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another thing that i have observed with successful CTAs (at least a think i could figure that out of their equity curves) is the different treatment of movements in the fixed income market. these markets offer two different kind of setUps for a trendfollower IMO. first is just the normal...

where do you get the history on the earnings from?

one of the key aspects in trading is the way one treats different markets. IMHO there are two different ways: all the same or different approaches for different markets. people who came from black jack or something similar IMO prefer the first approach. to them the market is a set of casino...

i am starting some analysis on hang seng futures on a daily basis. data source is csi. i look at the the time from 1.4.1993 until 20.4.2004. i have no experience in this market, therefore i would like to hear about peoples' thoughts. some market statistics dailyGain mean: +0,01% dailGain...

i think there are two distinct "schools" of thinking here. on one side there are the traders, who are much more interested in absolute amounts, since they have x capital to play with and want to make y money out of it. but since smart traders are aware of risk/return issues, these traders find...

gentlemen this boards has an ignore list. please use it. all of you - please. than this whole thread is fine. thank you (each and everyone) in advance. peace

i only care about sharpe ratios. the more different components i can trade the higher the chance that i really diversify among effects in the market place. the turtle approach in essence tackles the fat tails in our markets - and that would diversify other approaches. we balance the whole...

definitely did not mean you. i meant harry but i did not want to provoke more of the same ... . anyways this thread is on its way down i am afraid. actually i am quite grateful that you take the time to participate here. why do you write something in the feedback forum and not here?

could a moderator please tell people to leave threads they are not interested in? this really jeopardises the concpet of this board. having said that, i highly appreciate the comments of many people on this thread.

curtis IMHO there is no difference between openPositions and closedPositions. mark to market is an inevitable consequence of the desire to control risk and maximise risk/return figures. we are dealing here with liquid markets and it makes no sense to think that the mere act of accounting a...

harry i started this thread and i have vital interest that it does not run into useless and negative timewasting conversation. i do not agree with you in so many aspects that i would prefer if you could stay away, since i do not have the feeling that you are willing to deal positively with the...

harry, with all due respect, i would be grateful if you would not participate in this thread. thank you very much.

we forgot the rule to ignore the next trade after a winner. changes the picture. we are now at modified sharpe ratios of 0.74 for the period 1994 to 2004. we have some stupid spikes embedded, due to excessive use of leverage. we will fix that by capping the max leverage. then we should come near...

do not get the meaning of this post.

i have not traded with them so far, but oanda seems to have good reputation.

i will move there once have indication that we are not completely dumb in what we are doing on the futures. nevertheless i doubt the stocks will be enlightening since hardly any cta could make it in stocks. theb reason IMHO is, that in the end stocks are not diversified enough. if we do such...

interesting post. i am not sure i really got the essence of the monte carlo statement ... . nevertheless we are quite motivated to find the mistake we [obviously] made. my two people would crucify me if they did not have the opportunity to find the mistake on their own. so ... thank you very...

i do not put all eggs in - so vola is fine for me.

hi curtis i thank you very much first for the turtle file and second for posting here. i have a [small] team here and two people deal with that subject at the moment. they did program all of it on our prop C++ surface. inlcuding correlations, though we gave the correlation our own levels [and...

we are now doing ma cross overs and related stuff. i am a little cautious about your second proposal, sicne we have no experience with fractals altogether and it would probably take us at least six weeks to set it in place. i want to start with simple things and advance step by step. this...