Maybe...

Very much appreciated, thank you. I have been meaning for some time to comb through all the exchange websites and subscribe to their e-mail news services and this has alerted me to the dangers of my sloth. Do you find any of the futures and commodities magazines helpful for this sort of news? Again,...

Can anyone less patently ignorant than myself (of which there are many) comment on the reasons for the drop off of interest in this market in terms of volume and how far out you can trade along the calendar? It is not just the drop in energy prices - look at Gas Oil on the IPE or at other energy vol...

Somewhere or other Sluggo made his usual thoughtful kind of post tabling correlations not of closing prices (or whatever) of the futures concerned but of the equity curves of different systems trading such futures. Which can be different and illuminating.

I was interested in CQG as a front end dealing platform and also as a back up data source. I am not even sure whether you can download their EOD data - I can't recall. But one problem is that their technical department could not explain to me the algorithms used to backadjust contracts. Which I felt...

I was recently re-reading Eric Crittenden's paper on long term trend following applied to stocks, which can be downloaded here: http://www.blackstarfunds.com/ . Eric quite understandably does not detail his money management strategy but dynamic portfolio selection seems crucial. The portfolio is not...

It's possible to construct systems for which "100% Total Equity Risk" is not a particularly useful or meaningful observation. +SLUGGO+ Sluggo is an excellent teacher. He likes to provoke thought and experimentation in those who listen to him. He also knows that it is possible to construct...

Rising open equity and a stop which does not move may increase theoretical on-going risk above start trade risk. Not that that in any way detracts from the point Sluggo makes.

"Good" volatility = profits for trend followers. A relatively smooth increase or decrease in price over a period. Bad volatility - price moving from A to B in a horrible jagged way = getting chopped to pieces. Dependant on one's timeframe. Kaufman argues that greater particpation in market...

Aye, its a b***er........

"So perhaps this thread should have been called something along the lines of "What positions are you holding and why?" "

I thoroughly enjoyed Dean’s most useful presentation and thought I would raise a few points which occurred to me. No criticism or offence intended – I just wish to open up a discussion. 1. Monte Carlo simulation is not an appropriate tool for selecting when to enter a CTA run investment unless t...

The older I get the more I understand and try to practice patience and tolerance. Not always as successfully as I would like but it is vital to make the effort. I have appreciated both Ted's posts and Dean's in the past. I do not feel that there is any danger whatsoever that this forum will go the w...