Search found 8 matches

by Jason
Thu Dec 07, 2006 4:49 pm
Forum: Testing and Simulation
Topic: Contango and Backwardation in Data
Replies: 4
Views: 3259

Yes. You get the idea. A contango market with no underlying price movement will produce a downward sloping backadjusted price series and vice versa for a backwardated market. Backwardation is sometimes called "normal backwardation" as some believe that those who are willing to buy in the future need...
by Jason
Mon Nov 06, 2006 9:22 am
Forum: Testing and Simulation
Topic: Reverse technical analysis
Replies: 8
Views: 4650

Hi Neal, Welcome to the forum. I can really relate to your post as I have asked the same question of technical analysis myself. My answer provides a healthy perspective to operate within for ME . That answer is NO - technical analysis does not work. Rather, most on this forum use tested analysis . T...
by Jason
Mon Oct 30, 2006 6:25 pm
Forum: Stocks
Topic: Systematic equity funds? CTA's that trade stocks?
Replies: 18
Views: 20059

Eric, As I understand it, Campbell & Co. no longer offers capacity in their FME Large Portfolio. Rather, they offer a Multi-Strategy portfolio which is 70% FME and 30% long/short stock strategies. According to the latest stats I have, the performance from Nov 2003 - April 2006 looks as follows: FME ...
by Jason
Fri Jul 28, 2006 8:11 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33764

Rabidric and Stan, You both touch on either end of something I often reflect upon when developing trend trading systems. There is a continuum with "optimal trading system that makes buckets of dough from return" on one end and "optimal trading system for attracting business to make buckets of dough ...
by Jason
Thu Jul 27, 2006 6:28 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33764

Sign at the local drycleaner:

Cheap, Fast or Good - pick any two.


Trend trader's version:

Return, Robustness, Low Risk - pick any two.

:D
by Jason
Wed Mar 08, 2006 1:49 pm
Forum: Testing and Simulation
Topic: Risk Reward Ratios
Replies: 6
Views: 4842

I believe that the optimum trading model and the optimal business model are two different things. In my opinion, those focused on the optimum trading model are going to be focused on maxing CAGR while (possibly) minimizing the risk of elimination. As I am buliding a business, I aim to strike a balan...
by Jason
Wed Dec 14, 2005 6:58 pm
Forum: Brokers
Topic: Commissions
Replies: 9
Views: 8490

Commissions

I currently execute trades myself either electronically or via email and pay between $3 and $10 RT with Goldman Sachs. I am investigating establishing a FIX connection ( http://www.fixprotocol.org ) that would take my TBB orders file or my Mechanica orders file and effectively "Robotrade" for me. I ...
by Jason
Fri Jun 03, 2005 1:03 pm
Forum: Testing and Simulation
Topic: Data history: how many years back is useful?
Replies: 5
Views: 3508

Using CSI is a good decision. A number of years ago when I first ordered CSI, I took a day off from my job at the time figuring that I would be able to just set it up and start testing. I ended up taking the rest of the week off. I could have somehow got my hands on a portfile.adm file and moved on....