Traders' Roundtable

Thanks Amin for the mention and bringing the discussion here.

From my (limited) experience of running the report every month, I have not seen a trend in shorter term systems out-performing the longer-term ones post-Lehman (ie sometimes it is the other way around - I have not run any "quantified ...

Could you kindly explain in a more extensive and as simpy as possible (maybe with some examples) how the new stitching procedure works vs the previous close close ?

I have not downloaded the new beta and/or worked through a real example, but I think the following explains it (from the CSI link ...

I like the transparent aspect of a simple "mechanical" index (your second option).

It would also allow you to quantify your "system design alpha" compared to a Trend Following index/benchmark, which provides cheap/easy alternative beta.
Taking the index as a benchmark, you could evaluate each ...

I do publish a monthly Trend Following Index on my blog too ("Trend Following Wizards Index") but it seems that you want historical values.

A while back I compiled something like this to make up a historical composite index (results can be found here )

Here is the spreadsheet that I used to ...

Had those new options affected your simultation results?
When reading this thread over the weekend, I was thinking of doing such test to measure the actual difference in TB back-testing results using different methods. I'll try and publish the results here and/or on my blog soon..

I build my ...

It is implemented as an indicator so you can use it in blox code (it's computed for the last x days) or also outputs its value to the Print Output file

Just found an interesting article on Emil Van Essen, who indeed trade spreads - mostly "rollover arbitrage"-type spreads on commodity (profiting from "dumb money" ETF index funds rolling every month) - LINK

At its base level, the Van Essen program looks to take advantage of the fact that futures ...

Thanks svquant - I definitely agree with the general dose of skepticism one should apply to "second-hand" information, like this one. :wink:

It does seem to make sense to include more "exotic" markets, less correlated to a portfolio though - and as drm7 says:

Adding a few spreads could be a good ...

RHC - thanks
My point is that I do not believe you can take away one intra day monthly high from another contract intra day high and derive the high for the spread on the day - or am i missing something - you dont know when during teh day each contract hit hits high/ low and if not at the same time ...

unless I'm being stupi (highly likely I know) - there is no CSI price data to backtest for these - so although the volume looks okay and Im sure that they trend and are tradable - you dont really know how they perform over the long tern unless a) you have collected the data yourself b) you crudely ...

Thanks for the mention!

[quote="absret111"]The following site (by Jez Liberty) shows YTD performance of Trend Following Wizards:

http://www.automated-trading-system.com ... -red-june/

Since only 4 Wizards holding onto a “blackâ€

Transtrend have come up with their method to calculate the "potential profitability of a trend following system", by measuring the market "trendiness"

They called it Trendpot, which is explained in this presentation .:


Trendpot is a backward looking measure that indicates for an individual ...

I hope folks don't misinterpret Jez's chart. He started with the assumption that all N of the equity curves had the same correlation to each other -- which simplifies the math tremendously .
Very true. I think I would still be working out the maths if I had not made this simplifying assumption ...

The equations in the posts above show that the decrease in volatility is function of both N and rho.
Simplifying for rho=0 allows to neatly reduce the equation for N equity curves. But I was curious to see how much rho plays its part in decreasing volatility when it is not assumed to be 0. As LeviF ...

Sluggo - Hope you do not mind... "Squatting" this thread to post images to be included in the other thread

thanks sluggo, I saw that you just added the reference to the LeBeau's method (or did I just missed it before I replied?..) - which seems to have similar principles to the e-ratio calc

I am not familiar with the method from LeBeau's book but you could also use the e-ratio discussed by Curtis Faith in Way of the Turtle on page 65 .
You might also have the same issue as sluggo highlights as the e-ratio is calculated for a specific day - although you can calculate/chart it for a ...

I "dusted off" my old java app, which I'd built to build M1, M5, M15, H1, D1, etc. quotes off tick data from OANDA - time flies: It was 5 years ago!

Not sure about the data quality now, but I did find it acceptable then and I managed to find an old file produced by my app. It basically output all ...

I have heard of and read several articles on Olsen Data (not used myself) ( LINK ).
They supposedly have good data but are quite expensive (YGWYPF I suppose, ).

Another option (which I have used) is to download historical data from the forex trading company they are associated with: OANDA.

It has ...

just pm'ed you - was meant to do so earlier but had a busy weekend...