Search found 9 matches
- Thu Jan 08, 2009 3:36 pm
- Forum: Money Management
- Topic: Dynamic Portfolio Balancing Project
- Replies: 6
- Views: 7348
- Thu Jan 08, 2009 3:00 pm
- Forum: Testing and Simulation
- Topic: Simulating volatility
- Replies: 4
- Views: 3386
Re: Simulating volatility
For the purpose of creating synthetic price series, can anyone suggest algorithms that replicate the volatility clustering that real price series display? I picked up and flicked through Mandelbrot's book on the markets today at lunchtime. GARCH is a generalised model for generating clustered and t...
- Thu Oct 02, 2008 12:20 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29906
sluggo, I believe my coefficient of correlation is bigger than your coefficient of correlation! :wink: I don't have any futures data to hand, but your sample data is quite narrowly a bound agricultural contract. What would be a little more interesting is to examine something such as oil contracts fo...
- Tue Sep 30, 2008 8:31 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29906
Ok, I get what you are saying sluggo. And from what I see on these forums you are a successful and profitable trader, so I am just putting this as food for thought and am not meaning to correct anyone's thinking - rather point out a mathematical fact which I had been fighting with for quite a while,...
- Tue Sep 30, 2008 5:34 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29906
Have u heard of the the saying (what goes up must come down)Known in the trading world as cycles. Futures never go much higher than the last high simply because theres more money in the markets,but it still needs to cycle back down. Fundmentals,no thanks,,,the USD has weakened over the last few yrs...
- Tue Sep 30, 2008 6:04 am
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29906
Re: 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). Comments? I have a specific theory on this. Long term trend following is looking to typicall...
- Tue Apr 17, 2007 5:39 am
- Forum: Money Management
- Topic: How to actively adjust the portfolio?
- Replies: 11
- Views: 14099
The issue of portfolio rebalancing comes up both in the dynamic hedging/replication of options (via deltas), and the theoretical study of optimal portfolio weights (Markovitz, correlations, efficient frontier, etc). Uniformly practitioners in finance agree that periodic rebalancing is sufficient and...
- Sun Apr 15, 2007 3:36 pm
- Forum: Testing and Simulation
- Topic: Log normal returns of financial instruments and lack of...
- Replies: 2
- Views: 3350
A simpler way of expressing it is to say that one leverages up as an asset price increases, and one leverages down as it decreases. Implicitly this is due to traversal being approximately a log-normally distributed process, instead of a normally distributed process, however to talk of it in simpler ...
- Sun Apr 15, 2007 3:02 pm
- Forum: Testing and Simulation
- Topic: Log normal returns of financial instruments and lack of...
- Replies: 2
- Views: 3350
Log normal returns of financial instruments and lack of...
(...lack of symmetry of profitability of long vs short entries) Hi all, I'm pleased to be a new member of the boards. So by way of saying hello I will give you some background on myself. I guess I've been interested in trading systems since around 1993 when I worked for a Reuters subsidiary in Sydne...