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Any more thoughts?

Hi all, I am a Quant Analyst with stats/math background. I have been working on quantitative trading strategies as well as statistical data analysis and modeling of financial markets. In addition to my quant work, I am also interested in trading based on research on fundamentals. I am...

Yep, I was asking about what are the possible "oh shit" situations and how people commonly tackled the problems, esp. the pre-trade risk control measures... Any further thoughts? Thanks

Hi all, Could anybody please share your experiences and point me to resources and discussions about risk control in auto-trading and HFT? I mean risks such as market crash, crappy data, etc. Thank you!

For futures, such as CL the crude oil, what's the best way to hit close, if my backtest is based on daily close price? ----------------------------------- My understanding is that the close price / settle price is determined by the VWAP price of the last 2 min of CME market for CL the crude...

In C>C[2], is this "2" a parameter?

Well my signal generation may not use technical analysis, but I ought to have a stop, as a defensive measure, to reduce my drawdowns... but this purpose, with out the "technical analysis garbage", what shall I do?

Why am I on the wrong tack completely?

So what can we conclude from this? It looks like since my end goal is to keep daily risk limit to be a constant, for example, risking $500K (one standard deviation), I should use the non-reinvestment approach, instead of the fully-reinvesting-all-pnl approach?

No only Sharpe ratio, but also all the ratios such as Sortino and Calmar, etc., as well as the year-to-date cumulative PNL and the 15 yr cumulative PNL, (under the assumption that the risk as measured by daily standard deviation of PNL is kept the same)... all improved when we don't reinvest...

If you have a portfolio that's growing over a long period of time; and you keep reinvesting all the PNLs; if the total cumulative capital is upward going, your standard deviation of daily PNL is also growing, as well as the mean of daily PNL... ---------------- You would hope that the...

Even more weird is the following observations: In the buy-and-hold strategy vs. the SMA30 turning the buy-and-hold on and off strategy, the underlying is the equity curve of a trend-following system. Even though the SMA30 turning the buy-and-hold on and off strategy has a worse 15-yr...

No hope. I did some experiments. Lets suppose your strategy is buy-and-hold a trend-following strategy. And then now we want to smooth the equity curve, using the SMA30 as abattia has mentioned in another thread. I compared the buy-and-hold strategy vs. the SMA30 turning the...

What do you mean? Could you please elaborate? Are you saying that you found SMA/EMA crossover to be a good trend-following strategy? ------------------------- My post above was addressing stop-out-and-back-in. He was complaining that his SMA doesn't really work in controlling...

Thanks for bringing that back. After these days, I have some new thoughts regarding your reply to that thread. I think: 1. Shutting down a strategy is in no conflicts with analyzing the problem of the strategy and improve it. 2. Using 30 day SMA crossover to turn off and turn on a...

hi intradaybill, Thanks for the horror stories, but what's the way out? Would you please share with us your experiences in tackling this problem after those 15 years?

Suppose you are running multiple strategies, some of the strategies are dropping like a rock these days... do you shut down these strategies? And if you shut them down, when do you turn them back on? (of course, all these mechanisms need to be backtested) Here is what I came up with, any...

From "You have no chance with your three parameters. IT will take just a few bars to lock your system in a bifurcation mode", are you saying that optimizing a strategy with 3 parameters has no use at all?

Okay I have tried, but it's too hard - due to my poor space imagination... Lets reduce the difficulty a bit. Essentially we want to find a few good local maxima in the sampled function: f(p1, p2, p3) What are good local maxima? 1. Of course they have to be local peaks; 2. But...

We don't need it real time. In Matlab, we run a simple function called: PlotInTS(Dates, Data) where Dates are a column vector of dates possibly with timestamps, and data are a column vector of corresponding data. And then in TS/MC, you will see the curve, being able to zoom-in, pan...