Search found 343 matches

by Chris67
Thu May 31, 2012 1:04 pm
Forum: Money Management
Topic: Advanced money mgmt techniques?
Replies: 15
Views: 18100

CALL ME cynical but in my opinion these markets are abnormal and it would be suicidal to use old MM techniques in the current abnormal environment. In my opinion the safe thing to do at present is reduce position sizes, reduce risk, and disregard the vast literature of MM which (in my opinion) is no...
by Chris67
Tue May 29, 2012 3:34 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 17379

Jason I think maybe splitting your cap in half and trading 50% in what has worked best in the Long term and 50% what has worked best in the last 5 years maybe best ? You have to be careful not to end up chasing performance - to a small degree I did that a bit - i shifted to a much longer term TF str...
by Chris67
Fri May 25, 2012 12:38 pm
Forum: Market Psychology
Topic: Is Trend Trading a "Bubble"
Replies: 8
Views: 10645

Toosday I totally agree and have in my own inevitable way been saying it for ages (i.e. Winton is also indicative of the bubble) When Winton raises about a billion per month every month for a year, when Covel's site is so brimming with over-confidence, when everyone is a supposed trend follower then...
by Chris67
Wed May 16, 2012 12:29 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 17379

but then again .. what the hell do i know

(letting off steam)
by Chris67
Wed May 16, 2012 12:28 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 17379

i feel sickened by the whole thing at present it isnt the draw downs that hurt - not to expect them would be ludicrous as a trend follower - its the outlook going forward that really hurts - I cannot see this market environment altering course for a while and that is teh ugly bit - it would be quite...
by Chris67
Wed May 16, 2012 5:13 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 17379

I have recently added a mean reversion strategy or two - in small size - to the overall portfolio - its bloody tough to find them that offer anything worthy and i ceratinly wouldnt walk away from the mean reversion strategies and just let them run as I would do with trend following systems I concurr...
by Chris67
Mon May 14, 2012 5:19 am
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 17379

DEpends on if you think human nature has changed - it hasnt therefore it may just be a case of riding this crap out for another 1 week - 18 months before teh markets let go and unwind in spectacular fashion whereupon i imagine trend following will clean up as it did in 2008 and all the short vol / m...
by Chris67
Fri Apr 27, 2012 2:59 pm
Forum: Testing and Simulation
Topic: CTA Performance Index
Replies: 28
Views: 16641

if you want an index of trend followers as opposed to CTA's which as we know is a broad all encompassing meaningless term, then I publish a monthly Trend Followers Index- ive been publishing it for many years - its consistent and has dead funds in in to - then PM me and I'll add you to the distribut...
by Chris67
Mon Apr 02, 2012 5:38 am
Forum: Trader Psychology
Topic: Question to those of you who are full time system traders
Replies: 10
Views: 10504

YOU CANNOT TAKE OUT ANy insurance against the unknown - also you may put part of your money in trend following systems, some in short term systems, some in long term investments and some in long only equities - and still lose on all of them ? My opinion would be to set up such that if you have a los...
by Chris67
Thu Mar 15, 2012 4:40 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 15954

well said AFJ But I do think that people like Curtis were not stupid as if you remember he said - always expect the un-expected and then you will never be wrong !!! We are at a real crossroads arent we - it really looks and feels like TF is in trouble - but we just aint gonna know for a few more yea...
by Chris67
Sat Mar 10, 2012 2:52 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 15954

I think this could prove to be one of the most valuable posts ever put on this forum - I'm not sure everybody will understand why Without doubt we do not have enough data - 30 years is a miniscule time frame in the history of what has gone before and what is to come and it may well be that Trend Fol...
by Chris67
Thu Mar 01, 2012 2:15 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 12402

HEHE
Thanks Sluggo

The best system you could have used for the last 3 years is probably not to trade - great system and 99% of all TF's would be better off for it
by Chris67
Wed Feb 29, 2012 3:58 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 12402

BEING Short my p/l for the last 14 months was a great trade - and no offence taken I find it unbelievable nobody has asked me about my system - absolutely genuine - 1 trade 25 years and makes money nearly all the time TF doesnt and negative correlation and positive expected outcome ? come on guys .....
by Chris67
Fri Feb 17, 2012 7:24 am
Forum: Trend Indicators and Signals
Topic: Interesting Divergence Data
Replies: 2
Views: 4863

FWIW I update a monthly index of TF funds - which some people on this forum have asked me to send them - our own TF Index as it were One thing I have noticed over the last year or so is the very large amount of money going in - obvioulsy mostly to Winton I work on a very simple methodology backed up...
by Chris67
Tue Feb 14, 2012 3:29 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 12402

I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know The best thing about this system was it has had 1 trade in 30 years so the commissions and sli...
by Chris67
Mon Feb 13, 2012 1:57 pm
Forum: Testing and Simulation
Topic: Historic Rollover Rates
Replies: 2
Views: 2125

Jake - thanks VM for your comments / Help
C
by Chris67
Mon Feb 13, 2012 12:36 pm
Forum: Testing and Simulation
Topic: Historic Rollover Rates
Replies: 2
Views: 2125

Historic Rollover Rates

Is it possible to see the rates at which teh system "actually " rolled contracts i.e. teh Buy (sell) of teh previous month fill and teh sell (buy) rate of teh new month ? just so I can compare what Im doing to teh system ? Is it a print statement of some sort as these rates are not shown i...
by Chris67
Mon Feb 13, 2012 1:33 am
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 13426

anybody have a view on Penson Futures from a credit worthiness perspective - share price tanking / senior staff leaving ?
No corruption Im sure but as a valid business going forward ? Brokers in general I think are not a valid business going forward i.e. they're not making any money
by Chris67
Mon Feb 06, 2012 3:08 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 40295

was I the only one who used to really fancy Jamie Summers - the bionic woman !!! she was cute