Search found 102 matches
- Wed Jul 08, 2009 6:12 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
From what I can see, firms that have implemented such have been worse off for it...in many cases dramatically worse off. Weird. Any ideas about why this might be the case? In my short foray into studying the markets, they have done nothing but confound my logic :cry: I could write a book about this...
- Tue Jul 07, 2009 11:13 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
- Mon Jun 15, 2009 10:12 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
- Mon Jun 15, 2009 12:44 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
Re: Trendfollowing works on any asset class
Moreover the word "speculator" is often associated to futures/commodity and currency trading. The general public and the stock picking mutual fund managers appear to equate traditional stock investment with "safety" and "conservatism", particularly in relation to the m...
- Sun Jun 14, 2009 10:00 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
- Sun Jun 14, 2009 5:39 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
Re: Trendfollowing works on any asset class
Thanks. It looks like nobody has been able to find a foolproof way of picking up the best performing stocks either. Hence the thread. By the way, we often see CTAs touting their commodity/currency investiment programs as an alternative or diversification to equity trading. The reverse is not so com...
- Fri Jun 12, 2009 9:13 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
Re: Trendfollowing works on any asset class
But don't expect to achieve outstanding returns on a large portfolio (>100 stocks) using conventional lttf. The law of large number dictates that doing so will only lead to average returns. Unless you improve your entry/exit timing, and be willing to be in/out until your position is protected(by sh...
- Fri Jun 12, 2009 9:07 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
A lot of stocks make new highs, but only a small minority go on to make huge gains. If I could figure out which stocks are going to be the big winners (in advance) I'd be the richest man in the world. Have you tried any technical filters such as volume, momentum/strength, etc.? New all time highs i...
- Fri Jun 12, 2009 11:26 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
Yes, we've tried everything from 10 day highs to 3 year highs to all time highs, in 5 day increments. Performance is nearly the same from 2 year highs to all time highs. It starts to deteriorate when you move to the left of 1.5 year highs. The deterioration is due to opportunity cost at first. When...
- Thu Jun 11, 2009 8:21 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
- Sun Jun 07, 2009 12:06 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503
- Sun May 03, 2009 11:14 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 8361
Re: survivor bias
It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not includ...
- Sun May 03, 2009 8:34 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 8361
Re: survivor bias
It will really depend on what the system does. I buy new all time highs and trail with a 10 atr stop. Removing delisted stocks from my database marginally inflates the performance results. However, if you have any mean reversion or "buy the dip" or short-term trading component, not includ...
- Sun May 03, 2009 3:58 pm
- Forum: Stocks
- Topic: survivor bias
- Replies: 6
- Views: 8361
Re: survivor bias
Hi all, I've recently done an experiment testing a system on a free database of currently traded stocks (yahoo) and purchased database free of survivor bias. I'm glad I bought that data because the performance on the latter was significantly worse. Even though the system buys supposedly strong stoc...
- Thu Apr 09, 2009 10:36 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 106273
- Mon Apr 06, 2009 5:36 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 106273
Blackstar converted to long/short in February of 2008. So now we are net short every stock in the Russell 3000 that we do not own in the long portfolio. Despite this we still lost approx 20% in 2008. The max drawdown (end of day) was approx 25%. 2008 was very much like 1974, brutal. The long-only pr...
- Sat Dec 06, 2008 5:24 pm
- Forum: Testing and Simulation
- Topic: Momentum System for ETFs /ETCs
- Replies: 18
- Views: 13614
- Mon Sep 15, 2008 7:47 pm
- Forum: Money Management
- Topic: Maximum MAR; optimal betsize
- Replies: 7
- Views: 15143
- Sun Sep 14, 2008 12:53 pm
- Forum: Money Management
- Topic: Maximum MAR; optimal betsize
- Replies: 7
- Views: 15143
Re: Maximum MAR; optimal betsize
I've been reading through some past threads and I came across http://www.tradingblox.com/forum/viewtopic.php?p=17701&highlight=curvature#17701 which I found really interesting and clearly explained. Here is the part I am having trouble with: It's also fun to note that the maximum MAR ratio occu...
- Sun Jun 22, 2008 5:34 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 50503