Cats out of the BAG LTTF VS SWINGING

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
BARLI
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Post by BARLI »

I know about Jim Simons and his hedge fund full of phd's, never saw anyone put his fund as rentec though.. Do you have any insights on his trading models? this math wiz seem to crack lots of inefficiencies of the market place

nickmar
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Post by nickmar »

Rentec is short for Renaissance Technologies (http://www.rentec.com). Their expertise is believed to be high frequency trading. The following is from Wikipedia:
Renaissance represents a validation of the quantitative trading model and trades with such high-frequency that it (the Nova fund, specifically) accounts for over 10% of all the trades occurring on NASDAQ some days.

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Post by freeman »

I think alot of people try to trade and aim to high,always trying to get the max from there moves,this is always not the case,to make a regular(desposable) income,take the euro for instance,moves on average 80pips per day,all u wont is 10-20pips aday of the pie,any more then its just a greed factor ,times this a by weekly,mthly,yrly bases and its like a piggy bank $$$,try trading inside the weekly average for short,inside the mthly for medium ect ect.

RedRock
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Post by RedRock »

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Last edited by RedRock on Sun May 11, 2008 10:16 am, edited 1 time in total.

BARLI
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Post by BARLI »

Red Rock is going to challenge Simons :wink:

matti
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Swing systems

Post by matti »

I am looking at running a swing system and a LTTF, or perhaps molding the 2 into one!

Anyone have any suggestions for swing systems, books, resources etc?

I see earlier in this thread Ted Annemann (are you still around Ted?) says '...there are tons of truly excellent trading systems that only place one entry per day.....'. Any chance of you listing just a few of them? How is that swing system doing that you posted the awesome graph of?
(Last question Ted, are you any relation of the famous magician of the same name?).

Cheers all

Matt

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Re: Swing systems

Post by LeapFrog »

matti wrote:I am looking at running a swing system and a LTTF, or perhaps molding the 2 into one!

Anyone have any suggestions for swing systems, books, resources etc?

I see earlier in this thread Ted Annemann (are you still around Ted?) says '...there are tons of truly excellent trading systems that only place one entry per day.....'. Any chance of you listing just a few of them? How is that swing system doing that you posted the awesome graph of?
(Last question Ted, are you any relation of the famous magician of the same name?).

Cheers all

Matt
Unfortunately, Ted has been missing from the forum for some years now - probably basking in the sun on some tropical island drinking pink Daiquiris and making bonfires out of cash.

matti
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Re: Swing systems

Post by matti »

matti wrote:
LeapFrog wrote: Unfortunately, Ted has been missing from the forum for some years now - probably basking in the sun on some tropical island drinking pink Daiquiris and making bonfires out of cash.
....and you say you don't have anything witty to say! Thanks for the reply! Did/does Ted have a preference for pink Daiquiris?

Any suggestions for swimg systems?

Regards

Matt

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Re: Swing systems

Post by RedRock »

matti wrote: Any suggestions for swimg systems?
Try this one!!!
http://www.ABCDirectshop.com

matti
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Re: Swing systems

Post by matti »

RedRock wrote: Try this one!!!
http://www.ABCDirectshop.com
LOL! About my standard too!

AFJ Garner
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Post by AFJ Garner »

matti wrote: I see earlier in this thread Ted Annemann (are you still around Ted?) says '...there are tons of truly excellent trading systems that only place one entry per day.....'. Any chance of you listing just a few of them? Matt
I believe that Ted does indeed live and thrive and visit the Forum. I believe he still posts, albeit perhaps under a different nom de plume.

The key to duplicating a system like Ted’s is (as he says) to say humbug to the high priest of the Trading Tribe and all the rest of the gang and to try setting slippage + commission at $5 or $10.

Then test the Donchian system on a short term breakout, a narrow ATR Stop, and a long term MACD Filter. Maybe add a few bells and whistles; profit taking perhaps or risk control. Test on a very large portfolio and you will end up with something like the results below. Repeat with a number of other built in systems and you will find a similar story. Try a dips and rallies swing system.

Are these com/slip settings realistic? I don’t know. There are two ways to find out: with real money or with a paper trading outfit.
Attachments
ST System.JPG
ST System.JPG (95.93 KiB) Viewed 8274 times

matti
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Post by matti »

AFJ Garner wrote: I believe that Ted does indeed live and thrive and visit the Forum. I believe he still posts, albeit perhaps under a different nom de plume.

The key to duplicating a system like Ted’s is (as he says) to say humbug to the high priest of the Trading Tribe and all the rest of the gang and to try setting slippage + commission at $5 or $10.

Then test the Donchian system on a short term breakout, a narrow ATR Stop, and a long term MACD Filter. Maybe add a few bells and whistles; profit taking perhaps or risk control. Test on a very large portfolio and you will end up with something like the results below. Repeat with a number of other built in systems and you will find a similar story. Try a dips and rallies swing system.

Are these com/slip settings realistic? I don’t know. There are two ways to find out: with real money or with a paper trading outfit.
AFJ

Thanks for your response.

My initial system is going to use spread betting so i need to translate the extra spread into commission, and slippage is still just that, slippage.....

Is saying humbug to the high priest of the Trading Tribe just doing your own thing? Or are you referring to the long term trading tribe vs the short term tribe?

An eternal question! What is your definition of a short term breakout?!

Sorry if my questions are rudimentary and seem to be labouring a point. I like to feel clear i understand exactly what someone means.

I spent some time in Switzerland last summer. Gorgeous place.

Again thanks for you time, much appreciated.

Matt

P.S Will see if i can spot Ted under his new identity!

AFJ Garner
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Post by AFJ Garner »

Ed says in various places that short term trading serves only to line the pockets of the brokers because of the frictional costs of slippage and commission. So do many others.

Ed also has a lot to say about rocks and hot seats: all of which I find a great deal more difficult to follow than his pronouncements on trend following.

In the test above I used a breakout of the 20 day hi/lo. The position exits on a 5 day low. The average duration of a winner was 24 calendar days and 12 for a loser. Not quite as short term as Ted's therefore.

In my own trading, I have gone much longer term with trades lasting months, often over a year. Hence I have no experience of the real world operation of systems in this sort of time frame.

As Ted points out, shorter term trading over many markets gives far greater compounding than a dull old long term system. Many, many more opportunities for profits and losses.

Whether the test results shown in this thread can be duplicated in a real trading account is a question of "try it and see". I can not volunteer any opinion on this but it would be interesting to automate and paper trade such a system (assuming that is possible or valid). Or test it out for real.

In favour of the supposition that such estimates for slippage and commission are realistic, as Ted states, there are successful day traders out there. As many have pointed out on this forum before however, you don’t see performance like that in the CTA world.

Perhaps this forum is stalked by a real live trader who can attest to the likelihood or otherwise of being able to achieve such metrics in the real world. Certainly Leonardo's forex systems are apparently pretty profitable.

The difference between settings of $2, $5, $10………….$75 for slippage and commission on a short term system such as those on this thread makes it or breaks it.

You can achieve some wonderful things in backtesting by tweaking a few dials.

matti
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Post by matti »

AFJ

Thanks very much for your sage thoughts, they are greatly appreciated.

Off to tweak some dials!

Matt

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Re: Cats out of the BAG LTTF VS SWINGING

Post by AntiMatter »

RedRock wrote:deleted
Why were these posts deleted? The cat may be out of the bag, but I can't see it!

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