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Hi Nocona, I'm glad to hear that Sky is making $'s. Re the MACD hourly is she using a Signal line x/over or a Center line x/over as the confirmation? Maybe something else? In any event an intra-day confirmation makes a huge amount of sense to me.
This has been going on since 1970. Against the backdrop of overpaid/undersocialized/poorly educated/immature individuals (thats the players) with more agents than trainers the English press has hounded the governing body into one poor selection of manager after another. Hence the FA will never take a chance and will dump the coach at the first sign of failure. Typically the coaches leave as broken men prematurely aged. When you consider some of them Taylor, McClaren etc. it wants believing.
In recent years (say the last 15) an additional problem has arisen that being the huge influx of imported players which has stalled the development of young English players. This has meant that the EPL is the strongest in the world but at the cost of the domestic talent.
And yes you are correct, life is too short to drink bad beer. Try Coopers Pale Ale (green label) from Coopers Brewery in South Australia when you get the chance (if you haven't already). Other than that my preference is the Helles style German lagers.
Not sure where you get the "better team" bit from. I'm English and what I saw was a reasonably well-drilled TEAM of middling Premier League players take on a bunch of over-paid donkeys (Gerrard and Cole aside) who (including Gerrard and Cole) appeared to be a bunch of complete strangers. Nothing new there, pretty well standard for England in the world cup.
Totally agree, I read it every day.
I think the gift subscription says it all. Glad to hear your two are making $'s.
John
Capt, do you have a link to (or an actual ss) which provides a decent example of caculating the Effcient Frontier for a multi-asset portfolio? I would rather not re-invent the wheel if necessary. I am interested in playing around with this a bit.
Thanks.
ETF Timer, Extreme Trader (there I subscribed RIGHT at the bottom of the DD - to the day I believe! I knew it was the same code base as SMA and therefore that DD seemed to be rather at odds with past live performance - since then it's running about about 80%pa with no margin). Those two are on C2. MVP but I am filtering the trades based on a few criteria and UltraR (from Drew on the HG group) again with some slight mods. I also have a variation on the Ivy Portfolio (google for more info) which I am using as an alternative to cash.
One of my big problems in the past has been committing enough of my brokerage account to make any decent money. I have found that trading multiple systems (i.e. trying to be significantly diversified) has helped me to break out of that mindset.
I still frequent the HG/MVP boards and read pretty well everything on the MarketSci and CSS Analytics blogs.
And of course I am still hammering away at stuff in Excel!
"I have become convinced that having multiple trading strategies is the way to go."
Couldn't agree more I am just stunned it took me so long to recognize the obvious.
Nocona, I am happy that your daughter is following in your footsteps - I'm sure with you teaching her to fish she'll do very nicely. I hope (only hope mind no pressure!) that one of mine will be interested in what I have learnt thus far about those pesky markets many of us are obsessed with. It'd be like averaging down some of the pain I have experienced en route!
Till next time.
Jon, here is a link to a paper by the Ivy author that goes into some detail. The book covers other topics but this is the vanilla Ivy methodology. The link is correct but doesn't always work(?!) so you may need to close your browser once or twice!
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
Thanks for the link to the charts I will have a look at those later.
John
Yes, it's been a while - I've been very busy working on a few systems. I certainly didn't mean diversification + buy and hold. That notion makes me feel rather ill! I just meant that there are a few simple things that do add value i.e. Diversification and the Golden Cross. On their own they are not enough and would probably test the patience of a saint but start putting a few of them together (avoiding complex rule sets) and things can improve a lot. IMO the Ivy Portfolio is a great example of this (at a very simplistic level) this gives CAGR of around 10% and a average annual max DD of a similar amount. That might not sound too clever but it's just a simple example of synergy that will stand the test of time.
My big takeaway from the last few years is that next time it'll be something else so anything overly complex will probably blow up the next time there are some dramas.
John
Nocona, nice to see you posting again. BTW Ruby is nearly two now and is a eating machine which at this stage of the game is a wonderful thing. Disposition of an angel too so sometimes I wonder where those genes came from!
John
Jonr, I have a fair bit of time playing around with this idea and was using a price dip of 2% as a trigger instead of the lower low thesis but ultimately I favor the latter as I think it is less of a curve-fit.
