Yes, if you go in at the current market price and get out at a later one.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
trend following delusion shattered
- Thread starter hank rollins
- Start date
- Status
- Not open for further replies.
Folks you are wasting your time. This is the same person who declared that we can't find a derivative curve for time series. So you are argueing with an obvious incompetent. Here you go Nickelscraper, just get on a plane and enroll in a class. All you have to do is fill in the gaps in your education, and you will be able (for the first time in your life) to make a sensible comment.
Otherwise the naive bullshit you continue to post is nothing more than entertainment.
Lefty:
1. Specifying Time Series Objects and their manipulation within S-PLUS
1.1. Creating "timeSeries" objects
1.2. Manipulating "timeSeries" objects
1.3. Plotting "timeSeries" objects
2. Basic Data Analysis
2.1. Rolling Descriptive Statistics
2.2. Exponentially Weighted Moving Averages
2.3. Technical Analysis
2.3.1. Prices Indicators
2.3.2. Momentum Indicators and Oscillators
2.3.3. Volatility Indicators
2.3.4. Volume Indicators
2.4. Recursive Regression
2.5. Testing Normality and Distributional Form
2.5.1. QQ Plots
2.5.2. Jarque Bera Test
2.5.3. Kolmogorov- Smirnov Test
2.5.4. Anderson Darling Test
2.5.5. The Probability Integral Transform
2.5.6. Berkowitz Test
3. Time Series Modelling in S-PLUS
3.1. Fitting ARIMA models
3.2. Forecasting with ARIMA models
3.3. Testing for predictability (independence)
3.3.1. The Brock-Dechert Shenckman Test (BDS)
3.3.2. The Tsay Test
3.4. Testing for Stationarity and Non-stationarity
3.4.1. Dickey- Fuller Test
3.4.2. Phillips-Perron Test
3.4.3. KPSS Test
3.5. Long Memory models
3.5.1. Rescaled Range Test
3.5.2. GPH Test
3.5.3. Estimation of Fractional Integration parameter
3.5.4. Estimation of ARFIMA models
3.5.5. Prediction from Long Memory Models
3.6. Multivariate Time Series Models
3.6.1. Vector Autoregressive Models (VAR)
3.6.2. Forecasting from VAR models
3.6.3. Structural Analysis
3.6.3.1. Granger Causality
3.6.3.2. Impulse Response Function Analysis
3.6.3.3. Forecast Error Variance Decompositions
3.6.4. Bayesian VAR's
3.7. Cointegration
3.7.1. Spurious Regression and Cointegration
3.7.2. Error Correction Models
3.7.3. Residual Based Tests for Cointegration
3.7.4. Regression Based estimates of Cointegrating vectors
3.7.5. Vector Error Correction Models (VECMs)
3.7.5.1. Johansen's Methodology
3.7.5.2. Likelihood Ratio Tests for the Number of Cointegrating vectors
3.7.5.3. Maximum Likelihood Estimation of VECMs
4. Regression Modelling
4.1. Least Squares Estimation
4.2. Hypothesis Testing
4.2.1. Testing for autocorrelation
4.2.2. Heterskedasticity Testing
4.2.3. Testing for Stability
4.2.4. Testing parameter restrictions
4.3. Residual Diagnostics
4.4. Dynamic regressions- Distributed Lags
4.5. Robust Covariance Matrix Estimation and Inference
4.6. Systems of regression equations
4.7. Factor Models for Asset Returns
4.7.1. Factor Model Specification
4.7.2. Macroeconomic Factor Models for Returns
4.7.3. Fundamental Factor Model- BARRA Type
4.7.4. Statistical Factor Models
5. Volatility Modelling
5.1. Basic ARCH/GARCH Models and tests
5.2. Extensions
5.2.1. Asymmetric leverage effects
5.2.2. Two components model
5.2.3. ARCH in the mean
5.2.4. Exogenous explanatory variables in ARCH/GARCH models
5.2.5. Non-Gaussian Error Distributions
5.2.6. GARCH Prediction
5.2.7. Long Memory GARCH
5.2.8. Stochastic Volatility using Quasi Maximum Likelihood (State Space and Kalman Filter Methods)
6. Modelling Extreme Values
6.1. Modelling Maxima and Worst Cases
6.1.1. GEV estimation
6.1.2. Return Level
6.2. Modelling Extremes Over Threshold
6.2.1. GPD estimation
6.2.2. Estimating Tails of Loss Distributions
6.2.3. Risk Measures: Value at Risk and Expected Shortfall
6.2.4. Hill Estimator and Quantile Estimation
7. Copulae and Measuring Dependency with Non-Gaussian Assets
7.1. Measures of Dependency and Failures of Correlation
7.2. Concordance
7.3. Tail area Dependency and Quantile Regression
7.4. Estimating Copulae in S-PLUS
7.5. Simulation with Copulae
7.6. Risk Management
8. Yield Curve Modelling
8.1. Discount, Spot and Forward Rates
8.2. Rate Conversion
8.3. Quadratic and Cubic Spline Interpolation
8.4. Smoothing Spline Interpolation
8.5. Nelson Seigel
8.6. VECM modelling of the Yield Curve with Macro Factors
9. Forecasting With Asymmetric Loss Functions
9.1. Loss Aversion, Lin-Lin Loss and Quantile Regression as optimal predictors
9.2. Measuring Forecast Accuracy
Course Tutor
Mark Salmon, Professor of Finance, Warwick University.
