Traders' Roundtable

my former boss was also part of that gs macro prop team... u guys probably knew each other... must have been a phenomenal exp being part of it during very interesting times (even with the 1993 short vol blow-up).

"I worked with a 10 man prop team that made about 1 billion dollars in 1993 .. they lost it all and more in one week in Feb. 1994 by being short fx options"

CSJ?

Backtesting with R is a mixed blessing if you're dealing with EOD data because it drastically reduces the odds of curve-fitting via reckless optimization as you are massively disincentivized to even think of optimizing due to time constraints. Absolute nightmare for backtesting with single asset ...

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Having taken the MB test on numerous occasions in the past few years, I've recently become curious about the most common personality types among systematic and quantitative traders.

INTJ here, go figure.

Glad he's posting again.

. . . 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that

You mention that you are not interested in tick data however it's my understanding that you can use tick data to create whatever time format you might ...

I used to believe they were most psychological, hence a self-fulfilling prophecy, however unlike all the fluff that one confronts in discretionary TA, I believe that s&r levels may be of significance- if you knew that a central bank was defending a certain level in an asset, it would be unwise to ...

From an older Winton pitchbook - perhaps this helps? May have an even more detailed presentation from back when they had less than $500MM AUM. Note as they have grown the marketing message and details have changed greatly but I have seen version of this slide in presentations as late as 2009 ...

AFJ Garner wrote:http://www.globalfinancialdata.com/index.html
See if these people have what you need.

This is just nuts. Need to get my hands on that somehow.

trackstar wrote:take that back to elitetrader.....

Well said.

Curiosity, really. Most academics as well as practitioners in the industry generally place primacy on the Sharpe ratio over any other measure, hence I thought it would be wise to appease the powers that be. However, wguan's chart of Sharpe convergence helped put a lot of things in perspective.

Is it possible to build a medium to long term trend following strategy with a sharpe ratio > 2.0, or is this simply unheard of? I'm aware of the pitfalls of the sharpe ratio when concerning divergent strategies, however I'm curious. I think it would be possible, but one would have to blend it with ...

awesome work, wguan!

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.

I have to admit, Macro's post made my morning. Obviously drawdowns are not fun but to see this type of language (although I cannot really tell who it is coming from) is something that pops up every drawdown. Noone can really predict what will happen but I sure would rather be in my position than in ...

Thanks for the awesome list. Would you guys suggest exporting daily OHLC data from a Bloomberg Terminal and using that instead of external data providers such as CSI?

I was alluding to the same thing in one of my earlier thread (link below) and I still agree with Chris67.

viewtopic.php?t=9551

Appreciate the effort to share those links, Babelproofreader. To proceed further:
http://jeromyanglim.blogspot.ca/2010/05/videos-on-data-analysis-with-r.html
http://jeromyanglim.blogspot.ca/2009/06/learning-r-for-researchers-in.html

https://github.com/hadley/devtools/wiki

http://www.burns-stat.com ...

The only three I could find:
http://www.tradingblox.com/tblox/?page_id=218
http://wikiposit.org/p?futures
http://www.forexrate.co.uk/forexhistoricaldata.php

Interested in any viable alternatives.