Traders' Roundtable

I'll just throw in my 2c ... I used Winton Diversified Fund's monthly returns to explore the effect of buying in all at once, vs buying in 2 through 12 tranches, each purchase a month apart. I looked at how much equity you would have at the end of the first 12 months. So, going all in, the equity ha...

stopsAreForWimps, Very interesting work - thank you for your continuing excellent contributions! When trade or periodic returns are compounded, the distribution tends to increasingly resemble a normal distribution, with zero skewness and kurtosis - provided certain conditions are met. Why are you ma...

I am talking about futures contracts. Simple example, picked at random from the CL (Crude) contract: Actual closes, with a roll on 2005-01-10 ... Date: 2005-01-06, 2005-01-07, 2005-01-10, 2005-01-11 Feb 2005 contract: 45.56, 45.43, NA, NA Mar 2005 contract: NA, 45.67, 45.57, 45.91 => % changes* -0.2...

Remember you would have to use ratio-adjusted contracts or your percentages will be meaningless.

Thanks 7432 - that was exactly the clarification I was looking for. Kaufman is taking into account the terrain around the optimum as well as the optimum itself. When doing so, one needs to work in percentage steps to avoid a bias against the lower values in the range. Sorry if I am over-thinking it ...

The roll method is detailed in the table on the download page.

The back-adjustment method is subtraction (there is a fixed difference between raw close and adjusted close for any given expiry, if it were a ratio adjusted series there would be a fixed ratio).

I am curious as to the logic Kaufman is using to make the claim that searching the parameter space using equal steps will result in a slower trading system than searching the space using percentage steps. Consider a parameter that could take any value from 0 to infinity. This is your parameter space...

I am feeling mean ...

Let me Google that for you

Sorry!

You will enjoy it. Pay particular attention to Sluggo's comment about typos. I have Handbook of Portfolio Mathematics and Leverage Space Trading Model. Both have typos, and both sometimes leave you with a lot of work to do to follow what's going on. Persevere, and ask questions - I would certainly e...

Chris,

You would probably want to use Ralph Vince's LSPM to explore part of this issue. Not something you can do in excel, but I could certainly do it for you in R!

PM me if your interested in exploring this further.

Chris, I would echo Moto's point about looking at daily vol. alone, but take the thought in a slightly different direction. I have been working on a tail risk overlay - trying to identify increasing instability in the asset price history and use this as a signal to dial back position sizes. As part ...

So the math suggests that in order to make MC CAGR approximately equal to Backtest CAGR Hmmm ... The back test CAGR is what it is. The MC CAGR isn't a single CAGR it is a stochastic function. It is not like a single valued function (y = x^2), the result is a distribution of values. So there isn't r...

Yes, you would expect that your actual back-test CAGR would be higher than the worst 10% (1 - 90%) of the simulated equity curve CAGRs. Consider an equity curve from a back-test that consists of 3 monthly returns: 0%, -2%, +5%. Over the 3 months the Cumulative Monthly Growth Rate was 0.957% (cubed r...

The typical way a monte carlo simulation works under these circumstances is to take the equity curve from your backtest and break it into smaller chunks (monthly returns, for example). Then you assume this represents the population of returns you can expect from your system. You then re-create alter...

In short, yes - though I would not call it curve fitting: Curve fitting amounts to trying out so many things that you find something that appears to work but is only coincidence. What you are proposing is worse than curve-fitting it is using hindsight to ignore unfavorable outcomes. So how might you...

jameskuah, I am not a professional, but I did sleep at a Holiday Inn Express last night,so here's my 2c. I agree with Chris that you seem to be doing all the right things. I would raise the following issues for consideration: 1) In / Out Of Sample Testing. I have wrestled with this issue at some len...

Here's another vote for R. 1) huge library of free code. 2) vectorize your problem and it is incredibly fast. 3) reasonable graphics with a little effort. I find it easy to transfer stuff between TBB and R as both can easily read and generate text files. I like the ease of use / reporting / graphics...

You will find a similar issue in the unadjusted closes for the Euro and ND. The Euro series is in Dmark 1998-12-31 and prior. ND is out by a factor of 10 for the entire series. On the Euro / Dmark issue, I believe CSI's position is "We report the unadjusted data as it was - if you want to conve...

Just an FYI on an obscure issue that probably affects only me, but might be of use to someone out there ... When you enter a floating / percent parameter value (convert % inputs into decimals i.e. 1% = 0.01), TBB does some rounding: 1) If the number is greater than 10^5, the value is rounded to the ...

CyTrend: I am not sure i understand how the asset can have "no long-term return" but have a "positive average monthly return" It's the difference between an arithmetic average rate of return and geometric average rate of return: consider monthly returns of 1.000% and -0.995% alte...