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Very interesting results.
Can you clarify exactly how the 10 year note hedge works?
Thanks.
> -----Original Message-----
> From: ViperTrading [mailto:viper@xxxxxxxxxxx]
> Sent: Wednesday, February 20, 2002 12:58 PM
> To: omega-list@xxxxxxxxxx
> Subject: Oddball real performance
>
>
> Dear List:
>
> I have been watching this string attacking Mark and his free
> Oddball system
> that he provided to all of you. Once again, it's the same old babble back
> and forth - from people who spend their time typing these emails
> attacks and
> don't really trade in the first place, they just play with computers.
>
> Being a professional money manager (and not a techno weenie) for over a
> decade with the major firms - I felt quite ignorant not knowing what
> "Oddball" was prior to September 2001 having owned TradeStation for years.
> However - I studied the statistics from Mark's models and created a risk
> model to fit them into -similar to what I have used before when selling
> options. It took me about a day to put it together - and about 2 weeks of
> of putting real money at risk to truly guage where I found it to
> be the best
> risk/reward ratio in the eyes of institutional allocators if I decided to
> add these models to my CTA programs.
>
> Here's what I got:
>
> 1) Oddball:
>
> November 2001: - 4.76%
>
> December 2001: did not trade - transferring accounts from 1 FCM to
> another
>
> January 2002: - 2.07%
>
> February 2002 *: + 15.76%
>
> Since November 1, 2001 - February 19, 2002: + 8.00%
>
> Worst peak-to valley drawdown: -11.61%, January 2002
>
>
>
>
> 2) Oddball w/ 10 year US Note hedge:
>
> November 2001: + 11.50%
>
> December 2001: did not trade - transferring accts from FCM to new one
>
> January 2002: -3.43%
>
> February 2002*: + 4.90%
>
> 11/1/01 - 2/19/02: + 12.95%
>
> Worst peak-to-valley-drawdown: - 8.66%
>
> Now these are REAL NET performance - the good with the bad - slippage is
> present and the commission rate being charged is $25 per contract
> p. RT! I
> figured that if your rate is between $10 - $12 p .rt, one could
> add another
> +3.5% to those figures.
>
> When these CTA programs open up in March - commission rates will
> probably be
> at $10 p. RT like the institutional allocators only allow for, so if you
> follow the same principles - your costs will be very low. I have
> about $250
> k invested in these models as we speak - when real money is at stake - one
> forces themselves to develop risk management measures and one has to do it
> themselves.
>
> Backtested data should only be used as a guide - the rest is
> placed on sound
> cash management. Oddball works great - plain & simple - you just need to
> know how to use it.
>
> I'm no techno weenie but I do see a good raw model when I see one and
> Oddball is just that - so if you understand programming which I
> have no clue
> about - tweak the system until it fits your risk tolerance and realistic
> performance expectations and end this string!
>
> Viper
>
>
>
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