My Hedged Fund - Another "Trend-Following" Post

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Old Jan 2, 2011, 11:32am   #11
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Re: My Hedged Fund - Another "Trend-Following" Post

And sorry I should have said (apologies if I'm stating the obvious) you can calculate the annualized vol by simply taking the standard deviation of daily returns multiplied by 260.
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Old Jan 2, 2011, 3:23pm   #12
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Re: My Hedged Fund - Another "Trend-Following" Post

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As I'm sure you know they have different methods of measurement when it comes to performance compared to your average day trader
You mean John Henry and David Harding aren't trying to make 50 pips a day?

Good replies, interesting to hear the professional view. Are you still on the buy side or independent now?
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Old Jan 2, 2011, 4:11pm   #13
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Re: My Hedged Fund - Another "Trend-Following" Post

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Good replies, interesting to hear the professional view. Are you still on the buy side or independent now?
I'm actually back on the sell side now for my sins. I'd love to spend my days at home day trading but I've got a young family to support and I can't justify giving up my current comp for unknown returns to my wife!

I do a bit of FX long term trend following on my own account and also developed a couple of intraday FX strategies that I'm currently running in Sim. Having worked in the investment community I have made a few good contacts so I'm still holding onto the dream that oneday I'll have something good enough to start my own fund and get some decent backing ($50m has to be the minimum for a 2+20 type fund once you've taken IT costs and potential other employees into account)
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Old Jan 2, 2011, 4:51pm   #14
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Re: My Hedged Fund - Another "Trend-Following" Post

Spent several years on the sell side myself, you can't really knock the pay.

My main strategy is medium term trend following where a successful trade could last a couple of months. I trade FX, commodities and interest rates.

You (and Boston) might find this link interesting -

http://www.automated-trading-system....d-performance/
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Old Jan 2, 2011, 8:26pm   #15
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Re: My Hedged Fund - Another "Trend-Following" Post

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Spent several years on the sell side myself, you can't really knock the pay.

My main strategy is medium term trend following where a successful trade could last a couple of months. I trade FX, commodities and interest rates.

You (and Boston) might find this link interesting -

http://www.automated-trading-system....d-performance/
Thanks, I haven't come across this link before but the buy-side fund I worked for is on the list.

I find it interesting how everyone still talks about the turtles (and the rules do work) but that was a long time ago and I don't think people fully appreciate quite how far some of these firms have come since then with the sophistication of their models. Don't get me wrong - the basic ideas of MA crossovers or breakouts remain the same but portfolio and risk management is a mile away from what the original guys were doing.

Sounds like you have similar interests to mine, I'll ping you on the side as I already feel guilty about cluttering up Boston's thread!
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Old Jan 4, 2011, 8:41am   #16
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Re: My Hedged Fund - Another "Trend-Following" Post

Boston, wouldn't this thread be better placed under trading journals? You could ask one of the moderators to move it. Also, you should occasionally type something, whether you're trading or not, because otherwise the thread just sinks to the bottom of the sea. Just my 2c ..
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Old Jan 4, 2011, 11:35am   #17
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Re: My Hedged Fund - Another "Trend-Following" Post

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$50m has to be the minimum for a 2+20 type fund once you've taken IT costs and potential other employees into account)
This is where I have trouble understanding the amount of money needed to run a trading operation. Believe me I could run $1billion just by myself with £1000 a month running costs, not including office rent etc.

All these firms with massive personal, some of them hundreds if not thousands, what do all of them do in relation to actual trading profits delivered?
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Old Jan 4, 2011, 3:32pm   #18
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Re: My Hedged Fund - Another "Trend-Following" Post

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And sorry I should have said (apologies if I'm stating the obvious) you can calculate the annualized vol by simply taking the standard deviation of daily returns multiplied by 260.
Multiply by the square root of that number, no?
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Old Jan 4, 2011, 8:19pm   #19
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Re: My Hedged Fund - Another "Trend-Following" Post

myhedgedfund started this thread
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Boston, wouldn't this thread be better placed under trading journals? You could ask one of the moderators to move it. Also, you should occasionally type something, whether you're trading or not, because otherwise the thread just sinks to the bottom of the sea. Just my 2c ..
Thanks for the note... I'll look into moving the thread over to "trading journals."

Today I entered trades on ERX (Energy), MWJ (Midcaps), TNA (Small Cap), TQQQ (Nasdaq) and UPRO (S&P 500); these are all 2X and 3X leveraged ETF's. Timing was not the best, as I have caught most of the selling today. Feeling a little down, but I am not worried, as the mid-term trends continue to give out strong buy signals.

Total investment value in account of ~$250K, with 20% margin. Actual total leverage is running at ~110% when taking into account the leveraged ETF's. I feel a bit nervous, but again, the charts and indicators are very clear; now is the time to buy. May be adding some additional positions late in the week.

As an FYI, I'll be providing short running commentary on my investments as I make trades (1-2 times per week on the average), and a summary of all trades and potential future trades at the end of each week.

Additional details on current holdings can be found here.

Best,


Boston
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Old Jan 4, 2011, 11:53pm   #20
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Re: My Hedged Fund - Another "Trend-Following" Post

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Multiply by the square root of that number, no?
sorry (typo) yes, of course
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