Search found 109 matches
- Mon Nov 14, 2011 5:02 am
- Forum: Futures Markets
- Topic: Doing business in the post MFG era
- Replies: 13
- Views: 9450
- Thu Nov 10, 2011 8:44 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 26264
Re: Is Modern Portfolio Theory Dead?
Here is an amusing thread that takes (good) aim at Modern Portfolio Theory. ... Beta, the child of MPT, explains nothing. Correlations are not stable. In particular they are not stable in the face of changing 'volatility'. Return distributions are not normal by factors of millions in the tails. And...
- Wed Nov 09, 2011 2:23 am
- Forum: Brokers
- Topic: Need recommendations
- Replies: 3
- Views: 6208
Interactive Brokers allows customers (both US and Non-US) to trade on the LSE as well as many other exchanges throughout the world. IB could therefore be a starting point for your research. My accountant is always ribbing me about how many banks and brokerages I have my money spread over... fortuna...
- Sun Oct 16, 2011 6:11 am
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13475
Re: Turtle System for Tradestation 9 Easy Language
...will be using the turtle method of trend following with a few alterations of my own that have proven successful over the years... You might want to read this and related threads. http://www.tradingblox.com/forum/viewtopic.php?t=7301&highlight=turtle I have a variant of Turtle but it is writt...
- Fri Sep 30, 2011 11:17 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49820
A lot of people view CTAs in general and trendfollowers in particular as portfolio insurance, and the insurance policy will have a much worse pay out if you use targets. This is an important point I think. Which is - the customer wants to optimize his or her overall risk/reward. Even if the custome...
- Fri Sep 23, 2011 8:03 am
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
I will report back in due course. TLDR: A heap of research showed me that when stops and profit targets are quite tight, they can affect the skew and kurtosis of the monthly returns. But otherwise they seem not to. So Sluggo was right. My flippant comment was flawed. Ultimately the fact that the lo...
- Thu Sep 22, 2011 3:32 am
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
I will report back in due course. Sluggo I can reproduce all your results except for the profitability of the system. (You are right about the tenuous relationship between the skew on a per trade basis and the skew of periodic returns). The only things I can think of are a) I am using stops and pro...
- Wed Sep 21, 2011 11:55 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98882
Construction of the basket is a whole topic in itself. Rather like the argument against market cap weighting for stock investment, do you really want the great majority of your assets in USD or Yen or whatever? Or would you prefer a more equal weighted approach? I try to match my holdings to my exp...
- Wed Sep 21, 2011 11:35 pm
- Forum: Trader Psychology
- Topic: Beware the outside investor with the iron stomach...
- Replies: 5
- Views: 8531
- Mon Sep 19, 2011 10:29 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98882
Stopsareforwimps - I get a feeling your analysis / assumptions are going down the wrong path for adjusting historical returns for inflation You make some very good points. I agree it is quite tricky adjusting for inflation. My intention in this case was mainly to adjust the results curves to avoid ...
- Sun Sep 18, 2011 7:24 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98882
Re: Dead Turtles
As I stated in the article, main parameters used were as follows:... Could you clarify one point about the parameters of the modified turtle system? The original system had a rule which stated "ignore entry signals if the previous signal in that market produced (or would have produced) a winni...
- Sun Sep 18, 2011 7:17 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98882
For the sake of completeness here is Turtle 1970 to end 1990. Again using the same settings as in the article except for the end date of the test. Anthony would you be so kind as to post a table of the data that this graph is based on? I would like to do a version adjusted for inflation. Without ad...
- Wed Sep 07, 2011 7:41 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
It is a pity that human life is so short; if I had another lifetime ahead of me AI is very probably what I would focus on. Yes I think we about to enter the golden age of AI as computers finally catch up with the human brain's processing capabilities. It's been a long time coming. Last year I left ...
- Tue Sep 06, 2011 2:18 am
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
- Mon Sep 05, 2011 6:12 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
... phonies and blowhards... Please feel free to play around with this system and these ideas, in your own research. Download the code if you wish, duplicate the portfolio if you're so inclined. Fiddle around with the parameters, run some tests, and see what you can learn. It will be fun! It is fun...
- Sat Sep 03, 2011 7:05 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
On the other hand, if a profitable trader has a positive skew of monthly returns , it doesn't necessarily mean the trader rides winners and cuts losers. Sluggo I am impressed that you were able to come up with this example. Questions a) Is this a pathological case or is it representative of some cl...
- Fri Sep 02, 2011 10:34 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19849
MAR ratios of reporting CTA's. See attached image which graphs Compound Returns and Max DD against year of inception. My conclusions The distribution early on looks like a truncated levy distribution (like a normal distribution but with fatter tails). So it looks like there is a lot of survivorship...
- Tue Jul 05, 2011 4:52 am
- Forum: Money Management
- Topic: How to determine the optimial risk levels?
- Replies: 3
- Views: 4585
Re: How to determine the optimial risk levels?
...does anyone have any suggestions on how to determine the optimial risk levels for portifolio? ... Ralph Vince covers this topic in considerable detail - with a fair bit of mathematics - in his books. I don't think you can get around the need for math in this area. I liked this one best: "Th...
- Tue Jul 05, 2011 4:45 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49820
Yes - now I see. In my defence I had been coding all day.SimJimons wrote:Stopsareforwimps, I think you misread my post!
/Sim
I think we agree.
I am attracted also to the idea someone expressed that profit targets are another parameter in your system, thus an opportunity to curve-fit the past.
Tim Josling
- Mon Jul 04, 2011 5:40 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49820