Recent content by nobel_1101

Hi Why not try Reuters DataLink for European Data as well? Coverage is very good and covers all of the major european exchanges and most of the minor ones. Data goes back fairly long as well, at least 10 years and for the major exchanges sometimes 20 years. Craig

Hmm...People who fiddle the results of their trades in this way are begging to be wiped out! There's only one real way of measuring the performance and that's by keeping track of which system made which trade. i.e. system 1 bought at 100 and sold at 105, system 2 bought at 110 and sold at 115...

Thanks. I'm glad we've finally cleared that up. :D Yes I'm interested to know how you view the situation to be different if considering multiple positions.

1. and 2. are not the same. If you traded using 1. you would still be able to trade 10 years from now. If you traded using 2. you would have been wiped out after year 3 at best. Yes that does make sense but what does that have to do with this discussion? You've just conflicted yourself here...

I'm simply trying to extract a logical argument from you as to why you think its possible to trade long term positions (lasting many months to a few years) with low drawdown but yet achieve the same return possible from a short term system. I was refering to an increase in price of 100% not...

Ok you seem to have answered my question (albeit in a roundabout way). I use stocks purely for illustration of this discussion. So if all your positions declined almost simultaneously an average of -25% and your account only reduced by 2.4% then fair enough. But what's not possible (and this...

The comparison would be meaningless since 1. You wouldn't able to determine what kind of trading system each fund was using coz no-one's that transparent 2. It would be very unlikely that they would happen to be using exactly the same trading system but just on different timescales I think you...

I disagree completely. Its a question of position sizing not what trading system you employ. I could go into the details of my system but it wouldn't be much use for this conversation since its only a short term system. Can you explain to me, logically, how you can trade two identical trading...

Well going back to what I was saying earlier, you can't apply the same amount of leverage as you would in a short-term system due to the fatal drawdowns involved. So are you saying that the benefit of this type diversification outweighes the opportunity cost of using less leverage?

Data mining in terms of statistical analysis of the daily returns data. I'll have to take a look that type of diversification. Thanks. Do you not find that there's an opportunity cost in trading a longer timeframe in which the amount you can leverage is more restrictive?

Ok fair enough. A zero correlation just seems a little too clean from a data mining standpoint.

I'm not sure I agree with that. If you were trading XYZ plc in both a long term and short term system, and both positions were long then correlation is 100%. There must be a little correlation, no?

You mean include the effect of compounding? Yeah, I see your point but the 26 simultaneous positions would need to be at least as uncorrelated as the 26 consecutive short trades otherwise the former would be riskier.

That's an interesting concept diversifying over trading strategies of different time horizons. Have you been able to quantify how low the correlation is? I'm assuming you would still need to make sure both strategies aren't trading the same stock/sector?/market? to get the full effect. Craig

The risk profile is the same taken on a trade by trade standpoint. But admittedly the risk profile is different looking on a per annum standpoint as it doesn't deal with effects of consecutive wins or consecutive losses, only looks at the average. He could take multiple positions on the long...