Recent content by Tompson

Thanks, this is very helpful. I think this is the equivalent on the USD side: https://www.man.com/products/man-ahl-diversified-guernsey-usd-tranche-a Exposure to managed futures is a great portfolio diversifier but tough to make money after fees unless you roll your own. Tom Fees Management...

Thanks, this makes a lot of sense. The $1M question is: are there any products similar to your system? Your old shop has AHLIX / AHLPX which looks diversified but of course exact rules are not specified, and a hefty fee! Tom TOP ACTIVE EXPOSURES BY ASSET CLASS Commodities % of VaR Gold Long...

Slightly off topic perhaps but while this strategy makes new highs year after year, I notice managed futures ETFs such as WTMF tend to make new lows. Are there any clear reasons behind this? Presumably there should be sufficient skills and experience at WT, JPM etc to make it work. Thanks, Tom

What would be the highest leverage 'limited risk' position (e.g. to play a possible move from lower to upper trading band)? Allow me to give an example: October 3, 2011: TNA at $28 (tops at $53+ on Oct 27). - Play for a 16 point move to $44, buy TNA 36 calls. - Approximate result: buy...

His blog stated that there was a buy signal on July 1 and subsequent videos detailed the process of getting fully invested. Then the market crashed and there hasn't been a sound since. Anyone know whether he is still in business? I realize the model output is now subscription but the July...

Nice curves - looks like your spline fit is better than mine (MATLAB?). My test was frictionless but could be reproduced with Direxion funds or similar, given the high number of trades. However, the equity curve is not great in my view. Something like this could be more promising...

Yes, the pivot is simply (C+H+L)/3. If the high and low are equally spaced around the close then pivot = close. (C + (C+x) + (C-x))/3 = C If the high is 4 times further away from the close than the low then the pivot is at: (C + (C+4x) + (C-x))/3 = C + x so it takes quite an...

Yes, great paper. 40 downloads of my last plot but this thread seems to be dying ...

Here's a sample equity curve for 1000 daily bars of SPY. Strategy: long on a close below pivot, short above. Also, here is an interesting paper by John Ehlers on deriving a trading strategy from the distribution curve: http://www.mesasoftware.com/technicalpapers.htm (first paper) Tom

Here are 3 distributions for the last 1000 daily bars on SPY for: close minus open close minus cubic spline close minus pivot The cubic distribution is not normal, I'm not sure why that is. The best curve for a mean reversion trading approach looks to be the close minus pivot...

Thanks Maestro, I'll verify the distributions over the weekend and then test some simple rules, out of sample on daily SPY data. Will post findings. Tom

Also, if anyone wants to code a spline in their normal backtesting software without going to MATLAB or R, this is how to do it: | T St St2 St3 | |a0| |Sp(t) | | St St2 St3 St4 | |b0| = |S(p(t)*t) | | St2 St3 St4 St5 | |c0| |S(p(t)*t2)| | St3 St4 St5 St6 | |d0|...

Maestro - very interesting thread! So the next bar close has a normal distribution around the forecasted close using a cubic spline method? If I am understanding correctly, this means that the fat tails seen in a regular price distribution are generally in the direction of the short term...