Search found 61 matches

by adamant
Fri Dec 04, 2009 8:22 am
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 7362

None that does not involve funnymental arguments. That being said, I sold all my gold stocks yesterday after a very nice ride. No doubt they will go much higher....
by adamant
Wed Oct 28, 2009 10:33 am
Forum: Futures Markets
Topic: Fund recommendations
Replies: 2
Views: 2460

Fund recommendations

Hi I'm looking into allocating some money to a diversified TF fund. I would appreciate it if forum members would recommend some funds worthy of further research, preferably with euro or other non-usd currency as the base currency (worried about the long term debasement of the USD versus NOK, which i...
by adamant
Wed Oct 21, 2009 5:02 pm
Forum: Testing and Simulation
Topic: Ladies & Gentlemen: Please prepare your responses.
Replies: 8
Views: 3854

As a graduate student in economics I can only agree with you. Surely the professors will come up with a model ripe with assumptions that support their initial biases and as a result successfully removes the whole discussion from the real world. Actually, several studies have been published in the la...
by adamant
Tue Oct 20, 2009 5:46 pm
Forum: Testing and Simulation
Topic: Ladies & Gentlemen: Please prepare your responses.
Replies: 8
Views: 3854

Superficially, I think it would be terribly naive to think any single indicator is the holy grail - and that testing 5000 rules to see if one might be is probably a relatively unproductive idea in the first place.

More seriously, I think you are both on the money with your initial points.
by adamant
Thu Aug 27, 2009 11:28 pm
Forum: Futures Markets
Topic: Looking for a grain index (some composite of wheat,corn etc)
Replies: 1
Views: 1988

Nevermind, I found one (DJ UBS Grains Sub Index)
by adamant
Thu Aug 27, 2009 8:56 am
Forum: Futures Markets
Topic: Looking for a grain index (some composite of wheat,corn etc)
Replies: 1
Views: 1988

Looking for a grain index (some composite of wheat,corn etc)

Any suggestions? I am trying to chart fertilizer prices vs grains, and I am away from my usual desk, so I can't create the a composite myself from here. Does anyone know an index that I could use that is a pure grain composite?
by adamant
Sat May 02, 2009 6:45 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 19418

Trendscatcher: I very much agree with you that at first, countertrend thinking was easier to accept. But after reading Soros on the subject, I have found a philosophical basis for embracing trend following as well, and to me, it helped to see a philosophical basis for trend following also. Because t...
by adamant
Tue Apr 14, 2009 10:59 am
Forum: Stocks
Topic: Thoughts on Century Aluminum Company (CENX)
Replies: 5
Views: 6155

Thanks Sluggo. Good post.

A
by adamant
Tue Apr 14, 2009 2:20 am
Forum: Stocks
Topic: Thoughts on Century Aluminum Company (CENX)
Replies: 5
Views: 6155

Some thoughts on the aluminum market if one wishes to take a "fundamental" view: Global production capacity is about 50m tons. Shutdown of production has brought current production down to 32m tons while demand is expd at 30 million. Assuming these numbers are correct, balance in the market is not f...
by adamant
Thu Mar 19, 2009 11:35 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 12265

An empirical study of serial correlation in stock returns

http://bora.nhh.no/bitstream/2330/1979/ ... 202008.pdf
by adamant
Wed Mar 04, 2009 9:58 am
Forum: Testing and Simulation
Topic: Interesting articles
Replies: 24
Views: 12265

"An Empirical Evaluation of Non-Linear Trading Rules"

http://papers.ssrn.com/sol3/papers.cfm? ... _id=286471
by adamant
Fri Feb 27, 2009 5:51 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 11878

And, finally, do you know of any magical filters I can use to select the best performing instruments and trades?
Not sure why you appear to be asking me this question.
by adamant
Thu Feb 26, 2009 6:54 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 11878

Also, there appears to be some inherent problems with leveraged etfs:

http://www.chartingstocks.net/2009/02/l ... #more-1118
by adamant
Wed Feb 25, 2009 7:05 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 11878

Alp: Regarding Crittendens work, which is very interesting: It is important to note that the test period includes one of the greatest secular bull markets of all time. Crittenden states clearly that the system performance on data from the seventies is substantially weaker.
by adamant
Wed Feb 18, 2009 11:03 am
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 9347

Hi Mats, thanks:

Are you fully automated or do you manually place your orders?
by adamant
Wed Feb 18, 2009 5:14 am
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 9347

Hi Mats:

May I ask what trading platform you are using?
by adamant
Tue Feb 17, 2009 5:19 am
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 11495

Thanks to everyone for sharing their experiences/thoughts with/on DRT.
by adamant
Fri Feb 13, 2009 2:47 am
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 11495

Moreover I suppose that empiricism also implies learning from other's mistakes.
I hope you're right Alp. This would certainly save me some time...I am sure I will make plenty on my own.
by adamant
Thu Feb 12, 2009 8:49 am
Forum: Money Management
Topic: Drawdown Reduction Threshold:
Replies: 18
Views: 11495

I am doing exactly that Sluggo. Also, I am not trading any systems in any market, btw. Merely trying to learn at the moment. I am not blind to the fact that in order to learn, you must test! However, as I am new to system design and trading, I value also discussions of principles. Insights and a bet...