Search found 102 matches

by ecritt
Fri Dec 26, 2014 2:53 pm
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 4273

Re: Trend Following Without Rates?

I've been hearing the same concern for several years now. A couple of observations/comments: 1) When I eliminate all fixed income futures from my portfolio, the simulated results do not change much. The annualized return drops by less than 1%. This is because in a world with no Bonds or STIRs, the o...
by ecritt
Thu Feb 13, 2014 4:29 pm
Forum: Futures Markets
Topic: Futures vs. holding the underlying
Replies: 2
Views: 2441

For markets that have sufficient arbitrage, you can expect to approximately match the "total return" of the underlying asset, using a futures (or forward) contract, IF, in addition to holding the futures contract, you invest in "risk free" debt instruments, an amount equivalent to the notional value...
by ecritt
Thu Sep 26, 2013 6:56 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18388

I find it helpful to ask a related question. Assuming a guaranteed winning system (long-term), how likely is it from random chance alone , that at some point during a 30 year experience, a drawdown will occur that is both double the magnitude and double the duration of what is typical? Consider the ...
by ecritt
Tue Sep 04, 2012 6:37 pm
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 2974

Sluggo, You offer 3 examples of programs that enjoyed sharpe ratios greater than 1.0, but are not included in the sample used for the chart. I would counter with the suggestion that there are probably hundreds, perhaps thousands of programs that suffered sharpe ratios well below 1.0, perhaps even ne...
by ecritt
Tue Apr 17, 2012 12:47 am
Forum: Testing and Simulation
Topic: Difference in data
Replies: 4
Views: 1965

The settlement price is the official final price for the day. It is what shows up on your statement. It is what profit & loss and margin calculations are based on. Each market is different; sometimes there is a "settlement committee" involved in the calculation, especially for illiquid markets. This...
by ecritt
Mon Apr 16, 2012 11:16 pm
Forum: Testing and Simulation
Topic: Difference in data
Replies: 4
Views: 1965

The settlement price is safe. The open interest is safe. Everything else is a quagmire that takes a considerable amount of time to figure out...and is subject to change without notice in the future. Note: I only use the settlement price and open interest for simulations and real life trading.
by ecritt
Sun Sep 18, 2011 6:55 am
Forum: Trader Psychology
Topic: Any DON"T DO lists for trader?
Replies: 9
Views: 6043

Don't have unrealistic expectations. Don't let wants take precedence over needs. Don't think it's different this time. Don't think you are too late or too powerless to do the right thing.
by ecritt
Fri Aug 26, 2011 4:42 am
Forum: Data Providers and other non testing software
Topic: CSI Stock Data: Reliability of Start Dates?
Replies: 20
Views: 17655

Hmm, sorry about that. Perhaps this is what I was thinking of: http://www.tradingblox.com/forum/viewtopic.php?t=3300&highlight=blackstar Also see attachment. Alternatively perhaps the whole thing was in my failing imagination. Also, this research I feel is illuminating. Our real edge is in not owni...
by ecritt
Thu Aug 25, 2011 9:40 pm
Forum: Data Providers and other non testing software
Topic: CSI Stock Data: Reliability of Start Dates?
Replies: 20
Views: 17655

As we can safely assume that there will never be a perfect solution for clean data what's the best alternative? What if we add an average volume filter? That should weed out most of the rubbish. I have read Ecritt's paper and I am not convinced that delisted stocks (i.e. survivorship bias) is a maj...
by ecritt
Fri Jul 15, 2011 6:11 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12111

MAR ratios of reporting CTA's.
by ecritt
Sun Jun 12, 2011 7:26 pm
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4545

This is why I don't use "rolled" contracts. The Dec and Jul contracts represent different products with different supply/demand realities. Why must they be treated as if they are mutually exclusive? You could spread your risk across both of them. In fact, you could spread your risk across all the ac...
by ecritt
Thu May 19, 2011 8:16 am
Forum: Futures Markets
Topic: Japan futures, contract lifetime liquidity distribution...
Replies: 23
Views: 9978

Fascinating insights; thank you.
by ecritt
Tue May 17, 2011 2:51 pm
Forum: Futures Markets
Topic: Japan futures, contract lifetime liquidity distribution...
Replies: 23
Views: 9978

It looks like the exchange forces people to overweight their participation in the deferred contracts via position limits. Any idea why?

http://www.tge.or.jp/english/contract/c ... zuki.shtml
by ecritt
Tue May 17, 2011 2:49 pm
Forum: Futures Markets
Topic: Japan futures, contract lifetime liquidity distribution...
Replies: 23
Views: 9978

hi longmemory, If I'm understanding you correctly, you are suggesting that Japanese traders are somehow participating in the interest rate differential between the Yen and some other currency by holding positions in Japanese futures contracts, that are priced in Yen? And it has something to do with ...
by ecritt
Sun May 01, 2011 4:34 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13131

Great source for data on "sectors" and/or "industry groups": http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html Also...the Fidelity select funds are an excellent "proxy" for today's ETF's and most of them have total return data going back to 1987. I've done a tremendous amount ...
by ecritt
Sat Apr 09, 2011 2:14 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78358

@ ecritt , you mentioned the CANSLIM funds falling out of the game, I'm curious, do you think they ignored the market-timing trend component of the system? After all, if they were truly following CANSLIM principles, shouldn't they have been in cash for most of the crash? [Edit: oh SNAP! Even if the ...
by ecritt
Fri Dec 24, 2010 6:34 pm
Forum: Futures Markets
Topic: Japan futures, contract lifetime liquidity distribution...
Replies: 23
Views: 9978

Japan futures, contract lifetime liquidity distribution...

The distribution of liquidity (open interest and volume) over a contract's lifetime appears to very different for commodities in Japan, relative to commodities traded in other countries. Typically, an individual futures contract begins trading with very low levels of open interest and volume, which ...
by ecritt
Sun Nov 21, 2010 8:15 pm
Forum: Testing and Simulation
Topic: What is a good/realistic MAR for a trading system
Replies: 9
Views: 5296

after fees, generating a MAR of 1 would have you breathing very rarified air. On a dollar-weighted basis, without adjusting for survivorship bias, I consistently come up with an average MAR ratio of 0.65 for reporting CTA's. It's closer to 0.75 if you equal weight instead. Using the 50 longest runn...
by ecritt
Sun Oct 10, 2010 6:47 pm
Forum: Testing and Simulation
Topic: Five test cases for Correlation studies
Replies: 3
Views: 2606

Nice work. The panel 2 exhibits illustrate why I do not reward a "lack" of correlation. It simply does not convey the information that people think it does. An excellent book on the history and origins of correlation:

http://www.amazon.com/Lady-Tasting-Tea- ... 0716741067