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Aaron chat
- Thread starter praetorian2
- Start date
Quote from DT-waw:
Aaron, do you automate your trades with FFastTrade? Can you use T-Bills as a margin?
I wish FFastTrade had an API (application programming interface) so we could, but so far they don't. I think someone from FFastTrade told me it was in the works, though. But for now, if you want to automate your execution I recommend Interactive Brokers.
Whether you can use T-bills as margin is an FCM (futures clearing merchant) issue, not an IB (introducing broker) issue. While we execute through FFastTrade, we clear through the Man Group. I'm not yet familiar enough with Man to answer your question. Man recently bought GNI Inc, our previous FCM.
GNI paid (and Interactive Brokers still does pay) interest on cash balances so there was no screwing around with buying and rolling T-bills. I hope Man will do the same. Even if Man doesn't pay interest, though, the commission savings in moving from Interactive Brokers to FFastTrade totally swamps the interest income for the Schindler Fund.
Interesting discussion and opinions. Personally, when I decided to run a fund I wanted to be able to travel also. All technology is thus tailored from there so whether I'm in Florida or Hawai'i, all I do is plug in and all tools are at my finger tips.
I'd have to say most fund managers have much of their capital in their companies, but if not it should be.
The regulatory side of running a fund can be burdensome but that is what professionals are for.
Thanks to Aaron for his time, good trading.
I'd have to say most fund managers have much of their capital in their companies, but if not it should be.
The regulatory side of running a fund can be burdensome but that is what professionals are for.
Thanks to Aaron for his time, good trading.
Just looked at Schindler funds results for the month of March; this is what makes this business so tough, having to live with the inevitable drawdowns that come with any mechanical systematic system.
I must say I would find it very hard to manage money, I think I just don't have the gumption ( or balls if you will) to stay with my strategies while the world looks at my inevitable drawdowns that are part of any mechanical system. Even a family/friends funds. I cringe at the thought of facing my in-laws at Easter lunch with a 30% drawdown.
I don't know if its appropriate here, Aaron would you care of comment how you're handling the drawdowns?
thanks
http://www.schindlertrading.com/performance.htm
I must say I would find it very hard to manage money, I think I just don't have the gumption ( or balls if you will) to stay with my strategies while the world looks at my inevitable drawdowns that are part of any mechanical system. Even a family/friends funds. I cringe at the thought of facing my in-laws at Easter lunch with a 30% drawdown.
I don't know if its appropriate here, Aaron would you care of comment how you're handling the drawdowns?
thanks
http://www.schindlertrading.com/performance.htm
If I remember correctly Aaron said his models can incur as much as a 40% maxdd but he has never hit it. 33% drawdowns are quite painful because it requires a 50% run up to get back to breakeven. Then if it further drops to a 50% drawdown a 100% run up is required.
While I can't speak for Aaron I imagine he is doing well because he appears mentally fortified and most importantly has performed the system design and research himself. This typically causes the trader to have more confidence.
While I can't speak for Aaron I imagine he is doing well because he appears mentally fortified and most importantly has performed the system design and research himself. This typically causes the trader to have more confidence.
Quote from links:
I don't know if its appropriate here, Aaron would you care of comment how you're handling the drawdowns?
thanks
http://www.schindlertrading.com/performance.htm
A 30% drawdown certainly isn't pleasant, but including this drawdown we are still up 60% over the past 12 months. Much more painful will be the inevitable down year.
With the volatility of our program, we recommend an investor not invest more than 10% of their portfolio with us. So a 30% drawdown by Schindler Trading shouldn't cause more than a 3% drawdown in an investor's wealth.
If the Schindler Fund is held to only a small portion of an investor's portfolio and the investor focuses on the long term results rather than the short term volatility, they shouldn't fret the drawdowns too much. I believe a diversified portfolio of equities, bonds, cash, real estate, and alternative investments (like hedge funds), rebalanced regularly, is the path to successful asset accumulation.
If anyone would like to be on our email list to receive the monthly Schindler Trading results as soon as they come out, please email me your email address. We don't share email addresses with anyone. My email address is aaron@schindlertrading.com.
Quote from DT-waw:
31% max DD is calculated on a monthly performance basis? What's the worst drawdown on intra-month or intraday basis?
We only publish results at month ends. This is mostly to keep our investors focusing on the long term results and not fretting the short term volatility. But it is also aimed at minimizing the "How'd we do today?", "How'd we do this morning?" calls and emails. If we don't answer those questions people leave us alone to go about our business of making money for them.
The peak to valley max drawdown if looking intramonth or intraday will be larger. It cannot, mathematically, be smaller.
Quote from Aaron:
But it is also aimed at minimizing the "How'd we do today?", "How'd we do this morning?" calls and emails. If we don't answer those questions people leave us alone to go about our business.
Aaron,
Do you have a set way of communicating w/ your investors? Do you send out a monthly or quarterly letters, much like what Warren Buffet does, going over the results and expectations for the future etc.
The market wizard Ed Seykota had an interesting comment once about his rules, it was something like: follow your system without question, cut losses, know when to change your system. Regarding the changing of a system, do you do constant research, looking for ways to improve the system? Lets say if you found that crude oil for example, responds really well to your system, how would you add a new market without skewing your previous results?
I really appreciate you taking the time to answer our questions.
Quote from links:
Do you have a set way of communicating w/ your investors? Do you send out a monthly or quarterly letters, much like what Warren Buffet does, going over the results and expectations for the future etc. And, then, in addition to the performance report investors get monthly account statements as well.
The market wizard Ed Seykota had an interesting comment once about his rules, it was something like: follow your system without question, cut losses, know when to change your system. Regarding the changing of a system, do you do constant research, looking for ways to improve the system? Lets say if you found that crude oil for example, responds really well to your system, how would you add a new market without skewing your previous results?
Hi Links,
Like I mentioned a couple posts ago, we have a monthly performance email we send out to all the investors and others who have expressed an interest. Send me your email address if you'd like to be added. I don't do much commentary in these updates, though, because I'm not making any market calls or fundamental valuation judgments like Warren Buffet does. We just follow the signals our system gives and report the results.
We do do ongoing research on improving our strategies and adding new tradeables. A few months ago, for example, we added the T-notes to our program. We target a daily standard deviation of 4.6%. So when we add something new we have to scale back the positions we are taking in currently active tradeables to maintain the same risk profile. But, hopefully, since the new tradeable won't be highly correlated with our current portfolio, our returns should improve at that given risk level.