Search found 33 matches
- Thu Mar 31, 2016 7:50 pm
- Forum: Forex
- Topic: Shorting options in FX
- Replies: 5
- Views: 12579
Re: Shorting options in FX
my former boss was also part of that gs macro prop team... u guys probably knew each other... must have been a phenomenal exp being part of it during very interesting times (even with the 1993 short vol blow-up).
- Sat Sep 26, 2015 2:42 am
- Forum: Forex
- Topic: Shorting options in FX
- Replies: 5
- Views: 12579
Re: Shorting options in FX
"I worked with a 10 man prop team that made about 1 billion dollars in 1993 .. they lost it all and more in one week in Feb. 1994 by being short fx options"
CSJ?
CSJ?
- Mon Aug 05, 2013 3:27 am
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 18736
Backtesting with R is a mixed blessing if you're dealing with EOD data because it drastically reduces the odds of curve-fitting via reckless optimization as you are massively disincentivized to even think of optimizing due to time constraints. Absolute nightmare for backtesting with single asset int...
- Mon May 27, 2013 2:49 am
- Forum: Trader Psychology
- Topic: What to do if you are fund manager?
- Replies: 22
- Views: 16379
- Wed May 15, 2013 11:28 pm
- Forum: Market Psychology
- Topic: Myers-Briggs Test for Systematic & Quantitative Traders
- Replies: 1
- Views: 6780
Myers-Briggs Test for Systematic & Quantitative Traders
Having taken the MB test on numerous occasions in the past few years, I've recently become curious about the most common personality types among systematic and quantitative traders.
INTJ here, go figure.
INTJ here, go figure.
- Sat Mar 16, 2013 10:18 pm
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 32494
- Tue Dec 25, 2012 8:49 pm
- Forum: Testing and Simulation
- Topic: Intra-day bars...
- Replies: 6
- Views: 5181
Re: Intra-day bars...
. . . 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that You mention that you are not interested in tick data however it's my understanding that you can use tick data to create whatever time format you might like....
- Fri Dec 14, 2012 10:24 am
- Forum: Trend Indicators and Signals
- Topic: Order of Importance for Resistance Levels?
- Replies: 1
- Views: 3531
- Sun Nov 25, 2012 11:00 pm
- Forum: Testing and Simulation
- Topic: David Harding Quote
- Replies: 9
- Views: 9082
From an older Winton pitchbook - perhaps this helps? May have an even more detailed presentation from back when they had less than $500MM AUM. Note as they have grown the marketing message and details have changed greatly but I have seen version of this slide in presentations as late as 2009. While...
- Mon Nov 12, 2012 1:06 pm
- Forum: Data Providers and other non testing software
- Topic: deep data history
- Replies: 10
- Views: 8646
This is just nuts. Need to get my hands on that somehow.AFJ Garner wrote:http://www.globalfinancialdata.com/index.html
See if these people have what you need.
- Fri Nov 02, 2012 3:37 am
- Forum: Testing and Simulation
- Topic: The last 7 years have been rough for LTTF
- Replies: 18
- Views: 12331
- Tue Sep 04, 2012 1:10 am
- Forum: Testing and Simulation
- Topic: Sharpe > 2.0?
- Replies: 6
- Views: 5356
- Mon Sep 03, 2012 12:50 pm
- Forum: Testing and Simulation
- Topic: Sharpe > 2.0?
- Replies: 6
- Views: 5356
Sharpe > 2.0?
Is it possible to build a medium to long term trend following strategy with a sharpe ratio > 2.0, or is this simply unheard of? I'm aware of the pitfalls of the sharpe ratio when concerning divergent strategies, however I'm curious. I think it would be possible, but one would have to blend it with s...
- Sun Sep 02, 2012 7:09 pm
- Forum: Testing and Simulation
- Topic: Multi-Model
- Replies: 4
- Views: 4403
- Thu Jun 21, 2012 1:10 am
- Forum: Testing and Simulation
- Topic: Fuzzy logic trend filter
- Replies: 7
- Views: 4655
- Tue Jun 05, 2012 7:22 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 17076
I have to admit, Macro's post made my morning. Obviously drawdowns are not fun but to see this type of language (although I cannot really tell who it is coming from) is something that pops up every drawdown. Noone can really predict what will happen but I sure would rather be in my position than in...
- Thu May 31, 2012 12:39 pm
- Forum: Data Providers and other non testing software
- Topic: Free sources of historical data
- Replies: 5
- Views: 6812
- Sun May 27, 2012 4:33 pm
- Forum: Market Psychology
- Topic: Is Trend Trading a "Bubble"
- Replies: 8
- Views: 10261
I was alluding to the same thing in one of my earlier thread (link below) and I still agree with Chris67.
viewtopic.php?t=9551
viewtopic.php?t=9551
- Sun May 27, 2012 4:22 pm
- Forum: Testing Software
- Topic: R Tutorials
- Replies: 4
- Views: 6545
Appreciate the effort to share those links, Babelproofreader. To proceed further: http://jeromyanglim.blogspot.ca/2010/05/videos-on-data-analysis-with-r.html http://jeromyanglim.blogspot.ca/2009/06/learning-r-for-researchers-in.html https://github.com/hadley/devtools/wiki http://www.burns-stat.com/p...
- Thu May 24, 2012 2:06 am
- Forum: Data Providers and other non testing software
- Topic: Free sources of historical data
- Replies: 5
- Views: 6812
Free sources of historical data
The only three I could find:
http://www.tradingblox.com/tblox/?page_id=218
http://wikiposit.org/p?futures
http://www.forexrate.co.uk/forexhistoricaldata.php
Interested in any viable alternatives.
http://www.tradingblox.com/tblox/?page_id=218
http://wikiposit.org/p?futures
http://www.forexrate.co.uk/forexhistoricaldata.php
Interested in any viable alternatives.