harry i started this thread and i have vital interest that it does not run into useless and negative timewasting conversation. i do not agree with you in so many aspects that i would prefer if you could stay away, since i do not have the feeling that you are willing to deal positively with the subject. this is less a thread on turtles but on backtesting their strategy. and i know that this does not interest you at all. so please accept this. moderator i will not talk on test results if this thread turns into the usual negative conversation. please shed a word on that. peace
curtis IMHO there is no difference between openPositions and closedPositions. mark to market is an inevitable consequence of the desire to control risk and maximise risk/return figures. we are dealing here with liquid markets and it makes no sense to think that the mere act of accounting a position or not changes the real situation. any professional money manager must do this. peace
Funny how you persist to create your own negativity... did I ask you the same when you were spoiling my posts other times ? No so... and I'm not interested by your posts I'm asking Curtis so give me a break ok ? This is a forum for all members not a private conversation.
I can't help but wonder if Mr. Dennis was the victim of a bad break from a macro standpoint. The commodity bear market reached its nadir just as the equity bull reached its peak. If I recall correctly, 1999 was one of the worst years ever for commodities in general. 2000 was sort of no man's land and in 2001 we saw natural gas skyrocket and begin the turning of the tables, but it was still a long time coming. David Druz is another respected name I recall turning in his chips around that time. I also remember hearing secondhand about a conversation Ed Seykota had at the Lone Eagle, where he reputedly said "I only make money in bull markets." Point being, perhaps the fact that many aggressive CTAs went under then is a sign of what the commodity markets were going through while the equity markets peaked, rather than an underlying sea change in what constitutes successful money management. The ironic thing is, we may now be heading into an environment that would favor gunslingers like Dennis once again. If we see the cycles continue to shift in favor of commodity inflation and equity stagnation, low risk arbitrage opportunities could dry up and upside volatility come back with a vengeance. If this becomes the case, why couldn't guys like him do what they do best and simply offer deleveraged programs for the institutionals?
Curious about what Rearden Metal would think about your proposal http://www.elitetrader.com/vb/showthread.php?s=&threadid=31485&perpage=6&pagenumber=1
If you say that then many losers on the market can just say the same "I've been a victim of a bad break from a macro standpoint" . Now I don't dismiss turtletrader system, as I don't dismiss Larry William but I repeat once again it is a martingale system : when you say "we MAY now be" etc... the problem is the CONDITIONAL what if we MAY NOT ? Are you ready to lose six figures number like Rearden Metal with Dennis, Larry William, whoever you want (because I 'm not fixing on Dennis especially) when you know that they use a martingale ? I mean if you are ready to accept then yes go but don't whine if it doesn't work since you have been notified that it can be risky. About martingale and risk/money management: http://www.elitetrader.com/vb/showt...e=6&highlight=martingale and sub&pagenumber=2 Money Management is noble term for position sizing which is basically leverage. Leverage by definition is multiplication of the effect, positive or negative. In a casino game the player will vary this leverage with each bet and the sequences of variation defines the so-called "strategy". In a coin flipping game the expectancy will stay the same whatever "strategy" - sequence of variation of leverage including the so-called ANTIMARTINGALE RULE - that is to say ZERO if the coin is fair (which is reasonable to assume for a casino). Mathematically something that can give only ZERO EXPECTANCY whatever strategy is used is called MARTINGALE. Something that gives negative expectancy is SUPERMARTINGALE and positive expectancy is SUBMARTINGALE. I will detail later : as I said here http://www.elitetrader.com/vb/showt...=6&pagenumber=6 I will make a thread dedicated to martingale. Stock market is not exactly like flipping coin in a casino : it has advantage over the casino (that's why I never go to a casino whereas I am in stock market : casino is a martingale/supermartingale except if the casino is idiot whereas stock market can be a submartingale). There is 2 things to distinguish: Risk management and Money Management in the restricted sense of optimisation (position sizing,..) used by Ralph Vince for example - the author of the classical "New Money Management". Of course there is some overlap between the two. The most important one is the Risk Management because it relates to the alpha risk type in term of probability theory which is the risk of being in error whereas optimisation relates to the beta risk type which is only the risk of missing some opportunity. Missing opportunity cannot conduct you to go broke (although it should be modulated in details but I simplify here) whereas not knowing the alpha risk can get you broke. People focus too much on Money Management thinking that it is the "secret" of wealth - perhaps because of sellers of books/systems which have interest to put the accent on Money management rather than on risk management. Yes you will see people who become rich suddenly because they applied martingale rule (BTW so called anti-martingale rule is also a martingale rule mathematically it is amusing how marketing tried to disguise to people things through fake name !) but what you see is the "survival bias" of chance that's why the same person when ruined later is incapable to reproduce the same exploit. Money Management is only useful when Risk Management is already under state control. Then it becomes easy to optimise that is to say use Money Management (using probability with or without Monte-carlo, Linear Programming). In conclusion: "PREMATURE optimisation is the root of all evil" It is in fact Knuth's famous maxim in software programming but as you can see it can apply to other field since Money management is about optimisation. Doing Money Management before doing the essential part of Risk management is also the root of all evil (it will conduct to overfitting and constant tweaking for example).
could a moderator please tell people to leave threads they are not interested in? this really jeopardises the concpet of this board. having said that, i highly appreciate the comments of many people on this thread.
Sure this annoys you: you don't want to focus on reality Don't worry I'm not posting here for the purpose of talking about Denis, I project that my programmer also backtests the turtles rules as well as others systems like cama not for using them but for benchmarking against our own system so for our own private purpose. That's why I want to know what went wrong in REAL LIFE with that system.
hey mind, i hope i wasn't one of the ones who rabbit trailed your thread too much. if so i apologize. on the bright side, you've given me an idea which i'm about to post in the feedback forum...