Search found 19 matches

by Eric Winchell
Thu Jun 26, 2008 10:55 am
Forum: Testing and Simulation
Topic: Post-drawdown performance
Replies: 7
Views: 4741

I don't plan on trading the equity curve beyond the start date because it is an indirect way to explain what is happening. The drawdown of a system represents something about the market. In trend following it represents a period of low volatility or non-trending conditions. Now, the question is are ...
by Eric Winchell
Wed Jun 25, 2008 11:10 pm
Forum: Testing and Simulation
Topic: Post-drawdown performance
Replies: 7
Views: 4741

Post-drawdown performance

I tested subsequent performance from drawdowns in a system with a MAR ratio of 1.42. Trading commences on the first date of a 25% drawdown and ends a year from that date.
by Eric Winchell
Tue Jun 24, 2008 10:49 am
Forum: Testing and Simulation
Topic: Checking live performance
Replies: 2
Views: 2628

http://www.youtube.com/watch?v=5ZT_nrrpe8c Don't get any big ideas They're not gonna happen You paint your smile And fill the holes There'll be something missing Just when you found it It's gone Just when you feel it You don't It's gone forever She stands stark naked And she beckons you to bed Don't...
by Eric Winchell
Mon Jun 23, 2008 8:41 pm
Forum: Futures Markets
Topic: Energy Speculation hearing today at 11am
Replies: 2
Views: 2690

Not a side note at all, RedRock. Obama is the most likely candidate to "fight" high oil prices with increased margin requirements and higher taxes on 1256 contracts.

SIDE NOTE: John Templeton revoked his U.S. citizenship in 1968 to avoid paying U.S. income taxes.
by Eric Winchell
Mon Jun 23, 2008 7:39 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21345

Solong -- arguably all real assets have an upward drift as a result of inflation. The current boom in the Prices of Everything can be partially explained by the lag of prices responding to the expanded money supply of the last 20+ years. A few years ago I remember taking the CRB index and adjusting ...
by Eric Winchell
Mon Jun 23, 2008 7:00 am
Forum: Futures Markets
Topic: Energy Speculation hearing today at 11am
Replies: 2
Views: 2690

Energy Speculation hearing today at 11am

Energy Speculation: Is Greater Regulation Necessary to Stop Price Manipulation? – Part II
Subcommittee on Oversight and Investigations Hearing, 11:00 a.m. in room 2123 Rayburn House Office Building

http://energycommerce.house.gov/cmte_mt ... s.List.pdf
by Eric Winchell
Mon Jun 23, 2008 6:54 am
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21345

I wouldn't hesitate to trade short in a large account because logically it's less systemic risk and provides some price shock protection. In a smaller, aggressive account I'm leaning toward trading the higher expectancy until the lower risk is more affordable. The issue is that the higher required m...
by Eric Winchell
Mon Jun 23, 2008 1:48 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 35482

Trend following in stocks often puzzles those who wonder why it doesn't work like it does in futures markets, but maybe it's not such a big mystery. Richard Dennis reduced this to stocks being "more random," but there is a simpler explanation: stocks, especially stocks of a single country, are corre...
by Eric Winchell
Mon Jun 23, 2008 1:19 am
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21345

> I trade forex, so being long/short depends on the arbitrary order you put the pairs together. levijean -- I have thought about that and my argument doesn't stand up in the cased of cross rates unless you consider (and you might not) that in most crosses the reserve currency is psychologically impo...
by Eric Winchell
Fri Jun 20, 2008 3:13 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21345

I'm almost willing to buy the portfolio theory argument but consider that by trading all the margin-to-equity ratio almost doubles and the average total risk profile increases. Do you really feel good about using twice the leverage just to get a slightly higher MAR ratio? And in some cases, the vola...
by Eric Winchell
Fri Jun 20, 2008 2:56 am
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21345

The short side and trend following

I haven't been super creative, but I've yet to find a traditional trend following or breakout system that has any edge at all on the short side using data back to 1984 for 60+ markets (aggregate portfolio). The reason seems obvious enough: trend following rules favor a particular type of uptrend tha...
by Eric Winchell
Sat Jun 14, 2008 3:53 pm
Forum: Money Management
Topic: Piecewise % per trade based on equity
Replies: 2
Views: 3858

Risk percentages aside, the principal of it seems natural. Take more risk now, less risk later. It's considerate of the idea that the system's worst case might be just ahead. If it's useful in the first place, the most useful way to trade the equity curve might be day one. Start with higher risk dur...
by Eric Winchell
Fri Jun 13, 2008 8:32 pm
Forum: Money Management
Topic: Piecewise % per trade based on equity
Replies: 2
Views: 3858

Piecewise % per trade based on equity

Hidden genius in Mark Johnson's old PGO system: Bet a variable percentage of equity on every trade Make the variable percentage equal to 2.0%, times "A" where "A" is an "aggressiveness" factor. When the account is small, we will be aggressive. When the account is big, we will be unaggressive. Calcul...
by Eric Winchell
Thu Jun 12, 2008 9:45 am
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 18509

The long-only question is compelling. The obvious clue is that if something can go up an infinite amount but has a limited downside by nature, why participate on the short side if there are enough long trades to put the capital to work? It seems much more likely that "good" volatility can occur in a...
by Eric Winchell
Wed Jun 11, 2008 11:00 pm
Forum: Stocks
Topic: Vietnam bust
Replies: 1
Views: 4125

Vietnam bust

A perfect storm of enthusiasm, inflation, credit expansion, and government intervention to stem the mania has created a stunning downward spiral in Vietnam. This is a country that has great prospects and will continue to benefit from its natural resources and proximity to China. A turnaround might t...
by Eric Winchell
Wed Jun 11, 2008 7:48 pm
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 18509

The question I aimed to raise by pointing out unlikely DD's: What are the things that improve sustainability most with trend following? The three that stand out to me are conservative leverage, diversification among markets, and diversification among strategies (which, with little evidence, I feel a...
by Eric Winchell
Tue Jun 10, 2008 5:18 pm
Forum: Testing and Simulation
Topic: Trading Blox vs Tradestation
Replies: 5
Views: 4743

TradeStation's portfolio management and conditional abilities don't compare to TB's modular approach. TradeStation was once an innovative and competitive testing environment (one of the first retail packages) but they started to go downhill when the software became a sales platform for the brokerage...
by Eric Winchell
Mon Jun 09, 2008 11:09 pm
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 18509

It's a good point that assignment of "good" and "bad" to particular periods requires a clearer definition of the strategy on account of the different ways there are to follow a trend. The media refers to hedge funds as returning something for a particular year but the statistic isn't very useful whe...
by Eric Winchell
Mon Jun 09, 2008 12:09 am
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 18509

Will you survive?

1994 is the worst period for long term trend following in my testing. Stock markets were consolidating, interest rates were reversing, and on average things were flat for the rest. Too much leverage was fatal in this period, and funds that experienced losses saw a client exodus like they'd never see...