Search found 343 matches
- Thu Dec 15, 2011 5:57 am
- Forum: Testing and Simulation
- Topic: Risk Reduction = Poor Performance ?
- Replies: 7
- Views: 4998
I always try and make money - but I do it in a way that gives it to investors they way that they want it based on what share class they are in - thats why, I guess many TF's have many types of share class ranging from institutional low volatility to high vol double leveraged turbo class ? I do think...
- Thu Dec 15, 2011 3:18 am
- Forum: Testing and Simulation
- Topic: Risk Reduction = Poor Performance ?
- Replies: 7
- Views: 4998
Risk Reduction = Poor Performance ?
I remember reading an interesting interview with Paul Mulvaney of Mulvaney Capital Management recently (someone I know quite well also) who made a great case for why trying to reduce volatility and draw downs and pander to investors "wants" can ruin a very good system. I have several param...
- Tue Dec 13, 2011 6:08 am
- Forum: Trader Psychology
- Topic: Performance Enhancing Trading Drugs
- Replies: 22
- Views: 25286
- Mon Dec 12, 2011 5:48 am
- Forum: Testing and Simulation
- Topic: Robustness of systems
- Replies: 9
- Views: 6359
- Wed Nov 30, 2011 2:27 pm
- Forum: Trader Psychology
- Topic: Serious Question to Forum Traders
- Replies: 15
- Views: 14807
Serious Question to Forum Traders
Honest question Do you think things have changed ? Is there a danger here that we may be in that bag of marbles dicussed elsewhere on the forum where we have not used enough histiroc data - i.e. is TF about to really struggle as more markets are banned from shorting, governmnets intervene more , mar...
- Wed Nov 30, 2011 1:38 am
- Forum: Money Management
- Topic: Preparing for the Demise of the Euro
- Replies: 20
- Views: 23476
yes there is already a black market for domestic currencies and in fact there are regions in Germany that dont use the Euro Unfortunately as we hear all day every day teh Euro zone will not be breaking up so therefore teh Euro can only go one way which is down When it breaks up / when Italy / Spain ...
- Sun Nov 27, 2011 3:15 pm
- Forum: Money Management
- Topic: Preparing for the Demise of the Euro
- Replies: 20
- Views: 23476
This really shouldnt be a surprise should it ? Best analogy is simply this and I seem to have been banging out this idea for years - a heroin addict will never live until his underlying problems are resolved - all Europe has done for 2 years is stick a plaster over teh wound and give teh addict anot...
- Sat Nov 26, 2011 1:03 pm
- Forum: Money Management
- Topic: Preparing for the Demise of the Euro
- Replies: 20
- Views: 23476
the answer- as Ive said many times lies in Germany leaving teh Euro - not the weak countries - that way the Euro could head down to 50 Cents on the Dollar and that would resolve many issues - The problem for Germany of a strong Deutscmark would be short lived here as Germany now faces huge problems ...
- Tue Nov 22, 2011 6:52 am
- Forum: Testing and Simulation
- Topic: Robustly Selecting Porfolio to Trade
- Replies: 6
- Views: 3997
- Sun Nov 20, 2011 2:10 pm
- Forum: Testing and Simulation
- Topic: Robustly Selecting Porfolio to Trade
- Replies: 6
- Views: 3997
Tomaso As a rule of thumb you want as many markets as you can handle Also assuming the systems you vack test have some form of heat control then why not test on all available markets / 100+ markets - then you will left in no dounbt if the system is robust or not In terms of chosing which markets to ...
- Fri Nov 18, 2011 11:55 am
- Forum: Futures Markets
- Topic: Russian Ruble
- Replies: 3
- Views: 3146
- Fri Nov 11, 2011 6:24 am
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 24612
SEEMS We always come back to the same problem in any investment technique which is correlation watching London cocoa trade hand in hand with the bund/ btp spread - you know you have problems !! Surely when one tests a large portfolio over 30 years of data then there have been many times in history w...
- Fri Nov 11, 2011 1:44 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
- Fri Nov 04, 2011 1:51 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
if you wanted to break down a study of correlation changes (forget whether its input or output for now) then anyone recommend the best way to do it ? Say, as a simple example, you have 2 market instruments - the Euro and the Swiss Say you look at correl over the 1980-1985 period then walk it forward...
- Fri Nov 04, 2011 9:15 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
- Fri Nov 04, 2011 3:08 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
- Thu Nov 03, 2011 4:10 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
Thanks for your comments Sluggo I most certainly will I will put up my research results along with teh way I arrived at the results if others, perhaps more mathematically inclined than myself, could then comment onteh mistakes, they think, I have made in my approach - perhaps we will all get there t...
- Thu Nov 03, 2011 12:30 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22533
Will somebody please do this research? / has anyone already?
It certainly seems at the momentliek Trend Following (TF) is hard. Most TF's, myself included, getting a nice thumping on the year and even those Holy Grail providors such as Winton, Bluetrend and Aspect are not exactly setting the Wolrd on fire (it seems Winton's new pemanenet return profile is enc...
- Thu Oct 13, 2011 6:09 am
- Forum: Trader Psychology
- Topic: Current Market Psychology
- Replies: 11
- Views: 10843
- Wed Oct 12, 2011 11:20 am
- Forum: Futures Markets
- Topic: trading question
- Replies: 4
- Views: 4175