Also I am using two sets of parameters 30/50 50ema<200ema and 50/70 above. I have never really traded this but keep coming back to it time and time again because of it's simplicity. I tend to believe that layering multiple indicators on top of one another is best avoided and that simple time-honored techniques like diversification can yield very decent returns if you are patient. Avoiding that black swan is paramount thereafter 20-30%pa is fantastic IMO if you can do it year in and year out.
I do like your idea of trading this model only when there is a clear trend in place. If the market is whip-sawing then this model does seem to take it on the chin. I'm going to investigate this a bit further.
John
Thanks for the post very informative. This is significant "a coordinated intelligence gathering operation produces a constantly evolving series of threat analyses and vulnerability studies.". In the US they are sort of ready for the type of attack that JUST happened and that IMHO is the biggest issue.
Yes they are very serious. I got more or less the same treatment leaving Tel Aviv after that first trip with her dad who used to work for Israeli customs looking on, he clearly knew one of the two El Al personnel who were profiling me (they even waved at him!) but that didn't stop them grilling me one little bit.
I am married to an Israeli when I first flew there with her not long after we were married I was interviewed for maybe 20 minutes and we went through all the stamps in my passport (it's a lot). I was asked to explain the purpose of each and very trip. They stare at you the whole time and are clearly trained to detect any lies or inconsistency. Furthermore (as far as I am aware) all El Al fights to Israel go out of separate areas and you are under a lot of observation which would be difficult to cope with if you were intending some illegal act.
As the Capt says typically Muslim, male and 17-40 is a common factor. It is quite clear that's the case. Personally I think everyone should be given a full body scan and all non-infants then s/be subjected to some kind of brief electronic version of the Israeli approach looking for variations in pulse, sweat, eye movement etc. Maybe there could be cargo only planes once a day which would take all the luggage. There is a cost/benefit equation here and I think we are getting close to the point where the costs of stopping this problem dead in it's tracks is becoming unavoidable.
To those who say terrorism cannot be defeated I would cite the defeat of the Kamakazies pilots and the U-boats in the North Atlantic. Both had great success at first then a combination of technological advances and determination put paid to both. At the end of WWII the overall mortality rate of a German sumariner had hit 50%. Clearly robots and stealth technology will prevail in the end but the lessons of the past cannot be ignored typically America won those wars where the gloves came off when they didn't it lost.
Just imagine being on the right side of that relationship with a pairs trade i.e. SPY:GLD.
Interesting stuff although I think secret #1 should be "You are going to get totally ripped off" or maybe it's so transparent it's not a secret anymore?
I am in the midst of getting an implant done - it will be around $4.5k. I think the average mugger would give you a better deal...
Thanks.
BW, do you know of any good links for Currency blogs and the like? I am especially interested to read about where people think the Aussie $ is headed.
Thanks
John
Gloe, this is the only blog I read religiously from top to bottom. He has some very interesting articles and a great handle on curve fitting. Well worth reading especially if you are interested in trading system development.
John
No luck there but thanks for the thought.
Does anyone know of a source of online trading volumes i.e. the total volume in $'s of all individual trading using the online brokerages? Estimated # of traders would be good too with the most granular level possible (i.e. daily or weekly). I've had a bit of a search but I think someone here might know of something.
Thanks
John
On Zacks.Com I came across this formula (originated by John Bollinger) for normalizing the VIX (or VXN/RVX etc. one presumes)
Normalized VIX= (VIX/200-day Simple Moving Average of VIX-1)*100
using this in it's literal sense yields a lot of negative #'s when the VIX is declining (like now)
simplyfying the original formula it resembles the following
=(VIX/200SMA-1)*100
does anyone have an alternative perspective on the use of parentheses here? Personally I have always tended to over-use brackets as a means of clarifying logic.
John
I've spent a fair bit of time looking at that strategy. In recent years (over a reasonable time-frame i.e. a few months) it's typically worked well. The main issue with it is that from 1985 through the end of 1991 it dribbled downwards with a BIG dd due to the fact that Mean Revision wasn't the phenomena it is now. Then it took off and has done well most of the time every since.
