Search found 20 matches

by Bravochico
Thu Aug 23, 2012 11:43 pm
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 6964

I've seen guys who cut size in drawdowns do mipuch worse. They whip saw their account into much larger overall drawdown.

I've also seen the opposite.




As far as I know, ralph Vince never really made it.


This entire issue needs to be reframed.....instead of same old proposition.
by Bravochico
Sun Jul 08, 2012 12:45 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 21270

Just some observations (typing on iPad watching Fed Murray, so excuse typos) There's no mention of exit issue with trend following. The trends are still here, but the "give backs" in unrealized pnl much more violent than before. Sure there are more false breakouts, but IMHO the real damage...
by Bravochico
Mon May 28, 2012 8:35 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 50166

That works on stocks.
by Bravochico
Wed Nov 16, 2011 11:24 pm
Forum: Trader Psychology
Topic: (Timely) Larry Williams Quote
Replies: 4
Views: 6336

@dph

I love that quote. Its so true. I also know friends who are in mf. Cme will have to make good on the shortfall or else they going to ruin the long term credibility of futures trading. Everyonenis only going to deposit bare minimum to cover margin. Fcm,s will be sending out 10x more margin calls then...
by Bravochico
Fri Nov 11, 2011 1:03 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 21939

Hft comes in all shapes sizes. The notion that it's market making based,co tar trend just isn't true anymore.
by Bravochico
Fri Nov 11, 2011 12:16 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 21939

Follow the money

Follow the money, ie who has been doing well, and that should glean some insight. As far as I know, hft traders are doing best over last 5 years. I'll just list some blink statements. 1. News data feeds have compressed trends 2. News data feeds now have tags on them which can be automated into strat...
by Bravochico
Wed Nov 02, 2011 4:48 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 9171

I'm cafe lounging in Europe at the moment.

When I get back, I'll dig up some examples but it will be a few weeks.

I'm not discounting the use of perp data, simply stating it's only a starting point and that I'd never put real money on perp data only. Never,ever.
by Bravochico
Wed Nov 02, 2011 3:56 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 9171

There was no firm figure for it, but it was big enough to cause concern. It's a case by case issue. The idiosyncratic details of your strategy will also effect it. Id love to be shown differently, but until then I would never base any conclusions on perp contracts. You gotta use raw contracts or som...
by Bravochico
Wed Nov 02, 2011 12:21 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 96032

Afj Garner brings up great points. A rougher ride is almost the rule, not the exception. When you deciding on your strategy, you also have to consider that there is high probability that you will do some tweaking to the strategy. I don't know any trader that has not made at least a few changes over ...
by Bravochico
Wed Nov 02, 2011 12:03 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 9171

I've heard a lot of arguments on how "properly constructed" perp contracts should eliminate this issue. Yet I continue to see discrepancies like coldfact. When TB is able to import raw contacts for testing, it will be a huge leap. I always use raw contracts for backtesting and almost witho...
by Bravochico
Wed Oct 19, 2011 11:42 am
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 12928

AFJ:
Good points.

By raw contracts, I'm referring to the PnL report being derived from the contract that one would have had to have traded at the point in time.
When I traded for Man London there, they would test on raw data.
by Bravochico
Wed Oct 19, 2011 11:04 am
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 12928

Good question again. There is more than one method. It depends on the strategy specifics. I'm not a lttf.

The point being that if one assumes continous data gives the same result as using raw data for backtesting, I've seen cases where that was both true and false. It's not a forgone conclusion.
by Bravochico
Tue Oct 18, 2011 7:43 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 12928

Good question. As I stated it usually inflates back test results, but not always. It depends on the strategy itself and it's look back and holding periods. I've seen many examples of this phenomena, particularly in smaller markets. I'd never trade any backtested strategy on continous data without lo...
by Bravochico
Mon Oct 17, 2011 11:56 pm
Forum: Testing and Simulation
Topic: Turtle System for Tradestation 9 Easy Language
Replies: 16
Views: 12928

Easy language code is very simple for this. What part you need? Why wouldn't you use TB? TS has no portfolio level testing unlike TB which was built with portfolio level testing as a priority? Extreme diversification is a must for turtles who want to survive over the long term. I hope you aware of d...
by Bravochico
Tue Oct 11, 2011 10:02 pm
Forum: Testing and Simulation
Topic: How do You De-leverage
Replies: 7
Views: 6214

You've also got to consider strategy evolution into the mix. When you back test deleveraging strategies it doesn't consider real life strategy evolution. I doubt few traders use all the same strategies over many years. I come up with at least a few new strategies every year and stop using older ones...
by Bravochico
Fri Oct 07, 2011 11:24 pm
Forum: Testing and Simulation
Topic: Market filter
Replies: 10
Views: 6913

It's price path dependent in the end, but most active strategies work better in rising Vix climate with perhaps option writing the exception.

I'd speculate a moving average of ATR would work just as well as Vix in paper above.
by Bravochico
Fri Oct 07, 2011 10:54 pm
Forum: Money Management
Topic: How to manage position sizing for option?
Replies: 5
Views: 7100

Use ultra share ETF s and,or futures. If you thinking about buying options to get your exposure you are in for a lot of problems. By leverage issues, I assume you are going to be a buyer of options. short sellers of option premium use little leverage. I've been trading a long time and I've seen some...
by Bravochico
Thu Oct 06, 2011 11:06 pm
Forum: Money Management
Topic: How to manage position sizing for option?
Replies: 5
Views: 7100

You should only use options for special situations. Trading options to get your exposure routinely is, well I just say that I yet to meet a rich option trader.
by Bravochico
Thu Oct 06, 2011 4:23 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 9331

I presented along side David in 2002. He had heat maps showing parameter combinations of moving average systems. I'm sure he has evolved as we all do, but he still a momentum guy. His track record better than most TFs, as he extremely well diversified in the true sense. Like Dalio said, after approx...
by Bravochico
Wed Oct 05, 2011 1:23 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 47258

Idiosyncrasy in markets

Hello, My 1st post, I hope I post this right. Good points on the age old problem of profit targets and trend following. Profit target testing assumes all markets behave the same way. A long held belief for back testers. Generally, I agree. Micro wise, smaller Markets more prone to rogue moves. To ta...