Welcome to my online repository of research and insights on automated trading system development
At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running [...]
Entries from December 23rd, 2010
Practical Leverage Space Model – a More Realistic Test
December 21st, 2010 · 18 Comments · Money Management
How can you apply the Leverage Space Model in real-life trading? The last study on the Leverage Space Portfolio Model was interesting from a theoretical point of view. Its main value was in illustrating the concepts of the framework with real-life data, but it did not have much practical application: on top of some “unpractical” [...]
Tags: lspm·ralph vince
Trend Following Wizards – November 2010
December 14th, 2010 · No Comments · Trend Following, Trend Following Wizards
In line with the State of Trend Following report, most of the Wizards have ended the month in the red in November The average monthly return stands at -3.3%, which brings the YTD performance to +8.41%. Here are the individual results for last month – only one positive number:
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Low Winning Percentage = more Robust Systems?
December 9th, 2010 · 17 Comments · Money Management
One of the characteristics that deter traders from using Trend Following is the typical lower winning percentage rate (i.e. ratio of winning trades vs. losing trades) of such systems. It goes against the natural instinct of “wanting to be right most of the time” as trades end up in a loss more often than [...]
Tags: ralph vince·tiger
State of Trend Following: November, Up-and-Down month
December 7th, 2010 · 2 Comments · the State of Trend Following, Trend Following
The headline figure for November (-3.66%) does not sound as dramatic as what happened during November for Trend Following. After a quick spike upwards at the beginning of the month, following the best month of the year so far, a sharp reversal took place taking all systems into the red (and most stayed in [...]
Tags: report
Vince's Optimal f and the Leverage Space Model – Take 1
December 2nd, 2010 · 19 Comments · Money Management
Following the Risk-Opportunity Analysis conference I attended earlier this month, I decided to test the model and the software used to implement it (Vince‘s java app and Joshua Ulrich’s R implementation). Most of the mathematical formulas supporting the model are in the book Leverage Space Trading Model. I will not paraphrase the book and reproduce [...]
Tags: lspm·ralph vince
