Recent content by unco

RM, don't want to pollute your thread, but as you talked a lot about gold... that looks pretty bullish for me

Hi Chad Would you mind updating on the subject? thanks

the equity curve...

Thanks all for you reply, indeed it seems that warning people about the high leverage is the only solution if they are not able to put more capital. I don't want to re-design the system, as the system is good as it is... Even if that $200K example was to make the explanation simple...

I've a question for people trading friends and family account via IB (or any other small managed account) Sorry if I'm a bit away from the raising money subject but I think it's something you need to think about when raising FF money. Let's assume that you have a strategy trading 1 lot ES...

Hi Tom What about a sharpe or sortino ratio for each product (and may be global portfolio). Not really useful tho, just there for information. Another typical HF ratio is round turns per million under management (in a year). But that would imply the user to put a capital as input... Also...

Hi PocketChange, How would you then define a balanced/diversified folio? Using correlations? Thanks

Hi Tom What about an option allowing the user to chose the range of correlation levels he wants to highlight? (may be also choose the color?) Ie I want to see in yellow all correlation between (-0.3 and + 0.3) and see in dark blue all the others.

Beautiful work, as good as the paper I sent you. :) On which period is that correlation calculated? Can that period be changed ? Also if I understand you calculate correlation on products you already have in the folio. What could be useful is to create a list of futures that are not in the...

Hi Tom - ratio volatility in USD / PL (or something like that) Can give an idea of how much a product has been able to profit from a range/trend Another suggestion would be to have 3d optim charts for backtest, where we could see result in PL depending of the choice of...

Yes you got it :) I think it would reduce the risk, as you don't put all your eggs in the same basket. You just need a bigger basket ;) Joke apart, the capital required to trade the folio will be higher, but we both know that this tool is to be used by bank of HF... I'm sure they don't mind...

Hi Tom Not sure this has been mentioned here before... What about calculating the average daily range (and/or average true range) in $ for each product and then use a "clip size" in terms of number of contracts that would allow each product to contribute the same way. Ex: Silver has a daily...

TV show Scalp http://www.imdb.fr/title/tt1168681/combined But you need to understand french

Hi Tom, That's not surprising, as micro have very low volumes and FX futures usualy roll the last day of the contract (first notice monday 13th for most of them) Did you notice any difference between folio in trading the mini or the micro FX contract? Micro are generally 1 or 2 tick wider.

Buy the F@#~ing dip http://www.youtube.com/watch?v=jllJ-HeErjU