Mark has many years' experience teaching and research in Financial econometrics; behavioural finance; asset pricing; knightian uncertainty; risk management and asset management. Formerly Deutsche Morgan Grenfell Professor of Financial Markets, Cass Business School, London, Mark is also an advisor to the Bank of England and has many links with City Institutions.
Otherwise the naive bullshit you continue to post is nothing more than entertainment.
Lefty:
1. Specifying Time Series Objects and their manipulation within S-PLUS
1.1. Creating "timeSeries" objects
1.2. Manipulating "timeSeries" objects
1.3. Plotting "timeSeries" objects
2. Basic Data Analysis
2.1. Rolling Descriptive Statistics
2.2. Exponentially Weighted Moving Averages
2.3. Technical Analysis
2.3.1. Prices Indicators
2.3.2. Momentum Indicators and Oscillators
2.3.3. Volatility Indicators
2.3.4. Volume Indicators
2.4. Recursive Regression
2.5. Testing Normality and Distributional Form
2.5.1. QQ Plots
2.5.2. Jarque Bera Test
2.5.3. Kolmogorov- Smirnov Test
2.5.4. Anderson Darling Test
2.5.5. The Probability Integral Transform
2.5.6. Berkowitz Test
3. Time Series Modelling in S-PLUS
3.1. Fitting ARIMA models
3.2. Forecasting with ARIMA models
3.3. Testing for predictability (independence)
3.3.1. The Brock-Dechert Shenckman Test (BDS)
3.3.2. The Tsay Test
3.4. Testing for Stationarity and Non-stationarity
3.4.1. Dickey- Fuller Test
3.4.2. Phillips-Perron Test
3.4.3. KPSS Test
3.5. Long Memory models
3.5.1. Rescaled Range Test
3.5.2. GPH Test
3.5.3. Estimation of Fractional Integration parameter
3.5.4. Estimation of ARFIMA models
3.5.5. Prediction from Long Memory Models
3.6. Multivariate Time Series Models
3.6.1. Vector Autoregressive Models (VAR)
3.6.2. Forecasting from VAR models
3.6.3. Structural Analysis
3.6.3.1. Granger Causality
3.6.3.2. Impulse Response Function Analysis
3.6.3.3. Forecast Error Variance Decompositions
3.6.4. Bayesian VAR's
3.7. Cointegration
3.7.1. Spurious Regression and Cointegration
3.7.2. Error Correction Models
3.7.3. Residual Based Tests for Cointegration
3.7.4. Regression Based estimates of Cointegrating vectors
3.7.5. Vector Error Correction Models (VECMs)
3.7.5.1. Johansen's Methodology
3.7.5.2. Likelihood Ratio Tests for the Number of Cointegrating vectors
3.7.5.3. Maximum Likelihood Estimation of VECMs
4. Regression Modelling
4.1. Least Squares Estimation
4.2. Hypothesis Testing
4.2.1. Testing for autocorrelation
4.2.2. Heterskedasticity Testing
4.2.3. Testing for Stability
4.2.4. Testing parameter restrictions
4.3. Residual Diagnostics
4.4. Dynamic regressions- Distributed Lags
4.5. Robust Covariance Matrix Estimation and Inference
4.6. Systems of regression equations
4.7. Factor Models for Asset Returns
4.7.1. Factor Model Specification
4.7.2. Macroeconomic Factor Models for Returns
4.7.3. Fundamental Factor Model- BARRA Type
4.7.4. Statistical Factor Models
5. Volatility Modelling
5.1. Basic ARCH/GARCH Models and tests
5.2. Extensions
5.2.1. Asymmetric leverage effects
5.2.2. Two components model
5.2.3. ARCH in the mean
5.2.4. Exogenous explanatory variables in ARCH/GARCH models
5.2.5. Non-Gaussian Error Distributions
5.2.6. GARCH Prediction
5.2.7. Long Memory GARCH
5.2.8. Stochastic Volatility using Quasi Maximum Likelihood (State Space and Kalman Filter Methods)
6. Modelling Extreme Values
6.1. Modelling Maxima and Worst Cases
6.1.1. GEV estimation
6.1.2. Return Level
6.2. Modelling Extremes Over Threshold
6.2.1. GPD estimation
6.2.2. Estimating Tails of Loss Distributions
6.2.3. Risk Measures: Value at Risk and Expected Shortfall
6.2.4. Hill Estimator and Quantile Estimation
7. Copulae and Measuring Dependency with Non-Gaussian Assets
7.1. Measures of Dependency and Failures of Correlation
7.2. Concordance
7.3. Tail area Dependency and Quantile Regression
7.4. Estimating Copulae in S-PLUS
7.5. Simulation with Copulae
7.6. Risk Management
8. Yield Curve Modelling
8.1. Discount, Spot and Forward Rates
8.2. Rate Conversion
8.3. Quadratic and Cubic Spline Interpolation
8.4. Smoothing Spline Interpolation
8.5. Nelson Seigel
8.6. VECM modelling of the Yield Curve with Macro Factors
9. Forecasting With Asymmetric Loss Functions
9.1. Loss Aversion, Lin-Lin Loss and Quantile Regression as optimal predictors
9.2. Measuring Forecast Accuracy
Course Tutor
Mark Salmon, Professor of Finance, Warwick University.
