Traders' Roundtable

Sobering. And that of course takes no account of the survivorship bias. Correct...........I will post the figures WITHOUT survivor-ship bias soon (Barclay Hedge sells the "no longer reporting" data too)... Keep in mind this not only includes programs that blew up and are are out of busine...

For what it's worth, here is a link to the (sort-able) 10 year performances of all CTAs reporting to Barclay Hedge who also have a minimum of 10 years of performance history. I also used only USA based CTAs here for the purposes of speed and uniformity (I am suspicious of some non-USA based CTAs tha...

your paradigm seems to be LTTF. this is the trading blox forum. not the "LTTF or STFU!" forum. So kindly don't be an ass to me for endorsing another trader's efforts. just because lttf yields so-so performance figures , which incidentally i do not dispute with you, doesn't mean that peopl...

Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve ...

With regard to the mathematicians, it looks like they quickly learn the laws of marketing as well. Their task as successful hedge fund managers is to make people believe they have something special, the key to the secret misteries nobody else has. So, I believe that their interviews are just bullsh...

Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve a...

I'm not sure why, but I often wonder if paid internet advertising with Facebook, Adwords, etc actually reduces credibility of a business like ours... Good point......For me the honest answer is no with Google. I am a trading software-a-holic and often times while "shopping" on Google have...

Can you list some alternatives? I trade quite a few atypical markets (IE Malaysian Palm Oil, Japanese Rubber, Kerosene) and I am currently executing at 5 FCMs, of which 4 have been just fine. 1. RJO - Excellent (slightly irritated I can't place market on open orders, but service has gone beyond exp...

And another recent survey found that most Brits are drunk in their Facebook photos.

LOL! Whats that all about???

A common psychological mistake people make is to think that since X doesn't appeal or apply to them, it must not have much merit. While someone may not use FB, there are 800M accounts, many of which are active. Look at the stats on how long people spend on Facebook when they do use their accounts.....

neither of them are worth 10% of their market cap its a bubble and like every bubble before them they will pop the market learned nothing from 1999 HUH? 10% of Google's market cap would make it worth roughly 18 billion..They had nearly 40 billion in revenue last year.... [img]http://node_charts_pro...

Is it just me, or does anyone else not fully understand the Facebook phenomenon either? Am I just sour grapes, jealous of another’s success?? Comparisons are often made between Facebook and Google and the David and Goliath battle they are in for Internet dominance, but from my perspective Facebook...

Dean, There is something funky with those numbers. For example, if the data is for 5 years of returns, there are several entries where the compounded return is positive but the Sharpe is negative. Since arithmetic return is always greater than geometric (i.e. if compounded return is positive then a...

Dean thanks for sharing your thoughts in your blog (as linked above) I’m wondering if I am reading the tables and graphs correctly since the 2007-2011 values differ from table to graph For Emory Partners; The table ‘says’ 2002-2006 sharpe ratio = 1.48 and the 2007-2011 sharpe ratio = -0.02 Th...

LeviF wrote: I will play this game if you include the description of the program so I can throw out the option traders, cattle traders, S&P traders, stock pickers, short term, counter trend, arb, basically anything but LTTF. My question is why only LTTF and not the others? Is it possible you are...

Raj,

I am afraid you’re “in the trapâ€

There is no question that survivorship bias is a MAJOR issue. As far as I am concerned it is the industry’s “dirty little secretâ€

I was working on a blog post today and whipped together a few tables and charts I thought might be of interest to some. The general theme was to prove the worthlessness of most past performance statistics for CTAs. Primary target was the Sharpe Ratio, and frankly this tends to cover them all anyway....

I will post the correlations csv file if people are interested.

Very interested!

Also curious what you used to produced the "cool" animated graphic.....freeware? commercial product?

Thanks

Here is an interesting piece of data-mining freeware from a pair of Harvard and MIT students that helps find meaningful relationships in data. Data Mining Software Here is an introductory video about it: MINE Software Introduction I used it to find a lot of intriguing relationships in a 50,000 data ...