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 ...

Anyone else notice erroneous prices on tonight's download? Have noticed issues with CL, HG, SP, ND, TU, TY

To me, the most important part of backtesting is understanding when you are fooling yourself.

To the degree you are certain you have found the holy grail, and are about to embark on a career that will make Winton look bad, remember... pride goeth before the fall!

To the degree you live in constant ...

before test script:

SPY.loadsymbol("SPY")

where SPY is a instrument based BPV

entry orders script:

if SPY.close > SPY.SMA200 then...

michaelt - IASG or Autumngold might be a good place to start

I would venture to guess that Winton is doing things that are light years beyond simple DMA systems. I know I would be if I had 100 quants in lab coats in my research dept.

I read a presentation by Winton that had a profound impact on me ...

I have pondered this issue at length. I limit total risk. Yes it does put a cap on upside to a certain extent. But, backtesting will always lead you to take too much risk. If you do not employ a logical override, like limiting total risk or portfolio level volatility, then nothing will separate you ...

I should state that my research only looked at 50-60 data points, and evaulated the results on a rolling 1 year basis. This obviously overlooks those times that the theoretical launch immediately went into drawdown, yet managed to maintain the positions and was better off after 12 months.

Sluggo ...

I did a bit of research on this and found that putting on all the existing positions on the launch date vs. taking only new positions outperformed more than 70% of the time.

lookback = instrument.currentbar

percent change = (instrument.close/instrument.close[lookback]) - 1

I find that measuring total portfolio risk (risk to exit on all open positions), and reducing all positions by a given amount when the total risk number crosses a given threshold, works pretty well.

My belief is that investors of systematic managers and not buying into the models themselves, but the model building skills of the manager. If the manager is unable to tell the difference between sitting atop a mound of robustness vs. a pinnacle of optimization, then the investors are in for great ...

if it has dates, and a price series, be sure to copy the price series into 4 columns representing open,high,low,close and save it as a .csv file in the appropriate folder.

I much prefer rolling in a backwardated market. Theoretically, you get paid for being long.

Absent that, there seems to be a certain security in following the system, no over-analyzing, no second-guessing. Over time you realize that the "wisdom" of the system prevails more often than not. If you ...

Not to be smart, but it is similar to the laws of physics by which we are all bound. To generate returns you have to assume risk, risk = volatility, volatility = drawdown. There seems to be a limit to how much return one can extract from markets in relation to the volatility one must endure. At ...

I too have found the same thing. While I read and enjoyed Mandelbrot's book, I find that academics try to force everything into neat, tidy, cleary defined categories. I always say that markets are more about the vagaries of mass psychology, than the discipline of any hard science. Fortunately, at a ...

Good points. Everyone decides for themselves what is worthwhile and what is not.

For me, knowing what is possible is a great motivator in my research. For example, quite a few managers post daily equity numbers. If I find my daily numbers are correlated to theirs, then, abruptly, they diverge ...

Hi Chuck,

From my perspective, any exercise which can generate research ideas is not "a total waste of time".

From a practical perspective, I have gotten good ideas from looking at the equity curves and/or trades of other managers. While it may be impossible to exactly reverse engineer the system, it is possible to obtain useful information from such an exercise. At the very least you might come to the ...

I too use mutual funds as proxies for various ETFs. However, I have found the sector data from the French/Fama link you provide to become more and more unreliable the further back in time one goes (prior to mid 1980s). When compared with data from comparable S&P Groups, it sporadically outperforms ...

Yes, taking long positions in rates and bonds up here has not been fun as of late, but neither have most of the shorts either.

Your mentor is probably correct. For me personally, I imagine a continuum of possible outcomes in every market, of which one is an environment in which rates and bonds ...