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I think you've missed the point. Your $100k A->B->C etc example is a loan, and thus would be a liability for the borrower and an asset to the lender, thus balancing eachother out on the B/S. If B lost the $100k LOAN, they would no longer have the $100k ASSET, but the LIABILITY would still be...

Your words, not mine. My view is that the serious money is out there, and for someone in my position this would be the place to go. I've talked to many people about this to arrive at the conclusion, including fund managers and investors. To each his (or her) own. EDIT: I know this...

Hi Demarco8 Welcome back to Seattle. I've been actually pondering the reverse move - moving from west out to the East coast or possibly Chicago.. where the big players are. I guess it depends on small fish/big fish mentality. I'm also located in Seattle. My own areas of study currently...

PS I know that many funds take 2%/12, meaning they take their cut every month instead of all at once.. but for simplicity's sake, the example still applies.

Wasn't sure where this fit.. mods move at your own discretion :D Another thing that's come to my attention is the alarming and increasing use of reporting AUM or net assets. Inflated numbers are funny like that. For example, say I'm an investor with 400 million and I invest all of it into...

Bill Cara has an excel of Amaranth's holdings as of June 30, 2006. http://www.billcara.com/archives/2006/09/amaranth_holdin.html

I think Bill from nodoodahs put it best:

The Sortino Ratio is often used in lieu of Sharpe ratio, where S = E[R-Rf]/stDev(negative excess returns). It does not penalize for upside volatility. I like to use MAR ratio in conjunction with Profit Factor in developing trading systems individually. Combining them, I take into account...

Many firms also have restrictions on outside and personal trading accounts as well... so if you're really going to put your efforts into managing money and going for absolute returns it makes sense to have a good part of yours in also.

Some informative posts and resources linked by others. Great thread if not just for that :) But as many others have said, what is it that you're trying to do exactly? Are you trying to design trading systems or model price structures or something else? That should be the first question you...

When I was starting out, http://www.investopedia.com was/is a great resource. It's got a simulator as well, although 20-min delay on trades and data. Lots of easy-to-read articles that get the basics across, then if you want to dig deeper just do a google search or a forum search for a certain...

Found this interesting piece linked from another thread: http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm Nassim Taleb vs Victor Neiderhoffer. One plays the fat tails, the other plays the high frequency central tendency. Contrasting, almost opposing (options) strategies by two...

Hey Grob, thanks for your input. The equity chart is amazing when you look at it on the surface level. Not many can say they can provide such a linear and near-optimized ride for their clients. Digging deeper, we can look at his annualized return and maximum drawdown; 26.24%, and 29.08%...

From speaking with many people, and much reading about risk, Kelly ratio cuts it too close for risk of ruin. Some people use a variation of optimal-f, which is smaller than Kelley. Ralph Vince's book Portfolio Management Formulas explains in detail this concept. As far as knowing the...

Here's another piece from Eckhardt. Again, the idea is concentrating on the whole trade, not specifically entry or exit. "If you make a bad trade, you have money management, you have a whole bunch of things that will come to your aid, and you're really not in so much trouble if you make a...

I would be curious as to the timeframe in which they did well; how did they fare in bear markets? (2000-2002). The market condition in which their strategy was employed was the sole factor for their profitability. I wouldn't say it was random, b/c random implies long or short... their...

The way I see it, each trade has a loop: Entry Setup, Entry, Exit Setup, Exit. They work in conjunction with each other to produce an outcome. Putting more weight to one side, either entry OR exit, makes little sense as PnL = (exit price - entry price)*shares. That's where position sizing...

Thanks for the input, Pabst. I did not mean to criticize Eckhardt as a person or his accomplishments; on the contrary, he is one of my rolemodels and much of my current work follows along similar lines as his previous work. At the same time, I find differences in perception and opinion about...

I guess I'll begin this exploration into Eckhardt's approach. Eckhardt's emphasis of having to be 'right' or 'wrong', and the idea of FULLY rejecting or accepting an idea This possibly stems from his academic background, as this approach strikes me as the way they approach things in...

William Eckhardt; infamous for his bet with Richard Dennis and the original Turtles. Read more about him here, and the turtle story here. To see his performance, check his amazing equity curve here. Here's a piece that he presented back in '96. Many of the ideas put forth, especially...