Search found 102 matches
- Fri Dec 26, 2014 2:53 pm
- Forum: Testing and Simulation
- Topic: Trend Following Without Rates?
- Replies: 7
- Views: 10012
Re: Trend Following Without Rates?
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 o...
- Thu Feb 13, 2014 4:29 pm
- Forum: Futures Markets
- Topic: Futures vs. holding the underlying
- Replies: 2
- Views: 5966
- Thu Sep 26, 2013 6:56 pm
- Forum: Testing and Simulation
- Topic: Trend Following: Profitable Reality or an Illusion doomed to
- Replies: 28
- Views: 33554
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 the ...
- Tue Sep 04, 2012 6:37 pm
- Forum: Testing and Simulation
- Topic: Sharpe > 2.0?
- Replies: 6
- Views: 5666
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 ne...
- Tue Apr 17, 2012 12:47 am
- Forum: Testing and Simulation
- Topic: Difference in data
- Replies: 4
- Views: 3835
- Mon Apr 16, 2012 11:16 pm
- Forum: Testing and Simulation
- Topic: Difference in data
- Replies: 4
- Views: 3835
- Sun Sep 18, 2011 6:55 am
- Forum: Trader Psychology
- Topic: Any DON"T DO lists for trader?
- Replies: 9
- Views: 11880
- Fri Aug 26, 2011 4:42 am
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data: Reliability of Start Dates?
- Replies: 20
- Views: 26311
- Thu Aug 25, 2011 9:40 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Stock Data: Reliability of Start Dates?
- Replies: 20
- Views: 26311
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 maj...
- Fri Jul 15, 2011 6:11 pm
- Forum: Testing and Simulation
- Topic: CTA performance data
- Replies: 28
- Views: 19661
- Sun Jun 12, 2011 7:26 pm
- Forum: Futures Markets
- Topic: Q on when others roll new old crop to new crop
- Replies: 10
- Views: 7390
- Thu May 19, 2011 8:16 am
- Forum: Futures Markets
- Topic: Japan futures, contract lifetime liquidity distribution...
- Replies: 23
- Views: 15693
- Tue May 17, 2011 2:51 pm
- Forum: Futures Markets
- Topic: Japan futures, contract lifetime liquidity distribution...
- Replies: 23
- Views: 15693
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
http://www.tge.or.jp/english/contract/c ... zuki.shtml
- Tue May 17, 2011 2:49 pm
- Forum: Futures Markets
- Topic: Japan futures, contract lifetime liquidity distribution...
- Replies: 23
- Views: 15693
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 ...
- Sun May 01, 2011 4:34 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 22189
- Sat Apr 09, 2011 2:14 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 117897
@ 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 ...
- Sat Feb 26, 2011 7:53 am
- Forum: Data Providers and other non testing software
- Topic: Futures data source (individual contracts, term structure)
- Replies: 1
- Views: 2551
- Fri Dec 24, 2010 6:34 pm
- Forum: Futures Markets
- Topic: Japan futures, contract lifetime liquidity distribution...
- Replies: 23
- Views: 15693
Japan futures, contract lifetime liquidity distribution...
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 ...
- Sun Nov 21, 2010 8:15 pm
- Forum: Testing and Simulation
- Topic: What is a good/realistic MAR for a trading system
- Replies: 9
- Views: 9554
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 runn...
- Sun Oct 10, 2010 6:47 pm
- Forum: Testing and Simulation
- Topic: Five test cases for Correlation studies
- Replies: 3
- Views: 3942