Search found 29 matches

by SimJimons
Tue Mar 06, 2012 6:01 am
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 6471

Winton publicly stated a couple of years back that they aim for a volatility of 10% going forward. As they have added more strategies (and I would guess even a few short volatility ones) they have become more aware/afraid of "kurtosis risk" and consequently want to reduce average risk. However, they...
by SimJimons
Thu Mar 01, 2012 9:53 am
Forum: Testing and Simulation
Topic: Should one calculate ATR based on the back-adjusted series?
Replies: 2
Views: 1530

Yes, unless you want to introduce artificial volatility :D
by SimJimons
Tue Nov 22, 2011 7:12 am
Forum: Testing and Simulation
Topic: Can Google Predict the Markets?
Replies: 11
Views: 6338

Who's Steve Jobs?! :D

I was just trying to illustrate that one may draw very different conclusions depending on ones knowledge of the meaning of a specific word/phrase...
by SimJimons
Tue Nov 22, 2011 5:05 am
Forum: Testing and Simulation
Topic: Can Google Predict the Markets?
Replies: 11
Views: 6338

Try searching for "jobs"! Apparently a lot of people started to worry about their jobs in September/October 2011 :wink: I think it's an interesting idea, but it's very difficult to backtest and the words to look for will probably change over time. Anyway, thanks for sharing...
by SimJimons
Fri Nov 11, 2011 10:36 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 12675

Moto, I was sort of kiddin' with you! Obviously HFTs come in many shapes and forms. But, I still think the easy HFT money is/was made by providing liquidity, i.e. making the spread. I have a few friends that used to make serious money trading equities this way (with Sharpes of about 10) that are out...
by SimJimons
Fri Nov 11, 2011 8:25 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 12675

Moto moto, most HFT strategies are built around market making concepts, and as such they are trading against the trend. Hence, it might be a little difficult to blend HFT and trendfollowing in the way you proposed :P I agree with Chris67. Having said that, I do believe that the best HFT players will...
by SimJimons
Mon Nov 07, 2011 10:57 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 12675

Isn't the very fact that we're discussing the death of trendfollowing what makes trendfollowing work? I have no suggestions what to do going forward except doing what we have been doing so far. Why waste time speculating about something we will never find an answer to (until it's too late, that is)?...
by SimJimons
Tue Oct 25, 2011 3:44 am
Forum: Trend Indicators and Signals
Topic: Why spending too much time on forecast?
Replies: 5
Views: 4122

I probably don't understand your question but my answer would be that either you trust your forecast, and if so bet on it no matter what the current trend is, or you believe in trendfollowing, betting in the direction of the trend. Over the long haul, most people are unsuccessful doing forecasts, wh...
by SimJimons
Thu Sep 29, 2011 11:02 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 25430

Demon, while correlation is interesting, what it eventually comes down to is drift. You can have a correlation of 1.0 to competition and still manage to sell your product, as long as you deliver higher risk-adjusted return :wink:
by SimJimons
Thu Sep 29, 2011 7:17 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 25430

Chris67, can you please elaborate on your last two sentences, since I don't really understand what you mean? Thx...
by SimJimons
Wed Sep 28, 2011 4:27 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 33262

Perhaps you are onto something, but perhaps your clients don't want you to be onto that particular something?! 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. In addition, how do...
by SimJimons
Wed Sep 28, 2011 3:53 am
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 16268

If you are a really savvy asset manager you will start one share class today, hoping it turns out well, and another one in a couple of months if it doesn't :) When no one is looking you will kill the former share class, and whops you have an excellent entry to build your track-record on. Running thi...
by SimJimons
Mon Sep 26, 2011 11:42 am
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 16268

And don't forget about the "CTA second half effect", stating that CTAs almost always perform better during the second half of the year :D It's actually sort of true, but it's up to you to decide if you believe it to be real...this year too :P

I'm with Chris67, just get in there...
by SimJimons
Mon Sep 26, 2011 11:23 am
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 16268

What Schwager said, if I remember correctly, was that CTAs often show large draw-downs (don't we know :) ) and that they usually perform great after such draw-downs. However, he didn't come up with a solution as how to time buy decisions based on this knowledge (which obviuosly is the key, and sligh...
by SimJimons
Thu Sep 08, 2011 6:33 am
Forum: Testing and Simulation
Topic: Similar Systems / Different Luck in 2011
Replies: 15
Views: 5875

"But of course we all have our views, do our testing and make our own choices."

And that is what makes it so fun :)
by SimJimons
Thu Sep 08, 2011 3:52 am
Forum: Testing and Simulation
Topic: Similar Systems / Different Luck in 2011
Replies: 15
Views: 5875

Take a simple moving average crossover system. In my view a stop-loss or a trailing-stop is redundant in such a system since the system already have a built-in "stop", i.e. when the MAs cross. Obviously it is always possible to come up with a system that performs somewhat better than the above "nake...
by SimJimons
Wed Sep 07, 2011 5:05 am
Forum: Testing and Simulation
Topic: Similar Systems / Different Luck in 2011
Replies: 15
Views: 5875

I can't really understand why so many people use stops in their trendfollowing systems?! Stops don't provide an edge, they just change the distribution of returns. And in a world with transaction costs they not only change the distribution but actually end up eating into your capital. In addition, i...
by SimJimons
Wed Aug 31, 2011 3:31 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5915

Eventhorizon, to be exact, fixed percentage steps will not entirely make up for the bias you are talking about either. In fact, you will have to use the largest percentage step in the beginning, and then successively reduce it (fast in the beginning, slow in the end). As someone alluded to earlier t...
by SimJimons
Mon Aug 29, 2011 8:31 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5915

I wouldn't favour either fixed step nor fixed percentage parameter selection, if your intention is to pick more than one point on the Sharpe-frontier (or whatever you wish to call it). Instead I would go for "fixed" correlation. Obviously this means that we have to do some backward-engineering, but ...
by SimJimons
Thu Aug 18, 2011 4:18 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 25430

Obviously low correlation is good, in general. However, I've seen a lot of examples where people try to sell their system/fund on that premise, but once you disect what they bring it becomes evident that they are snake-oil salesmen. Recently I was approached by a "CTA" claiming to have very low corr...