Search found 60 matches
- Fri Jul 29, 2011 4:09 am
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15260
radidric I obviously simplified and misrepresented their works to elicit such a response. It is up to you to decide to use or ignore the information and work they have generously shared while still working in the industry (not academia) and managing some significant funds and allocations on various ...
- Thu Jul 28, 2011 7:20 pm
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18655
Jez: Just an opinion from what I can see - don;t read too much into the New Yorker article and what they say about how Bridgewater trades. I have seen much more financially and hedgefund savvy publications get what goes on under the hood 100% wrong. Either they were purposely misled or fed a partial...
- Thu Jul 28, 2011 7:03 pm
- Forum: Testing and Simulation
- Topic: Blend which other system types w/LTTF for smoother eq curve?
- Replies: 20
- Views: 15260
If you are really interested in correlations of trading strategies then look up the works by Emmanuel Acar and Pierre Lequeux where they derive what the correlations between trading rules (MA) based on length should be under various time series properties and then look at some of the empirical data ...
- Tue May 17, 2011 12:23 pm
- Forum: Futures Markets
- Topic: Dutch fund among hardest hit by commodities rout
- Replies: 13
- Views: 8272
Chris, Yes the Tulip fund looks very good on their live record and in fact perhaps they are much smarter in how they approach the business. While you beat your head trying to convince people your TF fund is a good addition to people like BlueTrend, Winton, Transtrend etc the Tulip people just said -...
- Mon May 16, 2011 12:53 am
- Forum: Futures Markets
- Topic: Dutch fund among hardest hit by commodities rout
- Replies: 13
- Views: 8272
Chris, The Tulip Trend Fund I have seen only has a record back to 2003 so not 17 years. There are simulated returns back to 1993 but not actual trading results. Yes it is built off of a fund that has a real 17 year record - but Tulip itself does not have that long of a record of leveraging, timing, ...
- Fri May 13, 2011 1:40 pm
- Forum: Futures Markets
- Topic: Dutch fund among hardest hit by commodities rout
- Replies: 13
- Views: 8272
- Wed Dec 08, 2010 2:02 pm
- Forum: Futures Markets
- Topic: Transtrend: trading pork bellies
- Replies: 18
- Views: 12668
- Fri Nov 19, 2010 12:03 pm
- Forum: Futures Markets
- Topic: Transtrend: trading pork bellies
- Replies: 18
- Views: 12668
Don't believe everything you read. I've noticed pork bellies on the list of tradeables for quite a few large CTAs and it does not compute given their size and the market liquidity. Most of these CTAs have been around for a while and I just think it is left over from when PB was more of a market one ...
- Thu Nov 18, 2010 5:22 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13182
Perhaps it is an inverse double double-corss and he really watches (Total Commissions) / (Net Profit) :twisted: Two things to keep in mind - is that they are heavily equity focused with an emphasis on stat arb type of strategies. So perhaps this is a way of steering away from strategies that live of...
- Thu Nov 18, 2010 4:01 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13182
Well somewhat related to this subject, I was rereading this article by Peter Muller of Morgan Stanley Process Driven Trading and thought it interesting that he prefers a deeper strategy vs a wider strategy, i.e. fewer better systems than many okay systems in order to maximize the IR. He specifically...
- Wed Jul 28, 2010 6:05 pm
- Forum: Testing and Simulation
- Topic: Breakout from a Reference Point
- Replies: 0
- Views: 2870
Breakout from a Reference Point
Wanted to start a discussion and share some results with members of the Blox community. In my search to diversify trading systems I use and potentially shorten my time frame I have been exploring the well known technique of a “break out from a reference point.â€
- Wed Jul 14, 2010 12:08 pm
- Forum: Futures Markets
- Topic: CSI running l a t e
- Replies: 25
- Views: 16761
- Sun Jul 04, 2010 5:16 pm
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10261
Jez, Take a look at DB Optimum Yield version of their commodity indicies - they look out upto 12 mos for the best contract at every rebalance point and go long that contract as part of their long only commodity index products. Since they do trade this index and there is an ETF I would think the liqu...
- Fri Jun 04, 2010 1:08 pm
- Forum: Testing and Simulation
- Topic: random time series backtests
- Replies: 3
- Views: 3116
You may also want to do a search on bootstrapping and testing of technical trading systems for some insights into what people have done to validate the statistical significance of their trading systems vs pure luck (random data). It is a little different than what you are proposing since one does no...
- Mon Jan 11, 2010 10:41 pm
- Forum: Testing and Simulation
- Topic: Platform to Trade Foreign Markets
- Replies: 11
- Views: 7289
- Thu Dec 03, 2009 1:00 pm
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7513
- Wed Aug 26, 2009 6:14 pm
- Forum: Testing and Simulation
- Topic: portfolio question
- Replies: 12
- Views: 8142
I think I've posted on this once before in response to a Sluggo inspired thread... Do your own experiments and be comfortable with the results and understand them. In general there appears to be a band of correlation between price series where the correlation between trading systems is even less. Pe...
- Fri Feb 27, 2009 2:47 am
- Forum: Testing and Simulation
- Topic: CME currency contracts versus cash FX market? Which one?
- Replies: 6
- Views: 4452
As you investigate futures vs spot keep in mind the following Differences in the close time from the different data sources - they maynot be the same. CME has the yield differential built-in while spot does not. Need to have good interest rate data and make sure it is accounted for in your cash fx w...
- Thu Aug 21, 2008 4:01 pm
- Forum: Futures Markets
- Topic: For those who trade foreign futures...
- Replies: 12
- Views: 9251
An interesting experiment that some might find enlightening would be to trade the same (or similar) contract in two different currencies and see how the same system performs on each. There was an academic paper quite a while back on this (don't have the reference off hand). Basically looked at coca ...
- Mon Jul 21, 2008 7:39 pm
- Forum: Testing and Simulation
- Topic: Double MA Crossover in Forex
- Replies: 3
- Views: 3849