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It's typically a contrary position in the US 10 year note at a fixed
notional value ratio - in other words, using a certain number of S&P
contracts vs. bond contracts. I played with different ratios with real money
until I found a comfortable risk tolerance with acceptable max.
peak-to-valley draw-downs (-8.66%). I use a proprietary bond model to
counter the regular Oddball in its standard form. Think of the Vanguard
Star Fund - a popular 401k fund that combines 5-7 different funds to make 1.
I have two models in place and plan to add 1 - 2 more to the pot to
hopefully cut down on the max. draw-down and smooth out the equity curve a
little more.
It's up about + 3.75% YTD through today (2/21/02)- net of fees, commissions
& expenses whereas the regular Oddball Program that I run with proprietary
risk constraint models coupled with simple moving averages, and
support/resistance calculations is up + 20.60% YTD but the max.
pk.-to-valley is at (-11.61%). There's a tradeoff everywhere you go!
I've only been at it with real money for less than 3 months: November,
January, and February (client accounts transferred FCMs from PMB to Man
Financial when PMB was bought by Refco in December). So it's not really a
thorough snapshot to say the least! Yet it did (the U.S. Financial
Program: bonds + S&P) yield +11.5% in November so I do feel there is a lot
of value in the risk management of the system(s) combined since its provided
a total return for me to date of +15.6% (net of fees & expenses). I guess
the best thing is to look at it a year from now to see how I wound up with
real dollars - none of the allocators want to see to backtested data - only
the real return - so I plan on living and dying by the sword since the
Programs will be an official CTA next month.
Best wishes Gene and thanks for your question!
Mike
www.vipertrading.com
----- Original Message -----
From: "Gene Pope" <gene@xxxxxxxxxxxxx>
To: "ViperTrading" <viper@xxxxxxxxxxx>
Sent: Thursday, February 21, 2002 6:31 PM
Subject: Re: Oddball real performance
> Hello Viper,
>
> As part of my continuing education... ;~)
>
> Could you elaborate a bit more on how you set up the hedge? Is it just a
> contrary position or does it follow a specific formula based on risk?
>
> Thanks for your time.
>
> Best regards,
>
> Gene Pope
>
> ----- Original Message -----
> From: "ViperTrading" <viper@xxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Wednesday, February 20, 2002 12:57 PM
> 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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