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Walter,
Hey - I always trade against the funds - it's when I'm trading against Steve
that I get worried <g> (and yes, I'm short July Wheat).
Nevertheless I think you are making a point that has worried me about
Steve's published signals for some time. I do hope Steve rises to the bait
and tells us some more about how he does it.
Now take Cybercast T-Bond trades for instance Feb-May which were more
or less breakeven. No big deal or was it ---
(I'll assume entry at open for this, but it doesn't make that much difference)
23rd Feb Short @ 95.31
20th Mar Short @ 96.25
3rd Apr Short @ 97.81
by 7th/8th Apr highs we were 130pts against that first short ($4000/contract)
Reversed on 28th April @ 96.31
Now that's what I call volatility and I would have thought quite unusual for a CTA.
As far as I can tell, Steve's system works on the principle of a very high ratio of
wins to losses but consequently weathers very large drawdowns. Risk is to a
certain extent limited by diversification but I do wonder how he avoids running
out of money and yet still return reasonable NAVs.
Come on Steve, how do you actually do it. We know it isn't the laser guided
accuracy of the Cybercast signals that keeps you afloat. Don't expect you to
give away any dark secrets but an outline of your money management methods
would be really helpful to some of us I'm sure. I guess the key question is, do
you really truly hand on your heart not use stops? And if so, how do you
calculate your risk of ruin?
Oats will go to "zero" one day... (but very probably not next week).
Cheers
Jeff.
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
> Sent: Friday, 5 May 2000 23:41
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Wheaties
>
>
> Hi Steve
>
> You've got to tell those meat-head CTA's running the funds all about this
> indicator so they won't be stampeding all over the markets.
>
> So ... you go short while all the funds clean out their short positions and
> go flat ... maybe even start to build longs? Gee golly ... what's a poor boy
> to think <G>.
>
> Seriously ... you never mentioned about position size ... are you running
> full size or have you cut back to adjust for risk?
>
> How low can you go before you hit major paper?
>
> Best regards
>
> Walter
>
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