Search results

I have been trading for a while and every year I seem to go deeper and deeper into the Quantitative rabbit hole. Without it, I do not think that I could have become consistently profitable. I first saw the need for it when I was stationed in Biloxi, MS for a year and took the opportunity to...

I see your point, Monstimal. I can't believe I didn't catch that by myself but I thank you for pointing it out. Pretty obvious to me now. Thanks again.

Thanks, Joman. The thread you listed was an excellent suggestion and I have been reading it for hours. Thank you.

As requested, I have attached the spreadsheet example to this post to include all formulas. An example of what specifically confuses me is the relationship between cells D2, K2 and R2, however this trend can be observed to occur throughout almost all of the metrics. Any thoughts are...

I took the daily performance of my fund and doubled the daily gain or loss per day. I then applied the same statistical metrics to these doubled figures as I do for the original values. Logically, I would have thought that the metrics also would have doubled. For example, I would have...

After tracking down terrorists for the FBI, developing statistical models for the financial markets, and predicting weather and analysing intelligence data for the military, I have to agree completely with Intradaybill. The systems I mentioned are often thought to be "random" systems, but that...

I hope the markets have been treating you all well. Here is the Q2, 2011 update. A lot has happened since my last post. My primary investor let me know that he was considering a complete withdrawal of his capital. This was of great concern because it meant the end of the fund...

It is important for any new trader to understand that a proprietary trading firm such as Bright's is a resource that can greatly enhance a successful trader's performance through greater leverage, functions and support. However, if one is not consistently profitable, it is a very epensive and...

I would recommend the reading the book "The Volatility Edge in options Trading" by Jeff Augen. In it, he addresses the issues you have mentioned as well as a methodolgy for managing the data through the measurement of relative magnitude of price and volume as opposed to more "traditional"...

Based on what I have learned from ishares Barclays today, it would appear to be due to the rebalancing and the lag created as the newly acquired bond positions in TLT are averaged into pre-exisiting positions.

5yrtrader you make valid points. TLT has been volatile over the last couple of years and I would agree that nobody wants to see a $50 stock go to $10. I tend to look at TLT as a tool in my toolbox, and like a tool it has a specific use and application. It would not make sense to use a...

OK, so here it is... I just got off the phone with an Ishares Barclays representative who told me the following: 1.) TLT is NOT an actively managed fund. 2.) TLT rebalances every month which accounts for the 48% annual turnover. Positions are bought and sold to maintain a close...

Thanks Soon2Bgreat; that's a great analogy.

Intradaybill, I calculated the correlation for the entire period of data which ran from 7-31-2002 to 6-10-2011. I did not break it down into periods or roll it because at this point, I am just trying to get a sense of the big picture. To make the calculation, I used the correl() function in...

As per your suggestion, I calculated the correlation between TLT and the 20 Year Daily Treasury Yield Curve Rates. The data ran from 7-31-2002 to 6-10-2011. The correlation was -.87864 indicating a strongly uncorrelated relationship. Shouldn't there be a strong correlation here? I also...

Let me rephrase the question... How can the TLT ETF have a 48% annual turnover on an investment that requires such a long term commitment (20 years)? Thanks.

Thanks Intradaybill! I apologize because despite the great posts on this thread, I am still apparently missing something. I just responded to another post which explains my confusion in greater detail. However, I recently read about interest rate immunization and I was wondering if that...

Thanks, Psytrade for the reference document. It is an excellent source of information and I appreciate the link. The point that you bring up is exactly the point that I find so confusing! You had mentioned that "TLT is highly exposed to changes in rates because of the bonds long...

Given that the price of the bond and the interest rate share an inverse relationship, I have started to wonder if the iShares Barclays 20+ Year Treasury Bond ETF (ticker symbol TLT) is a self hedging investment...here is my reasoning, please let me know what I am missing. According to...

The big question I run into is regarding the scalability of the system. Will it work the same way with a lot of money as opposed to what you are trading now? If the system is not scalable, then that will be a serious stumbling block. Best of luck to you!