John
Specifically I think "RSI 14 is >35" s/be "<35".
Marc, I was having a stab at this. Could you check all those trigger values please?
Thanks
John
I coded this idea in Excel about three years ago. My version is using NDO though (I always thought it was more realistic to do this) I pulled up my old spreadsheet and turned off all my "extra" stuff (and there was a lot believe me as I tested one extra indicator after another) so I have vanilla Nocona.
I get a CAGR of 19.80 using a proxy 2* on the NDX (going back to 1985). Max realized DD is 44.2%. Annualized I have
Year Year
1985 1.14% 1997 35.69%
1986 -5.15% 1998 45.67%
1987 -8.93% 1999 22.22%
1988 2.29% 2000 114.30%
1989 19.74% 2001 8.21%
1990 -19.93% 2002 54.92%
1991 23.35% 2003 57.90%
1992 9.98% 2004 7.88%
1993 24.42% 2005 15.62%
1994 22.32% 2006 8.51%
1995 37.39% 2007 21.17%
1996 61.51% 2008 -5.66%
2009 -7.41%
I am using a $8 commission.
It's funny a few years later and a fair bit wiser I think I might revisit this with one or two of the things that I have picked up.
John
AJ, I used to lived in Munich for a while. I had an American friend stay with me for a few weeks and he was commuting (and I'm not kidding here) to Frankfurt and back. It's about a 500 mile round trip. He had a BMW and just floored it - maybe he was averaging 130mph (up at 5am back by 9pm). We rented a van once (when we were both moving back to the UK) and he really did floor it all the way. I remember coming off the autobhan to get some gas and he was going so fast I still cannot believe we didn't take out a gas pump. We frightened the life out of everyone in the gas station.
I had an oldish Audi that was good for 115mph so I would cruise at 110mph (and still get burnt off by other cars like Porsche's doing 130mph+). I drove to Sheffield in the north of England for a weekend once (~715 miles each way). Progress was slow outside of Germany but I remember coming back and once I got on the Autobhan I simply didn't want to get off. I got home totally buzzed after the 110mph bit and was seriously thinking about going to Vienna for the night. Luckily I had the good sense just to go to the local pub!
John
Jerry, how did you make out with your VBA for sending signals to C2? I know HOW to do this but is it reliable (data feed issues aside that is)?
Thanks
John
"Almost a Quadrillion" - SOUNDS LIKE THE NEXT BAILOUT...
Thank you Mr. Blasher that's pretty clear.
Arjunah, what exactly does Options Expiration Percentage Movement represent. Is it a calculation of some kind? I have searched online and found zilch on that precise topic.
I got it on a birthday card for someone last year. Cheny says to Bush (something like) "We've been promised 80 Brazilian Troops for Iraq" and Bush whispers back "Excellent, er how many is a Brazilian?".
Mong, thank you so much for the constructive insight. I am always appreciative when such learned types as yourself manage to find the time to guide and assist us mere mortals.
That would explain why I haven't (I'm serious as well) bought a new suit since 1993 (it was a good one though)! I only wear it for funerals and interviews and as my weight never changes it's still a viable proposition (unlike the thought of laying out a grand for a new one).
Well I might try and work out what you are up to I think.
Am I a lucky general?
Arjunah, thanks for the reply. I saw one of NM's posts elsewhere which said
"The OPEM tracks ALL the actions of ALL the PLAYERS from Todo EL Mundo and Extrapolates the most likely play to be made by da-Boyz to rape-n-pillage said players. This Extrapolation process centers on ONE thing, the QQQQ's Option strike price on the previous CLOSING OE period and the amount da-Boyz will deviate from said "LINE in da-Sand" as they manipulate prices and entice players to place their bets!
That said, there is litterally a Hourly, Daily, Weekly, and OE period that exist on this same playing level in regard to amount of deviation and meaningful lines that suggest whether the deviation will be Up, Down, or Much to do about nuttin within those time frames!?"
Can you shed any more light on this i.e. in the form of
OEPM = X +-/* Y?
Thanks
John
That guy has a great site. I've read and digested most of it. His ideas helped me join up the dots on a number of strategic concepts.
John
Pardon my ignorance OEPM=? Options Expiry Perfect Model?