Search found 66 matches
- Thu Nov 10, 2011 4:55 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 23825
Is it dead? Nope. It's too ingrained into to institutional (Pension, Endowment, etc) manager's way of thinking. Add in the fact that the CFA is basically based off of it, although they are getting better. It will be here for a while. I think the smart managers have known the issues for a while now a...
- Wed Nov 09, 2011 9:42 am
- Forum: Brokers
- Topic: Need recommendations
- Replies: 3
- Views: 4960
Interactive Brokers allows customers (both US and Non-US) to trade on the LSE as well as many other exchanges throughout the world. IB could therefore be a starting point for your research. Here is the IB page for LSE products containing 2477 stocks (you can check to see if your ETF's are amongst t...
- Tue Nov 08, 2011 8:43 am
- Forum: Brokers
- Topic: Need recommendations
- Replies: 3
- Views: 4960
Need recommendations
Looking for a broker to handle non-US client that allows me to trade listed securities (mainly ETFs) on at least the LSE, access to other exchanges are a plus. This will be for an entity based out of Singapore. Being based in the US, I'm looking for a good starting point. I know that I can google pl...
- Thu Aug 25, 2011 2:37 pm
- Forum: Money Management
- Topic: Any idea about how to find the formula for 3 items?
- Replies: 5
- Views: 7321
- Wed Aug 24, 2011 12:33 pm
- Forum: Money Management
- Topic: Any idea about how to find the formula for 3 items?
- Replies: 5
- Views: 7321
- Tue Aug 09, 2011 9:59 am
- Forum: Testing and Simulation
- Topic: Trend Following and Financial Maths (Brownian motion, etc.)
- Replies: 14
- Views: 8656
Re: Trend Following and Financial Maths (Brownian motion, et
My take ... Yes. Trend following is about trying to identify a trend and jumping in on it. There is no correct way to identify a trend. If you can find some complex stochastic process or what ever that can do it, then your good. On a different note, there have been comments by well known trend foll...
- Fri Jul 29, 2011 11:58 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 17951
- Thu Jul 28, 2011 3:23 pm
- Forum: Testing and Simulation
- Topic: Trend Following and Financial Maths (Brownian motion, etc.)
- Replies: 14
- Views: 8656
Re: Trend Following and Financial Maths (Brownian motion, et
This may be a long shot, but I'll give it a try. Does trend following have anything at all to do with what people learn in financial mathematics -- things like Brownian motion, the Black-Scholes model, stochastic processes, etc.? Can the two be linked together in any ways? Have some interesting res...
- Wed Jul 13, 2011 3:35 pm
- Forum: Money Management
- Topic: The turtle sizing rules are flawed
- Replies: 8
- Views: 8327
- Fri Jun 24, 2011 4:56 pm
- Forum: Testing Software
- Topic: "Raw" results data export from TBB / automated dai
- Replies: 7
- Views: 6704
Math-for-fun: calculate the average run-time for ONE of those 100,000 trading system simulations. If 14 parallel copies of Blox can compute 100k simulations in 13hrs 15mins of wallclock time, how long for 1 copy of Blox to compute 1 simulation (on average)? It's been a long day but I will give it a...
- Thu Jun 02, 2011 11:29 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 19874
Didn't save the original doc, how did it change the performance? Also, sounds like you not looking for how to assign rank based on your examples. It seems more like what matrix/value is worth ranking. There are a ton of different things to rank. Returns RSI % above/below moving average There are var...
- Wed Jun 01, 2011 10:50 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 19874
- Wed May 04, 2011 3:56 pm
- Forum: Testing and Simulation
- Topic: How to realise the system is obsolete
- Replies: 7
- Views: 5435
That's a tough question and I don't think there is a correct answer. I also feel it depends on the system. If you system is designed to exploit a specific event, you will have to decide if the market has some how changed to a point where that event is no longer valid. In a general sense, the only th...
- Mon Apr 18, 2011 2:20 pm
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 19874
Re: ETF Momentum System
You should search for a paper by AQR Capital. They do a study of monthly rotation based off of previous 12month return and I believe Book Value. They test them seperately and together. They test it over stocks within an index, stock indexes, commodities, and I think some fixed income. It is a prett...
- Wed Apr 13, 2011 1:33 pm
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 19874
Re: ETF Momentum System
I spent a lot of time on here and have "taken" a lot of great info from some very generous people. This is my humble effort to "give" a little bit, even though this isn't a huge breakthrough. The excel 2004 attachment runs a "ranking" momentum system on the sector SDPR...
- Thu Mar 27, 2008 7:38 am
- Forum: Custom C++ or Java Platforms
- Topic: SQL db design recommendation
- Replies: 3
- Views: 7052
- Tue Jun 26, 2007 7:08 am
- Forum: Testing and Simulation
- Topic: Speed metric for Backtesting software: CPU clocks per bar
- Replies: 3
- Views: 4961
You have to be carefull with multiple core systems. You can't assume that all cores are actively processing data for the tests. There has been benchmark tests that show that multiple core systems vary significantly in terms of effective cores being used. There was an article recent in linux magazine...
- Thu Jun 07, 2007 3:09 pm
- Forum: Testing Software
- Topic: Apple versus PC's
- Replies: 27
- Views: 42803
- Thu Jun 07, 2007 6:58 am
- Forum: Testing Software
- Topic: Apple versus PC's
- Replies: 27
- Views: 42803
I am slowing rolling out Macs across the company that I work for. Right now a majority of the software applications that we run are windows only. Because of that we do have parallels installed with either Windows XP or 2000. So far we haven't had a problems with it and the performance is pretty good...
- Thu May 17, 2007 9:00 am
- Forum: Money Management
- Topic: How to actively adjust the portfolio?
- Replies: 11
- Views: 14037
It really depends on your portfolio make-up and what type of strategy that you are employing. If you are running a buy and hold type of strategy, then once a year is sufficient for rebalancing ... in my opinion. There are a number of papers on this if you do a google search. Also, I believe that one...