Search found 18 matches

by BuyHigh SellLow
Mon Apr 08, 2013 11:56 am
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18357

Maybe Richard Dennis said it best:
"When in doubt, do half."
by BuyHigh SellLow
Tue Apr 02, 2013 1:09 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18357

I'm borrowing a quote from my favorite CTA... "If not trend following, then what? Are you going to add to losing trades and fight price trends? You have no choice." Also, here is something I wrote earlier in an email to a TF friend of mine: I completely agree that the "liquidity for hedgers" argume...
by BuyHigh SellLow
Tue Apr 02, 2013 12:55 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18357

I'm borrowing a quote from my favorite CTA...

"If not trend following, then what? Are you going to add to losing trades and fight price trends? You have no choice."
by BuyHigh SellLow
Mon Sep 03, 2012 2:03 pm
Forum: Testing and Simulation
Topic: Sharpe > 2.0?
Replies: 6
Views: 2972

ed thorp says sharpe = 1 is as good as it gets.
by BuyHigh SellLow
Tue Jul 17, 2012 5:43 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13203

Ok, you've got that Atlas Rating on ZeroHedge... http://www.zerohedge.com/news/first-mfglobal-now-pfg-who-next If you're looking ok there [maybe only accept FCM's from the first 2 pages], then you do this: Assuming your client is hopefully just investing a portion of his/her LNW, say 10% [minimize r...
by BuyHigh SellLow
Wed May 30, 2012 11:41 am
Forum: Testing and Simulation
Topic: How many years in back testing?
Replies: 3
Views: 1767

sluggo, what can I say, you are pretty awesome. Easily half of my favorite TBlox Forum posts are ones you've written.
by BuyHigh SellLow
Tue May 29, 2012 1:50 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9365

I think the fund managers are very aware of the call option aspect of what they're asking clients for. Their response, often, if they have a long track record or deep pockets, is to tell you in their marketing materials how much proprietary capital they have. I mean, these are some big numbers, folk...
by BuyHigh SellLow
Tue May 29, 2012 12:16 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 9365

I, for one, have seen a pretty wide set of reactions to LTTF's poor recent performance. Interestingly, many of the CTA's are shifting away from it to at least some degree. Here's my problem with trend following CTA's shifting into more diversified strategies: Are they really built to provide alpha o...
by BuyHigh SellLow
Fri Mar 09, 2012 11:27 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9201

This is an interesting subject. Based on my experience the volume data involved in testing should be related to the "return period" of the edge your system has. Meaning that if you depend on the extreme tail of the return distribution to generate returns then you need more data. Take the following ...
by BuyHigh SellLow
Tue Feb 28, 2012 1:46 pm
Forum: Money Management
Topic: Avoiding/reducing taxes
Replies: 8
Views: 8608

If you have mid-six-fig+ income, you can create your own deferred comp plan.

Also SEP IRA contrib limits are high...$49k/year, which is huge.
by BuyHigh SellLow
Tue Feb 07, 2012 3:04 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21297

Sobering. And that of course takes no account of the survivorship bias. Correct...........I will post the figures WITHOUT survivor-ship bias soon (Barclay Hedge sells the "no longer reporting" data too)... Keep in mind this not only includes programs that blew up and are are out of business, BUT it...
by BuyHigh SellLow
Mon Feb 06, 2012 11:30 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21297

No complain Anthony, you know i love you : ) > Your biggest draw down is always in the future. Sluggo does not agree with you Maybe not but that does not influence me or change my mind. Take a look at the new lows reached by Tactical and Chesapeake. As for a low starting capital, take a look at Slu...
by BuyHigh SellLow
Sat Feb 04, 2012 1:26 pm
Forum: Market Psychology
Topic: Wall St Week. With Louis Rukeyser.
Replies: 1
Views: 2776

I miss Rukeyser. That show was my very first exposure to Wall Street.
by BuyHigh SellLow
Thu Feb 02, 2012 4:05 pm
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 34357

I'm not so sure they're overvalued...

They're approaching 1 billion users. If we assume that Facebook can extract $100 of PV out of each user (and that they don't add any more users), then I think a $100 billion value is pretty fair.
by BuyHigh SellLow
Tue Jan 31, 2012 9:54 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21297

rajivm I dont understand your point - show me a strategy with a long track record of making better returns I dont mean some little fancy short term strategy that has done well for 2 years as we all know where they end up ? Agreed the Rentechs of this World may have found the holy grail - they may h...
by BuyHigh SellLow
Fri Nov 04, 2011 12:47 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 11192

In an interview in 2000, Jim Simons stated that commodity markets used to trend nicely but don't any more. He was wrong (see gold for a good example). The day human psychology changes and people stop trading based on their emotions, we will have a problem. I don't see that happening any time soon. ...
by BuyHigh SellLow
Wed Sep 28, 2011 3:33 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23492

SURELY 2 TF's with correlation below 50% are not TF 's ? Seems carazy to expect 2 firms who both follow trends in global futures markets to have a correlation of less than 0.5 ? if tehy do something maybe wrong Once again Institutional investors looking for what probably doesnt exist ? looking for ...
by BuyHigh SellLow
Mon Sep 26, 2011 5:48 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30670

How do we determine that profit-taking is truly superior to letting profits run? Kind of a crude method follows: I'd say just compare the number of trades in 2 identical systems (one that takes profits; and one that does not). If we're getting better results taking profits and placing something like...