Mark has many years' experience teaching and research in Financial econometrics; behavioural finance; asset pricing; knightian uncertainty; risk management and asset management. Formerly Deutsche Morgan Grenfell Professor of Financial Markets, Cass Business School, London, Mark is also an advisor to the Bank of England and has many links with City Institutions.
I see you still prefer insults and quantity over quality in your posts. This is always easier when you have no valid argument.Quote from Lefty62151:
Folks you are wasting your time....
That aside, I'm willing to give due consideration to what you have posted and thank you for whatever worthy motivation you might have.
Quote from NickelScalper:
It's not about "believing" price will go your way, but reliably calculating it.
Again I ask you: how can you concretely prove that any currently profitable system is not just "temporarily" successful and ultimately "unreliable"? How do you quantify in the first place the necessary profitability and longevity required to achieve "reliability" in your terms? Isn't your standard of reliability just revealing your concept of what you consider "theoretically acceptable" profitability -- in other words, your assessment about how markets should work and who "deserves" their profits or not?
Your line of questioning isn't out of left field, you are just bringing a certain viewpoint to the markets that is filtered through the manner and the methods with which you are capable of employing. I believe reliability is ultimately in the eye of the beholder, as is causality of what makes a trade work or not -- I can repeatedly ask this forum for "proof" to the contrary, but I doubt I will ever get a satisfactory answer. You as well are repeatedly posting a question which you've already answered in your own mind, and beyond asking the rhetorical I don't get the point except to show how thoroughly convinced you are of your own market view.
After all, that is what this thread is really about. So I'm curious: you once said big money was made in 2000 betting against companies that publically available techniques overvalued -- I'll wager that even bigger money was lost attempting that very same bet in 1997, 1998, and 1999. Can I assume that you were not as yet fully implementing your beliefs in the markets during that time period? If that assumption is incorrect, can you give a hint as to how you avoided ruin during that time, consistently betting against the momentum chasing crowd? Because anyone who states that "big money could be made shorting publicly available techniques after 2000" seems to be making the same mistake of misattributed causality that you claim is so egregious in trendfollowers -- do you see why?
I see you prefer to avoid addressing the main issue. You speak about a subject about which you know very little. Do you feel insulted or just embarrassed that you have no reply to my point.
I prefer competence. I prefer practical knowledge to pompus pronouncements. I prefer people who have something to offer.
Aside from asking the same silly question over and over, you have made no statement that advances anyone's understanding of the issues.
None of your comments would motivate a person to assist you.
Your approach sucks.
I just posted the agenda from a class that would provide all the information you need. All you have to do is have the appropriate math background and tuition to gain entry. Classes like this are available at Universities across the country (and around the world).
Now I have "answered" your basic question twice.
Lefty
I prefer competence. I prefer practical knowledge to pompus pronouncements. I prefer people who have something to offer.
Aside from asking the same silly question over and over, you have made no statement that advances anyone's understanding of the issues.
None of your comments would motivate a person to assist you.
Your approach sucks.
I just posted the agenda from a class that would provide all the information you need. All you have to do is have the appropriate math background and tuition to gain entry. Classes like this are available at Universities across the country (and around the world).
Now I have "answered" your basic question twice.
Lefty
Geez, you guys do anything except argue and tell each other how great your trading is without revealing your systems? You're like a bunch of peacocks.
I come here from another BB called FT-Talk. We always help each other and freely share our trading and systems. And we make a lot of money doing it.
I was discussing Altucher's systems on FT-Talk and someone recommended this board. I figured I could have an intelligent discussion with knowledgable traders. Guess not. What a waste. Hasta la vista.
I come here from another BB called FT-Talk. We always help each other and freely share our trading and systems. And we make a lot of money doing it.
