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Let's keep this within the bounds of polite debate. MG, I've tried a couple
of backtesting runs with this on the S&P and on baskets of stocks, over 5,10
and 15 year periods, and show losses consistently. Perhaps you could give us
an example of the operation of the system in practice and the securities
that it can be used on, so we can verify? It doesn't have to be your most
tuned, proprietary version, but enough to demonstrate that there is some
verifiable substance here.
Andrew
-----Original Message-----
From: Jose [mailto:josesilva22@xxxxxxxxx]
Sent: Tuesday, March 01, 2005 9:04 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Theta model
> Well, we have a couple of clients putting millions of real ZAR into
> this simple model, in real trades, making real money....
RG, I hope you are on a commission basis with them. ;)
You should be doing quite nicely by the sound of things.
> Many central banks nowadays utilise a suite of models rather than just
> a single model as they did just a couple of years ago.
I'm really curious now... which central banks are these, which trading
models do they utilize, how do they apply them, and how do you know
about them?
> One where the exponential decay weight is optimised for.
I'm stiil curious as to how you optimize your EMA.
BTW, you keep mentioning "we" & "us". Are you part of a large
development team? I envisage a team of modeling scientists &
mathematicians, all in their white starched apparels, pouring over
countless model backtests on "extensive databases".
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
>
>
> Well, we have a couple of clients putting millions of real ZAR into
> this simple model, in real trades, making real money....
>
> OK, in all honesty, this model is part of a huge array of models that
> we use, for real clients, trading real money etc etc, but it is a
> significant part of that array of models.
>
> Apologies for the theory, but a lot of recent research has made it
> clear that one should use a suite of models, not just one. We have
> devised all sorts of pratical ways to, in a theoretically sound
> manner, combine the results of many different models into something
> that leads to sound decision making in the real world, but does not
> shy away from the theory or the intricate implementation required to
> make it work in practise.
>
> But don't just look at us.... Many central banks nowadays utilise a
> suite of models rather than just a single model as they did just a
> couple of years ago. A lot of the jargon comes from central banks'
> modelling teams. The theoretical and practical reasons for this are
> many. Some models work better in the short term, some in the long
> term, some are better for cyclical markets, some for trends. Some
> give you target levels, some models provide extreme values. The theta
> model that I am sharing with this group is an amazingly simple model
> that proved itself (don't believe me, read the article) in a variety
> of applications and for a variety of time series.
>
> I think it has relevance to the real world of trading and was
> requested by members of this real world group to provide code for it.
> This I did, for your viewing pleasure and perusal - a right, which I
> note, you are exercising to the full.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com http://www.ferra4models.com
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose" <josesilva22@xxxx>
wrote:
>
> MG,
>
>> One where the exponential decay weight is optimised for.
>
> Optimized to what, equity curve, market cycles? Curve fitting, maybe?
>
>
>> Of course it works. In a scientific study, referred to before,
>
> The real question is, does it work in the *real world*, with *real
> trades*, using *real $*. Or is it just another paper study/theory,
> dressed in quant jargon, with little or no relevance to the real
> world of trading?
>
>
> jose '-)
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