Search found 22 matches

by DeanoT
Thu Oct 07, 2010 7:41 am
Forum: Futures Markets
Topic: Gold Blow Off Top
Replies: 6
Views: 3295

Trend is up. :D
by DeanoT
Thu Aug 19, 2010 5:54 am
Forum: Market Psychology
Topic: Profitability of System Types at Present
Replies: 11
Views: 10151

A trader well know to everyone in this small corner of the investment universe is invariably assumed to be a purely mechanical trader. A conversation with said trader and a CTA close to said trader a while ago revealed that although the trader has spent many years coding and back testing and lookin...
by DeanoT
Sun Apr 11, 2010 4:04 am
Forum: Testing and Simulation
Topic: New goodness function
Replies: 14
Views: 5428

I find the attached analysis from David Harding of Winton Capital to be a good summary of the limitations of using drawdown as a statistical measure of the quality of an investment or trading system.
by DeanoT
Tue Mar 30, 2010 5:28 am
Forum: Testing and Simulation
Topic: more money, worst mar
Replies: 5
Views: 3040

It seems that you have run the starting equity from $8m to $100m in increments of $1m. How many trades are there at the $8m level ? If the number is less than 28145 then this means that you would have had insufficient equity in your account to take all entry signals at the $8m level. The fact that p...
by DeanoT
Tue Mar 16, 2010 3:22 am
Forum: Testing and Simulation
Topic: Can Expectancy be positive and CAGR negative?
Replies: 3
Views: 2685

According to the Kelly formula, your optimal risk for the scenario you demonstrated is: Kelly = Win % - ((1 - Win %) / (Avg Win/Avg Loss)) = .5 - (( 1 - .5) /(1.02/1.00)) = 0.0098 or 0.98% Your example bet more than twice the optimal bet size (2%), hence the negative overall result. It might help to...
by DeanoT
Wed Mar 10, 2010 5:35 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 79120

Thought I would run a quick correlation analysis of the annual returns posted by AFJ to inflation data. Correlation Results below: 1970-1989: 0.45 1990-2008: 0.09 We often hear that the markets are harder these days, with more money in trend following programs, and greater volatility, but maybe it i...
by DeanoT
Fri Feb 26, 2010 5:44 am
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 27414

If I were creating a trading system to stand the test of time, I would want to create one which had the most substantial edge, or positive expectation possible. This would be my best bet against a system eroding to the point of break even, or worse. When you review trend following trading systems ov...
by DeanoT
Fri Feb 12, 2010 4:21 am
Forum: Testing and Simulation
Topic: Any profitable users of TB?
Replies: 18
Views: 9403

Eight years ago I knew a thing or two about the markets, but had no ability to translate that knowledge into profit. The two key factors in my transformation from knowledgeable to profitable trader were: 1) Market Wizards, and 2) Trading Blox Market Wizards, and in particular the interviews with Sey...
by DeanoT
Fri Oct 23, 2009 8:45 am
Forum: Testing and Simulation
Topic: Skip trade if last was winner
Replies: 9
Views: 5995

of far more interest to me than the rule and its discussion... ...is the fact that sluggo got the out of the box turtle system to generate a MAR of over 2 !!! even with highish leverage/risk i can't get anywhere near that with that system! Take note of the number of trades, and Sluggo's preference ...
by DeanoT
Mon Jun 15, 2009 11:56 pm
Forum: Testing and Simulation
Topic: Question for Trading Blox users
Replies: 14
Views: 8108

By definition, any system which has stood the test of time, and is currently (or recently) making new equity highs, will appear to be an attractive candidate for timing the start of your trading the system, or adding new funds, at the time of historic drawdowns. But what about all those other system...
by DeanoT
Mon Jun 15, 2009 11:43 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 39059

Very similar analogy to poker. Losing players who willingly take the worst of the odds will occasionally bust you, and frustrate you with their illogical thinking, but over the long term, they are the source of your winnings.
by DeanoT
Tue Mar 24, 2009 6:49 am
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 12903

Asamat I don't see anyone advocating trading with position sizes equal to the results driven by the use of the Kelly formula. But to dismiss the Kelly formula as irrelevant to money management is to miss the point entirely. Lets look at an example: System A has the following trade characteristics: W...
by DeanoT
Mon Mar 23, 2009 9:32 am
Forum: Money Management
Topic: simple money management...
Replies: 13
Views: 12903

Like many areas of trading, traders often hold many different, and sometimes conflicting opinions on optimal money management methods. I, for example, disagree with the author of the quote you provided. In my opinion, too much emphasis is placed on estimating the consecutive number of losses a syste...
by DeanoT
Thu Feb 26, 2009 7:24 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 12019

Leveraged ETFs/ETNs which compound daily certainly underperform over the longer term against the index they are intended to track, and as such are generally only geared towards short term traders. There are however, a number of ETFs/ETNs, including quite a few issued by Deutsche Bank, which compound...
by DeanoT
Thu Feb 12, 2009 7:26 am
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 11559

You can use the drawdown reduction threshold to do one of two things: 1) increase your position size as a drawdown emerges (like doubling your bets when you lose), or 2) you can trade smaller to avoid an even larger drawdown. The first scenario significantly increases your risk of ruin, while the se...
by DeanoT
Sat Jan 31, 2009 11:57 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 19483

You pose an interesting theoretical problem on robustness and data sufficiency, likely to be answered more by personal preference and gut feel than any proven scientific method. Before providing my answers to the above questions, I would first want to clarify the definition of robust. Dictionary def...
by DeanoT
Tue Jan 13, 2009 8:55 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 19627

The difficulty with being a trend follower is that you will never be the "genius" who picked the bottom of the bear market, or the top of the bull market. Only the weaker get traders will get to make that claim (on their fifth, tenth or twentieth attempt). Those same weaker traders will then ask you...
by DeanoT
Tue Jun 10, 2008 5:47 am
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 19869

Cograts on being able to predict the future ? Another scenario you may wish to consider Trend following has actually been awful / ish for the last 10 years ? Look at the performances of funds like Dunn and JWH over the last 5 years compared to their early years ?> Perhaps we are on the verge of a r...
by DeanoT
Fri Feb 22, 2008 5:31 pm
Forum: Testing and Simulation
Topic: Good system...
Replies: 7
Views: 6314

Also attached below is a sensitivity analysis on the slippage factor. Even at 100% slippage, the MAR holds on quite well.
by DeanoT
Fri Feb 22, 2008 5:15 pm
Forum: Testing and Simulation
Topic: Good system...
Replies: 7
Views: 6314

Sluggo The two systems are indeed the same, with different position sizes as you correctly assessed. Regarding the round turns per million, the figure is misleading, as the system is backtested over futures and stocks, which distorts the figures. It is a very long term trend following system, eviden...