Traders' Roundtable

keep in mind that the spreads and liquidity one sees on the screen is often not indicative of the true liquidity in a lot of these ETPs. A rule of thumb: if the underlying is liquid, the authorized participant or market makers will usually make a decent market for you. This is assuming you are ...

Thanks for the replies! And I completely agree with the liquidity and lack of history issues.

But, it looks as if many (smaller?) funds seem to say they are moving to ETFs (e.g. see 'winning with etf strategies,' max issacman) . Isn't it possible they are monitoring tracking of etfs and their ...

thanks for replies. I saw the etfdb and it has nice lists, but no historical data (that I could see). Maybe I'd have to take a list and then get yahoo data from the list. I was hoping there would be a zip file with the common portfolio ingredients somewhere. There's so many books on the subject, but ...

Is there a good master list of ETFs that would emulate the major say top 100 futures by liquidity and diversity? Similar to the futures data that is provided by TradingBlox for back-testing portfolios.

Could you expound on that a little squaredQ? What knowledge do you think there is to gain in understanding the CLT as it relates to trading?

Aside from the limitations mentioned above, it is also a very useful conclusion that allows you to model and evaluate traditional statistical properties of ...

I'll add that you can also look into parameter-free or empirical based modelling so as to reduce Gaussian assumptions on your model building and analysis.

Regarding the CLT; it is fantastic, yes. But keep in mind the assumptions behind it, particularly the requirement of N independent distributions ...

I'm familiar with this work. If anyone finds a good long-term list of securities that could be used as a proxy for the 10 sectors he uses, please list them. I found some good long ones on a monthly basis, but not daily.

Along the same thinking, there's a good recent blog on this topic:
http ...

i'll just leave this here as it seems to cover most sensible ideas on this subject.

1. go to the page, and download the 5-6 pdf's contained.
2. put on sunglasses to filter out the obvious marketing tint
3. read pdf's at your leisure and digest information contained within
4a. consider ...

Jake,
I am absolutely excited, thrilled, and delighted that you shared this paper. It is one of the best contributions I've seen on any public form in a long time. For one, it tends to corroborate my earlier suspicions about the cross validated sharpe ratio correlations.
I also find it interesting ...

This is a very useful study. However, IMO, it is 100% curve fit.
Every parameter that is used to develop the study (e.g. std)
would need to be updated in an online fashion in order to have significant usefulness.
I would be thrilled to see the same study started at some anchor window
(example 10 ...

There does exist measures to identify persisting (trending) and mean-reverting (choppy) states of markets across numerous time-frames simultaneously. It involves fairly high level mathematics and to those inclined, I shall provide this hint: geometric time-series.

There are several ways to ...

The model isn't the difficult part. It's deciding what factors determine a choppy/trending or whatever class of market you are currently in and furthermore, how much these measures help determine a greater likelihood of continuation.

So, IMO, it's more important to focus on factor selection ...

Stopsareforwimps,
I think you are looking at the right things, from my experience.
IID is a concern, but you can get into non-IID analysis as well. Few do.

OP, I would be concerned and scale down... Without even doing the statistical analysis, it seems highly unlikely you would have 5+ neg ...

Thanks for sharing some specifics.

I wonder if in hindsight whether or not you could go backwards and account/isolate the factors that dramatically changed the characteristics over the out of sample period.

I would hazard a guess that correlation dramatically and unexpectedly synced up at the ...

Hi and thanks for sharing that useful cautionary insight. I have a few questions if you don't mind.

1) Were all 25 instruments active over that entire period? If not, any more coloring on the breakdown of instrument/timeframe would be appreciated (or even something like most were 10years or less ...

I like this question a lot, because it's something I've given quite a lot of thought to. Without divulging my own conclusions in full, I'll make a few comments (also with respect to the other great link posted):

The market is an open system, so we can never really be certain of the true population ...

DPH,

Thanks so much for the detailed reply. Yes, it certainly sounds like you shell out quite a bit for various tools. I spend a lot of time developing my own, as 1) I like to look under the hood and understand what it is doing 2) As you inadvertently pointed out, one size does not fit all.

Anyway ...

@DPH

Hi,
I was wondering if you would be able to share the spreadsheet you ran, as I would be interested in looking at the results (via MINE). We could compare results and save some time perhaps, as there are a few parameters to explore in the tool.

I would have PM'd you, but do not have it ...