Search found 43 matches

by Toosday
Fri May 25, 2012 12:49 pm
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 7995

Chris, Thanks for the quick response. To anyone who reads my post, pls do not see it as an indictment of LTTF, I just think that the evidence, both anecdotal and numerical, points to the fact that speculators destroy trends. It is kind of ironic that the nature of trend following supports the fact t...
by Toosday
Fri May 25, 2012 11:16 am
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 7995

Is Trend Trading a "Bubble"

When we look at all of the characteristics of a bubble it is quite possible that trend following has all of the characteristics of a bubble right now. If you look at the IASG website and see the number of managed futures funds that employ trend following, it dwarfs most other categories of trading s...
by Toosday
Mon May 21, 2012 5:06 pm
Forum: Testing and Simulation
Topic: Exercise N° 1
Replies: 10
Views: 4131

Good idea. I did try this and got fairly close. I will have another go and see what happens. One issue is that I do think there was some discretion in that period as well.
by Toosday
Wed May 16, 2012 10:55 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 12834

Chris, You post is applicable to me as well. It has been a tough time. I can say that it has focused me and caused me to put a significant amount of work into my systems. In the end I am better for it. Sometimes I feel that trying dozens new ideas on the system and having none of them work is worse ...
by Toosday
Mon May 14, 2012 8:07 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 12834

I have to admit, Macro's post made my morning. Obviously drawdowns are not fun but to see this type of language (although I cannot really tell who it is coming from) is something that pops up every drawdown. Noone can really predict what will happen but I sure would rather be in my position than in ...
by Toosday
Fri Apr 20, 2012 7:39 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 12941

Mike,

I would rather not post specific details about myself on a message board but am happy to strike up a conversation over email.

Take care.
by Toosday
Fri Apr 20, 2012 4:20 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 12941

OK,

Maybe I misread something and if so I apologize. GL and thanks for sharing your experiences with the board.
by Toosday
Fri Apr 20, 2012 2:23 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 12941

Mike, As on outside observer a couple of things strike me about your last few posts. 1) The jump from a $10K account to a $250K account. 2) The desire to trade futures with a $10K account. With respect to "trend" trading futures on a 10K account. I would say that this is virtually mathematically imp...
by Toosday
Thu Apr 19, 2012 8:39 am
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 12941

Mike, If I can offer some advice, please focus on some of the softer issues as well. You really need to spell out your trading goals. Your assumed risk and the money you would like to make from trading really need to overlap. For me personally I have been making trading decisions for years and have ...
by Toosday
Wed Apr 18, 2012 4:00 pm
Forum: Testing and Simulation
Topic: Triple moving average...
Replies: 43
Views: 12941

This seems like a good discussion. I have to admit, I am a bit confused about your question with regards to starting capital. In my mind, that is really a loaded question. Is trading your only source of income? Do you trade outside money? What is your slippage assumption? How much $ do you want to m...
by Toosday
Fri Mar 30, 2012 9:28 am
Forum: Trader Psychology
Topic: Question to those of you who are full time system traders
Replies: 10
Views: 7895

It all comes down to savings, expenses and risk management. I keep a reserve of living expenses of x years separate from my trading capital. The biggest component of being able to trade for a living is no debt, IMHO.
by Toosday
Fri Mar 09, 2012 9:53 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 12164

This is an interesting subject. Based on my experience the volume data involved in testing should be related to the "return period" of the edge your system has. Meaning that if you depend on the extreme tail of the return distribution to generate returns then you need more data. Take the following (...
by Toosday
Sat Mar 03, 2012 10:44 am
Forum: Testing and Simulation
Topic: A practical question about coding the Donchian Trend system
Replies: 4
Views: 2825

As a suggestion, I do not believe having someone giving you the code is the best way to understand the Donchian system. Going through iterations of decision trees helped me understand the systems and their execution the best. There is no correct time or way to send orders as long as you test the way...
by Toosday
Mon Feb 06, 2012 10:26 am
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 40319

If you are a LTTF then you are prone to feelings of inadequacy, especially in light of returns like RenTec has produced I personally have these same feelings from time to time. However when I delve into my testing and take a step back I am reassured that I have done my homework and am comfortable wi...
by Toosday
Sun Feb 05, 2012 10:07 am
Forum: Futures Markets
Topic: Basics of Trading Futures
Replies: 4
Views: 2804

OK, I understand your situation better now. To second Paul's suggestion. I suggest reading this entire site. I have done so and many parts I have gone through dozens of times. Many of the people who are here or have been here are professionals and you can glean some information from the dialogue. I ...
by Toosday
Sat Feb 04, 2012 1:41 pm
Forum: Futures Markets
Topic: Basics of Trading Futures
Replies: 4
Views: 2804

First off, welcome to the board. It is a great group here and there is some wisdom to be gleaned. You post was obviously the result of some research and thought on trading so please take my comments in the most positive light possible. I had a hard time figuring out what exactly you were trying to g...
by Toosday
Sun Jan 22, 2012 10:02 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 20455

I have encountered the same problems with complexity and coding stock systems. The way I look at it is that is what I get paid for, to do the dirty work. It is frustrating and sometimes I take a few weeks away. The only thing I can say is that based on my work, the work you propose is cumbersome and...
by Toosday
Thu Dec 15, 2011 6:32 pm
Forum: Testing and Simulation
Topic: Risk Reduction = Poor Performance ?
Replies: 7
Views: 3660

Chris, When reading your post it sounds to me as if there are two issues. Uncertainty about the hit to returns by decreasing risk and managing your clients expectations. With regard to the second, I have found that their must be a reconciliation of utility curves (I define utility curves as the weig...
by Toosday
Fri Nov 18, 2011 7:27 am
Forum: Money Management
Topic: Will Notional Funding Now Become the New Standard?
Replies: 10
Views: 9312

I believe, the answer to the question of "how skinny you go" is a personal risk management one. In my case I found that doing some research in developing the distribution of required margin was a useful exercise because it forced me to recognize scenarios that do occur. Anytime you you notionally fu...
by Toosday
Wed Nov 16, 2011 9:32 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 20873

BO is soybean oil and FC is Cattle Feeder.