Search found 1002 matches
- Wed Oct 16, 2013 4:01 pm
- Forum: Futures Markets
- Topic: Optimum rates contract to hold
- Replies: 2
- Views: 4906
Isn't that something you could investigate by running backtests and comparing results? Build 12 different continuous contracts with 12 different rollover schedules (roll 0 month before expiry, roll 1 month before expiry, roll 2 months before expiry, ...) and squirt those continuous contracts thru so...
- Fri Oct 04, 2013 7:14 am
- Forum: Trend Indicators and Signals
- Topic: Beta vs Correlation? which one is better?
- Replies: 1
- Views: 4473
- Fri Sep 27, 2013 8:27 am
- Forum: Testing and Simulation
- Topic: Trend Following: Profitable Reality or an Illusion doomed to
- Replies: 28
- Views: 32167
- Wed Sep 04, 2013 8:50 am
- Forum: Testing and Simulation
- Topic: Important - Know when to break the rules
- Replies: 5
- Views: 6388
Be sure to include a few paragraphs in your Disclosure Document which alert potential customers / investors in your Fund. You can be (will be!) sued if you deviate from the Disclosure Document and investors suffer losses. Perhaps something like, The Portfolio Manager invests the Fund's assets using ...
- Mon Aug 26, 2013 10:48 pm
- Forum: Testing and Simulation
- Topic: Trading a large number of systems without a large account
- Replies: 9
- Views: 13569
- Wed Aug 21, 2013 10:52 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average Experience
- Replies: 36
- Views: 35649
Possibly helpful: viewtopic.php?t=8606
- Fri Aug 02, 2013 8:46 am
- Forum: Futures Markets
- Topic: Any futures Markets related to Currency JPY (Yen)?
- Replies: 1
- Views: 4084
Search for "yen" in this table. Commodity #625 is one example.
- Fri Jul 26, 2013 12:34 pm
- Forum: Money Management
- Topic: Breakeven Stops
- Replies: 3
- Views: 6299
- Thu Jun 20, 2013 7:35 pm
- Forum: Futures Markets
- Topic: London Metals Exchange
- Replies: 23
- Views: 29280
- Sat Jun 15, 2013 8:18 pm
- Forum: Testing and Simulation
- Topic: Seasonality
- Replies: 4
- Views: 4951
Sell in May and go away. (link)
- Thu Jun 06, 2013 1:45 pm
- Forum: Trend Indicators and Signals
- Topic: What is the shortest period of M.A. to be used?
- Replies: 1
- Views: 3952
- Thu May 16, 2013 9:07 am
- Forum: Market Psychology
- Topic: Myers-Briggs Test for Systematic & Quantitative Traders
- Replies: 1
- Views: 7202
- Thu May 09, 2013 10:00 am
- Forum: Stocks
- Topic: "Active Share" indicator predicts MF performance
- Replies: 0
- Views: 12895
"Active Share" indicator predicts MF performance
An academic paper by Cremers and Petajisto (link) has an intriguing Abstract: We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual fu...
- Wed May 08, 2013 4:21 pm
- Forum: Futures Markets
- Topic: Why buys EUR/AUD to pay interest for holding them overnight?
- Replies: 1
- Views: 3650
It sounds like you may be talking about Forex rather than Futures Markets. Buyers and sellers of EUR/AUD futures contracts don't pay or receive overnight interest. Check out the contract description and contract specifications at the exchanges where these futures contracts trade: (link to EUR/AUD fu...
- Sat Apr 06, 2013 1:07 pm
- Forum: Money Management
- Topic: Any difference for position sizing on Trend and Range market
- Replies: 3
- Views: 5771
- Tue Apr 02, 2013 4:12 pm
- Forum: Testing and Simulation
- Topic: Trend Following: Profitable Reality or an Illusion doomed to
- Replies: 28
- Views: 32167
- Sun Mar 31, 2013 11:02 pm
- Forum: Money Management
- Topic: How many positions should I purchase in this case?
- Replies: 5
- Views: 6278
- Sun Mar 31, 2013 3:42 pm
- Forum: Money Management
- Topic: How many positions should I purchase in this case?
- Replies: 5
- Views: 6278
- Thu Feb 28, 2013 9:25 am
- Forum: Trend Indicators and Signals
- Topic: Indicators that are scaled in the range 0 to 1
- Replies: 3
- Views: 5438
The Consensus Oscillator (discussed HERE) is scaled in the range
-100% <= ConsensusOsc <= +100%
You could shift it to the range (0,1) by adding 100% and then dividing by 200%.
-100% <= ConsensusOsc <= +100%
You could shift it to the range (0,1) by adding 100% and then dividing by 200%.
- Tue Feb 05, 2013 10:14 am
- Forum: Futures Markets
- Topic: Trendiness Indicator
- Replies: 3
- Views: 6613
Funny that Y2000 (12/31/1999 to 12/31/2000) is so quiet on that graph; it was one of my best years for real-life, real-money LTTF system trading. A quick lookup shows that well known, publicly confessed trendfollowers Dunn, Eckhardt, Tactical, Quicksilver, and Winton all had great years in 2000 as w...