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Longer Timeframe Trading Models - any thoughts?
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Longer Timeframe Trading Models - any thoughts?

  #1 (permalink)
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Longer Timeframe Trading Models - any thoughts?

Guys....this is more to gain insight from folks who are into longer timeframe trading.

a) Do you guys use any modelling.
b) If so what do you use to model....Matlab/R /Excel ..etc etc?
c) Were you able to get out of harms way in 2000 & 2007...or moreso lock in profits before a big turn down
d) likewise were you able to get in during 2003 & 2009

Well since so many people with wonderful experience and expertise....thought of checking on your thoughts.

If similar stuff has been asked....pls do not flame me

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got answers to a) & b) here to what i was looking for https://futures.io/elite-automated-trading/29764-big-mike-s-custom-trading-platform-22.html

For c) & d) ...feel free to leave comments.

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Hi Paps, I took the numbers of 10 of the more prominent funds to get an idea of those LTTF performance for those particular years you mentioned and benchmarked it against the S&P return along with 2008 just to put those numbers in context.

1. Profit Wise - The LTTF models were profitable in those years except 2009 which probably would be due to the quick global recovery causing the whipsaw in the models.

2. Excess Returns - For those 4 years, the LTTF annualized beat the S&P in 2 years and was less in the other 2. Avg return was less by 0.55% vs the the S&P. However, if including the 08 crash which they did spectacularly, the excess return would be by 13.77.

3. Risk Adjusted Returns - In terms of sharpe ratios, the LTTF outperformed the S&P 500 by 0.90 vs 0.72. If including the 2008 crash the LTTF dominated the sharpe ratios by 1.09 vs 0.11.

In summary from only those years being analyzed, the LTTF models got whipsawed in 2009 but overall beat the benchmark S&P in risk adjusted terms and more so if 2008 were to be included.

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Hey @Ming80 this is very interesting stuff. Glad that you brought this upto the table

All seemed to have pretty decent data ...i must say. The Column's indicate their yearly performance or is it a benchmark against the S&P?

Any idea what they offer as part of their portfolio or their modelling in general. Will try and study this...as this is good data as i think for 09 per data & my h2c...it seems the discrepancy has been caused due to a cautious Intermarket analysis due to which the entry is late & hence the negative co-relation to the S&P. 09 was a flier so a entry after May would be behind the S&P...

thoughts?

thnx
s

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Hi @Ming80 are there Ticker symbols one can pull for the listed funds. Would love to see historic data. Are these listed on the US exchanges,,,any idea? Sorry but dont have much idea on MFs.

thnx
s

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Hey Paps,

You can get some data from these links. The last one for more HF styles apart managed futures.

Managed Futures Research Specialists - Commodity Trading Advisors - International Traders Research
IASG Managed Futures, Commodity Trading Advisors > Home
Research on Hedge Funds, Fund of Funds, and Managed Futures | Alternative Investments

The columns indicate their individual end of year performance and the extreme right column is their excess return vs the SP500. The data seems to match the idea that the funds were underperforming early 09 whereby SP500 only closed above the 200DMA in june 09 which started the 'risk on' environment across asset classes. But such is the nature of trend following ... to only enter (in this case stop and reverse) only after the new trend has been established.

On portfolio composition, one can infer that interest rates had the most significant impact on their returns being the largest weight for several of the funds. Hope this helps.

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Last edited by Ming80; May 18th, 2014 at 09:25 PM.
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Hi @Ming80 this is good stuff....let me check those links. Would love to see the fund past n present performance and AUM distribution/allocation. Lol...not sure if that might be available on public domain. But the data is fantastic....if someone is able to play with large AUMs and consistently pull such good ROIs. And kind of agree with the Interest Rate analogy which would play a big part i guess.

cheers
s

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Re: c) and d), it depends on how active you are. What I've learnt is that whilst I'm in a position I must always be looking out for unexpected news events.

You may want to control positions with conservative/tighter stops when taking positions over longer time frames because you're exposing yourself to market moves against you the longer you're in the market (and thus exposing yourself to fat tail events). By conservative I mean in the sense that if the market moves against you (and ends up going a long way, which you want to protect against) you want to get filled on your stop not have the market run you over on it. In that sense you may find that you don't get much room for the trade to breathe initially though, and the measure of that stop is really up to you. Some interesting topics but really risk control of your overall strategy is what is key. So what strategy are you using to control your risk?

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sands View Post
Re: c) and d), it depends on how active you are. What I've learnt is that whilst I'm in a position I must always be looking out for unexpected news events.

You may want to control positions with conservative/tighter stops when taking positions over longer time frames because you're exposing yourself to market moves against you the longer you're in the market (and thus exposing yourself to fat tail events). By conservative I mean in the sense that if the market moves against you (and ends up going a long way, which you want to protect against) you want to get filled on your stop not have the market run you over on it. In that sense you may find that you don't get much room for the trade to breathe initially though, and the measure of that stop is really up to you. Some interesting topics but really risk control of your overall strategy is what is key. So what strategy are you using to control your risk?

Yes true @ sands thanks for the comments.

cheers
s

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