Search found 19 matches
- Thu Jun 26, 2008 10:55 am
- Forum: Testing and Simulation
- Topic: Post-drawdown performance
- Replies: 7
- Views: 6508
I don't plan on trading the equity curve beyond the start date because it is an indirect way to explain what is happening. The drawdown of a system represents something about the market. In trend following it represents a period of low volatility or non-trending conditions. Now, the question is are ...
- Wed Jun 25, 2008 11:10 pm
- Forum: Testing and Simulation
- Topic: Post-drawdown performance
- Replies: 7
- Views: 6508
Post-drawdown performance
I tested subsequent performance from drawdowns in a system with a MAR ratio of 1.42. Trading commences on the first date of a 25% drawdown and ends a year from that date.
- Tue Jun 24, 2008 10:49 am
- Forum: Testing and Simulation
- Topic: Checking live performance
- Replies: 2
- Views: 3478
http://www.youtube.com/watch?v=5ZT_nrrpe8c Don't get any big ideas They're not gonna happen You paint your smile And fill the holes There'll be something missing Just when you found it It's gone Just when you feel it You don't It's gone forever She stands stark naked And she beckons you to bed Don't...
- Mon Jun 23, 2008 8:41 pm
- Forum: Futures Markets
- Topic: Energy Speculation hearing today at 11am
- Replies: 2
- Views: 3601
Not a side note at all, RedRock. Obama is the most likely candidate to "fight" high oil prices with increased margin requirements and higher taxes on 1256 contracts.
SIDE NOTE: John Templeton revoked his U.S. citizenship in 1968 to avoid paying U.S. income taxes.
SIDE NOTE: John Templeton revoked his U.S. citizenship in 1968 to avoid paying U.S. income taxes.
- Mon Jun 23, 2008 7:39 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30137
Solong -- arguably all real assets have an upward drift as a result of inflation. The current boom in the Prices of Everything can be partially explained by the lag of prices responding to the expanded money supply of the last 20+ years. A few years ago I remember taking the CRB index and adjusting ...
- Mon Jun 23, 2008 7:00 am
- Forum: Futures Markets
- Topic: Energy Speculation hearing today at 11am
- Replies: 2
- Views: 3601
Energy Speculation hearing today at 11am
Energy Speculation: Is Greater Regulation Necessary to Stop Price Manipulation? – Part II
Subcommittee on Oversight and Investigations Hearing, 11:00 a.m. in room 2123 Rayburn House Office Building
http://energycommerce.house.gov/cmte_mt ... s.List.pdf
Subcommittee on Oversight and Investigations Hearing, 11:00 a.m. in room 2123 Rayburn House Office Building
http://energycommerce.house.gov/cmte_mt ... s.List.pdf
- Mon Jun 23, 2008 6:54 am
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30137
I wouldn't hesitate to trade short in a large account because logically it's less systemic risk and provides some price shock protection. In a smaller, aggressive account I'm leaning toward trading the higher expectancy until the lower risk is more affordable. The issue is that the higher required m...
- Mon Jun 23, 2008 1:48 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52842
- Mon Jun 23, 2008 1:19 am
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30137
> I trade forex, so being long/short depends on the arbitrary order you put the pairs together. levijean -- I have thought about that and my argument doesn't stand up in the cased of cross rates unless you consider (and you might not) that in most crosses the reserve currency is psychologically impo...
- Fri Jun 20, 2008 3:13 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30137
I'm almost willing to buy the portfolio theory argument but consider that by trading all the margin-to-equity ratio almost doubles and the average total risk profile increases. Do you really feel good about using twice the leverage just to get a slightly higher MAR ratio? And in some cases, the vola...
- Fri Jun 20, 2008 2:56 am
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 30137
The short side and trend following
I haven't been super creative, but I've yet to find a traditional trend following or breakout system that has any edge at all on the short side using data back to 1984 for 60+ markets (aggregate portfolio). The reason seems obvious enough: trend following rules favor a particular type of uptrend tha...
- Sat Jun 14, 2008 3:53 pm
- Forum: Money Management
- Topic: Piecewise % per trade based on equity
- Replies: 2
- Views: 4892
Risk percentages aside, the principal of it seems natural. Take more risk now, less risk later. It's considerate of the idea that the system's worst case might be just ahead. If it's useful in the first place, the most useful way to trade the equity curve might be day one. Start with higher risk dur...
- Fri Jun 13, 2008 8:32 pm
- Forum: Money Management
- Topic: Piecewise % per trade based on equity
- Replies: 2
- Views: 4892
Piecewise % per trade based on equity
Hidden genius in Mark Johnson's old PGO system: Bet a variable percentage of equity on every trade Make the variable percentage equal to 2.0%, times "A" where "A" is an "aggressiveness" factor. When the account is small, we will be aggressive. When the account is big, w...
- Thu Jun 12, 2008 9:45 am
- Forum: Market Psychology
- Topic: Will you survive?
- Replies: 17
- Views: 26245
- Wed Jun 11, 2008 11:00 pm
- Forum: Stocks
- Topic: Vietnam bust
- Replies: 1
- Views: 4987
Vietnam bust
A perfect storm of enthusiasm, inflation, credit expansion, and government intervention to stem the mania has created a stunning downward spiral in Vietnam. This is a country that has great prospects and will continue to benefit from its natural resources and proximity to China. A turnaround might t...
- Wed Jun 11, 2008 7:48 pm
- Forum: Market Psychology
- Topic: Will you survive?
- Replies: 17
- Views: 26245
The question I aimed to raise by pointing out unlikely DD's: What are the things that improve sustainability most with trend following? The three that stand out to me are conservative leverage, diversification among markets, and diversification among strategies (which, with little evidence, I feel a...
- Tue Jun 10, 2008 5:18 pm
- Forum: Testing and Simulation
- Topic: Trading Blox vs Tradestation
- Replies: 5
- Views: 6232
TradeStation's portfolio management and conditional abilities don't compare to TB's modular approach. TradeStation was once an innovative and competitive testing environment (one of the first retail packages) but they started to go downhill when the software became a sales platform for the brokerage...
- Mon Jun 09, 2008 11:09 pm
- Forum: Market Psychology
- Topic: Will you survive?
- Replies: 17
- Views: 26245
- Mon Jun 09, 2008 12:09 am
- Forum: Market Psychology
- Topic: Will you survive?
- Replies: 17
- Views: 26245
Will you survive?
1994 is the worst period for long term trend following in my testing. Stock markets were consolidating, interest rates were reversing, and on average things were flat for the rest. Too much leverage was fatal in this period, and funds that experienced losses saw a client exodus like they'd never see...