I was discussing Altucher's systems on FT-Talk and someone recommended this board. I figured I could have an intelligent discussion with knowledgable traders. Guess not. What a waste. Hasta la vista.
Lefty the Clown, or facsimile thereof:
I have asked several challenge questions in this thread, and you have responded to exactly none of them. The plain truth of this fact is obvious to anyone reading along, especially when considering those who have brought up intelligent points which required me to reformulate.
Rather, in complete ignorance, you prefer the tactic of trying to discredit me personally. One of the many examples of this cotton candy where steak was ordered is the issue of the differentiability of a time series. My statement there was correct. Then you switched to a curve approximating that series, which is close to, but not quite, what I said and not applicable in context.
The use of the "red herring" fallacy has characterized all of your flimsy commentaries on the topics I have brought up. What a disappointment.
I think my contributions on this matter have run their course, but not because of your pathetically amusing harassment. My recommendation is that you stop holding your breath out of spite for people you don't know. It's unhealthy and could make you even more frivolous.
So long, Lefty. I hope life gets better for you.
I have asked several challenge questions in this thread, and you have responded to exactly none of them. The plain truth of this fact is obvious to anyone reading along, especially when considering those who have brought up intelligent points which required me to reformulate.
Rather, in complete ignorance, you prefer the tactic of trying to discredit me personally. One of the many examples of this cotton candy where steak was ordered is the issue of the differentiability of a time series. My statement there was correct. Then you switched to a curve approximating that series, which is close to, but not quite, what I said and not applicable in context.
The use of the "red herring" fallacy has characterized all of your flimsy commentaries on the topics I have brought up. What a disappointment.
I think my contributions on this matter have run their course, but not because of your pathetically amusing harassment. My recommendation is that you stop holding your breath out of spite for people you don't know. It's unhealthy and could make you even more frivolous.
So long, Lefty. I hope life gets better for you.
I have explained to you why you have received no answer that is to your liking. Its your bubbly personality.
I do not try to discredit you. It is easier to watch you do it yourself.
You still have not commented on any of my points. Again one must assume you have insufficient background to make any intelligent comment.
You are a poser.
Get some credentials and come back when you have something to contribute. Until then this is a sample of the reception you will receive.
Lefty.
Edit:
To Postal and others:
Nickelscalper is sucking around for information. He has nothing to offer from his own repertoire.
Like others, I have had enough of him.
I have posted the kind of information that anyone with character might use to "do their own homework". Nickelscalper is having none of it, probably because he does not have a sufficient understanding of math, and because clearly he is a lazy bastard who wants us to take care of him.
Read as much of this ridiculous thread as you can stand, and make up your own mind.
I have other things to do today.
Good luck to you,
Lefty
I do not try to discredit you. It is easier to watch you do it yourself.
You still have not commented on any of my points. Again one must assume you have insufficient background to make any intelligent comment.
You are a poser.
Get some credentials and come back when you have something to contribute. Until then this is a sample of the reception you will receive.
Lefty.
Edit:
To Postal and others:
Nickelscalper is sucking around for information. He has nothing to offer from his own repertoire.
Like others, I have had enough of him.
I have posted the kind of information that anyone with character might use to "do their own homework". Nickelscalper is having none of it, probably because he does not have a sufficient understanding of math, and because clearly he is a lazy bastard who wants us to take care of him.
Read as much of this ridiculous thread as you can stand, and make up your own mind.
I have other things to do today.
Good luck to you,
Lefty
Still boxing with party balloons, I see.
How sad.
How sad.
OK, Lefty and Nickel. Instead of dissing each other, why don't you let your strategies talk for themselves?
I'll give give you an example of what I do....
One of my strategies is to combine trading of several exchange traded funds using a combination of exponential moving average crossovers and histograms of stochastic and macd. The ETFs I'm currently using are ewo, iyr, iwn and xle and the five year historical return is 23% annual with max drawdown of 5.5%....
I can post the actual params for the system if your interested....
My point is that if you have a system that can be evaluated objectively by others, you can bluster all you want and it won't matter if the system doesn't perform.
But, if you're just talking about some great strategy you're not willing to share, what's the point? You're wasting everybody's time, including your own.
Just my thoughts.
I'll give give you an example of what I do....
One of my strategies is to combine trading of several exchange traded funds using a combination of exponential moving average crossovers and histograms of stochastic and macd. The ETFs I'm currently using are ewo, iyr, iwn and xle and the five year historical return is 23% annual with max drawdown of 5.5%....
I can post the actual params for the system if your interested....
My point is that if you have a system that can be evaluated objectively by others, you can bluster all you want and it won't matter if the system doesn't perform.
But, if you're just talking about some great strategy you're not willing to share, what's the point? You're wasting everybody's time, including your own.
Just my thoughts.
- Status
- Not open for further replies.