Traders' Roundtable

I've been hearing the same concern for several years now. A couple of observations/comments:

1) When I eliminate all fixed income futures from my portfolio, the simulated results do not change much. The annualized return drops by less than 1%. This is because in a world with no Bonds or STIRs, the ...

For markets that have sufficient arbitrage, you can expect to approximately match the "total return" of the underlying asset, using a futures (or forward) contract, IF, in addition to holding the futures contract, you invest in "risk free" debt instruments, an amount equivalent to the notional value ...

I find it helpful to ask a related question. Assuming a guaranteed winning system (long-term), how likely is it from random chance alone , that at some point during a 30 year experience, a drawdown will occur that is both double the magnitude and double the duration of what is typical?

Consider ...

Sluggo,

You offer 3 examples of programs that enjoyed sharpe ratios greater than 1.0, but are not included in the sample used for the chart. I would counter with the suggestion that there are probably hundreds, perhaps thousands of programs that suffered sharpe ratios well below 1.0, perhaps even ...

The settlement price is the official final price for the day. It is what shows up on your statement. It is what profit & loss and margin calculations are based on. Each market is different; sometimes there is a "settlement committee" involved in the calculation, especially for illiquid markets. This ...

The settlement price is safe. The open interest is safe. Everything else is a quagmire that takes a considerable amount of time to figure out...and is subject to change without notice in the future. Note: I only use the settlement price and open interest for simulations and real life trading.

Don't have unrealistic expectations. Don't let wants take precedence over needs. Don't think it's different this time. Don't think you are too late or too powerless to do the right thing.

Hmm, sorry about that. Perhaps this is what I was thinking of:

http://www.tradingblox.com/forum/viewtopic.php?t=3300&highlight=blackstar

Also see attachment. Alternatively perhaps the whole thing was in my failing imagination.

Also, this research I feel is illuminating. Our real edge is in ...

As we can safely assume that there will never be a perfect solution for clean data what's the best alternative?

What if we add an average volume filter? That should weed out most of the rubbish.

I have read Ecritt's paper and I am not convinced that delisted stocks (i.e. survivorship bias) is a ...

MAR ratios of reporting CTA's.

This is why I don't use "rolled" contracts. The Dec and Jul contracts represent different products with different supply/demand realities. Why must they be treated as if they are mutually exclusive? You could spread your risk across both of them. In fact, you could spread your risk across all the ...

Fascinating insights; thank you.

It looks like the exchange forces people to overweight their participation in the deferred contracts via position limits. Any idea why?

http://www.tge.or.jp/english/contract/c ... zuki.shtml

hi longmemory,

If I'm understanding you correctly, you are suggesting that Japanese traders are somehow participating in the interest rate differential between the Yen and some other currency by holding positions in Japanese futures contracts, that are priced in Yen? And it has something to do with ...

Great source for data on "sectors" and/or "industry groups":

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Also...the Fidelity select funds are an excellent "proxy" for today's ETF's and most of them have total return data going back to 1987. I've done a tremendous ...

@ ecritt , you mentioned the CANSLIM funds falling out of the game, I'm curious, do you think they ignored the market-timing trend component of the system? After all, if they were truly following CANSLIM principles, shouldn't they have been in cash for most of the crash?

[Edit: oh SNAP! Even if the ...

The distribution of liquidity (open interest and volume) over a contract's lifetime appears to very different for commodities in Japan, relative to commodities traded in other countries. Typically, an individual futures contract begins trading with very low levels of open interest and volume, which ...

after fees, generating a MAR of 1 would have you breathing very rarified air.

On a dollar-weighted basis, without adjusting for survivorship bias, I consistently come up with an average MAR ratio of 0.65 for reporting CTA's. It's closer to 0.75 if you equal weight instead.

Using the 50 longest ...

Nice work. The panel 2 exhibits illustrate why I do not reward a "lack" of correlation. It simply does not convey the information that people think it does. An excellent book on the history and origins of correlation:

http://www.amazon.com/Lady-Tasting-Tea-Statistics-Revolutionized/dp/0716741067