Search found 43 matches

by Toosday
Fri Nov 04, 2011 9:54 am
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 15456

I thought I would share two things that I consider in my portfolio construction that I believe have limited observations in the data that we (and the market) use to make our decisions. I no doubt that there are many more changes but these are two that I have been thinking about. The first is that th...
by Toosday
Thu Nov 03, 2011 2:35 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 15456

I have done a bit of research in this area and I for one am not going to call trend following dead. I do believe that the entire monetary system is dysfunctional right now because we are not seeing the movement of funds that we would normally see. Zero interest rates and wide open monetary policy ha...
by Toosday
Wed Nov 02, 2011 10:49 am
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 7019

I believe the reason this happens is that the "price insurance" premium embedded in the futures prices decreases as time to delivery decreases. By rolling earlier your premium is not reducing at the rate it would as delivery becomes closer. I would think this would be observed on long contango contr...