Search found 752 matches

by AFJ Garner
Wed Nov 07, 2012 4:43 am
Forum: Money Management
Topic: How to apply One Percent Risk on future?
Replies: 7
Views: 5034

I think there is a bit of muddled thinking here somewhere. First of all, as I am sure you realize, the statement "futures has a leverage at 10 times" is misleading. Leverage varies widely depending on market conditions and the particular instrument you are trading. In any event, in my book leverage ...
by AFJ Garner
Tue Nov 06, 2012 7:54 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 7901

I tell you another thing for free: unless you have a skill for discretionary trading, why bother fretting about it or the wretched index. Or indeed unless you intend to invest with other discretionary traders. I can't see the point in fretting about something you can't see, grasp or back test. There...
by AFJ Garner
Tue Nov 06, 2012 6:59 am
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 7901

Hmmm. Any ideas on how to understand this better - other studies, could there be hidden biases (eg. survivorship differences), definitional issues (eg how many in "discretionarly" index might actually be primarily systematic with slight "discretionary overlay"), LTTF proportion of systematic or tre...
by AFJ Garner
Sun Oct 28, 2012 2:05 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 9137

This leads us back to the most fundamental (and probably unanswerable) questions we have been discussing for some years about markets and trend following. The original Aberration was first marketed in 1993 and at that date, the no bells and whistles version back tested very nicely over many, many ye...
by AFJ Garner
Fri Oct 12, 2012 3:26 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 23648

Perhaps a man to put on "ignore". I can't really follow his reasoning (or is it just my bias that I do not care to?) but in any event he seems to be a man on a soap box. I have now spent a little more time looking at the site and searched the domain for the phrase "trend following". Having read quit...
by AFJ Garner
Fri Oct 12, 2012 1:57 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 23648

Very entertaining. He is certainly no fan of trend following: http://www.dailyspeculations.com/vic/go ... rview.html

You will also find a damning review on his site of a well publicized book on trend following.
by AFJ Garner
Thu Oct 11, 2012 12:03 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 23648

Anyone who thinks it is easy probably hasn't traded long enough. The random entry/exit tests I have been running recently certainly bolster the conclusion that TF has worked for a long period of time and I suspect it will continue to work. Especially when you throw random portfolios into the mix. Bu...
by AFJ Garner
Tue Oct 09, 2012 2:00 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 9131

Also look at the following post by Sluggo and my suggested amendments to his code:
viewtopic.php?p=56364#56364

Note - the above post is in a Customers Only section of the Trader's Roundtable forum -- Moderator
by AFJ Garner
Tue Oct 09, 2012 1:30 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 9131

I strongly suggest you investigate the superb work undertaken by various Forum Members on the following topics with code generously provided by said members: 1) Testing a given system with randomly chosen portfolios. 2) Testing random entries with trend following exits. 3) Testing trend following en...
by AFJ Garner
Fri Oct 05, 2012 4:04 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 7228

Maintain a separate portfolio in CSI called Test. In situations such as these create different varieties of continuous contract and observe the differences, if any. Create separate monthly contracts and compare them to the continuous contracts.
by AFJ Garner
Thu Oct 04, 2012 4:44 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 23648

reprogram our brains, so that we replace dysfunctional patterns from the past with more resourceful patterns Nurture versus nature is an endless debate with no clear conclusion in sight. I have gone through periods where I have believed in the plasticity of the brain and the ability to choose one's...
by AFJ Garner
Wed Oct 03, 2012 9:51 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 23648

Ed is full of useful, relevant and prescient advice. I rather doubt he has "blown up" as such. He has often talked of the devastating psychological effect of draw downs and the need to stay within one's tolerance levels. Somewhere or other I seem to recall a recommendation to play with no more than ...
by AFJ Garner
Wed Jun 13, 2012 12:23 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

I am very glad this thread has not, after all, been deleted in Management's latest purge. I had put a lot of thought into my post and was about to reveal what appeared to me to be a possible answer to the questions I raised when suddenly the shutters came down. Hey presto: 10 years of usually pleasa...
by AFJ Garner
Wed Jun 13, 2012 5:39 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Now i would take the 65.8 %DD portfolio and i would try to play on with parameters, stops or whatever. But would not be easier do these test on all 160 futures ? ( i do not count Lme) The total portfolio was indeed a large one out of which 25 were chosen at random and spread equally between sectors...
by AFJ Garner
Wed Jun 13, 2012 5:04 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

You could of course carry on this game until you had exhausted every single possibility but for what it is worth, here are some figures for 100 randomly generated 25 future portfolios, again evenly split between sectors. This time the tests end on 31st December 1999: CAGR ranges from 5.85% to 23.57%...
by AFJ Garner
Wed Jun 13, 2012 4:34 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Extending the random portfolio tests to 2012 (again starting in 1967) and using another 50 randomly generated portfolios each divided by sector in the same manner, produces the following figures: CAGR ranged from 7.84 to 19.99% MAR ranged from 0.13 to 0.57 Max DD ranged from 29.3% to 65.8% It is wor...
by AFJ Garner
Wed Jun 13, 2012 4:25 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Not a personal criticism at all Anthony, at the time who knew? I think personal criticism would be fully justified anyway, but I think this sort of "hang your dirty knickers out in public" is a useful and cathartic exercise. Many of the points you and others make have great validity. I have gained ...
by AFJ Garner
Wed Jun 13, 2012 4:18 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Applying 50 different randomly chosen portfolios to the system between 1967 and 2002, each consisting of 25 instruments, should have given me a more reliable picture of what to expect in real life. Each portfolio was (roughly!) equally distributed between 10 different sectors. MAR ranged from 0.20 t...
by AFJ Garner
Wed Jun 13, 2012 4:00 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Here is the definition of the Bollinger Band Breakout System copied from the TB User Guide: The center of the Bollinger Band is defined by an Simple Moving Average of the closing prices using a number of days defined by the parameter Close Average Days. The top and bottom of the Bollinger Band are d...
by AFJ Garner
Wed Jun 13, 2012 3:55 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 15107

Here is the without doubt curve fit portfolio I was trading with start dates: 30/12/1966 Corn-CBT(Floor and Electronic) 30/12/1966 CopperHG-COMEX(Combined) 30/12/1966 Wheat-Kansas City-KCBT 30/12/1966 Hogs-Lean(Floor+Electronic Combined)-CME 30/12/1966 Sugar #11 30/12/1966 Silver-COMEX(Combined) 18/...