|
PureBytes Links
Trading Reference Links
|
The majority of managed futures money is most certainly managed
systematically. The methods may differ from trend following to counter
trend to the non-linear math types but the money is managed systematically
with the only discretion coming from the design of the system. If you
grab a copy of mar and look at the assets under management you'll see
Dunn, Henry, Chesapeake, Graham, etc. all at the top. For whatever reason
most fund of funds and asset allocators prefer a systematic approach when
investing in futures managers. It's just the opposite for the equity guys
but that's just the way it is. You may find some exceptional returns from
some discretionary futures managers but typically they have very little
under management and their return distribution tends to be much more
volatile - check out Friedberg and Gollyhoot.
I have traded systematically for several years and now run a decent amount
of money. I completely disagree that systematic traders tend to blow
out. Although I do agree you will blow out if you're under capitalized or
you testing is over optimzed and shoddy. Drawdowns will happen but
through proper testing you can get an estimate of their length and
duration and be ready when they occur. Of course it's a lot of work but
it should be. Anyone who thinks they should be handed thousands of
dollars or expect 500% returns because they bought tradestation is a fool.
Gary Fritz wrote:
> > Every study I've ever seen on mechanical vs visual/discretionary
> > debate has indicated that over time the mech guys trash their
> > accounts more often and finally burn out sooner that
> > visual/discretionary traders.
>
> Periodically I hear claims that some large percentage of the top
> traders are mechanical. Usually the Turtles are used as an example.
> I know the Turtles haven't done real well lately, and even Dennis
> doesn't follow the system he used to, but I was wondering if there
> was any truth to this claim. Anybody have any way of knowing how
> many top CTAs are mostly mechanical?
>
> > I personally have been a visual/discretionary trader for years and
> > while it's a lot of work (like holding down a real job) I enjoy it
> > immensely. But I like studying the markets more than I like fiddling
> > with gadgets and gizmos. To each his own.
>
> I think that's a lot of it. I've been playing with "gadgets and
> gizmos" of one kind or another since I was a kid, and programming
> computers since 1973. So writing systems comes naturally to me. I'd
> love to be able to read the market like some people I know, but all
> attempts to do so have been expensive failures. Maybe after I'm
> around long enough I'll start to pick up the discretionary skills,
> but so far I do a LOT better if I spend my time fiddling with gadgets
> and gizmos. *AND* doing what they tell me to do. :-)
>
> Gary
|