Wrong Barclays. This one is in Iowa, USA. From their web page (previously referenced): The Barclay Group, founded in 1985, is dedicated to serving institutional and high net worth clients worldwide in the field of hedge fund and managed futures performance measurement and portfolio management. Might be the wrong Bill Dunn too. The gazillionaire system trader Bill Dunn (founder of Dunn Capital Management, $800M under management) seems to be married to a lady named Rebecca, according to this web page. Perhaps he divorced Patty before marrying Rebecca. Wrong way to evaluate Absolute Return investments (like managed futures, which is what CTAs sell) too. Benchmarking against stock market averages is particularly irrelevant. In fact the primary demand for managed futures is as a diversifying complement to stock market averages, since CTA returns typically have a correlation coefficient of -0.25 to the S&P. They are the prototypical free lunch: positive returns and negative correlation to the reference asset. Markowitz efficient frontier optimal portfolios typically consist of approx 55% bonds, 45% stocks, and 5% managed futures. However, if your point is that somebody with a $25-$50K account should not trade the typical CTA sort of mechanical system, using the typical CTA sort of leverage, then I absolutely agree.
ROFL (boring day, lotsa confusion)....Patty's husband is Bill Jahnke (Patty obviously kept her maiden name....she may change it after all this HP stuff settles down, LOL). He's a "gazillionaire" too, but from the Bay area. Here is Bill: Bloomberg.com: Exclusive California Attorney General Bill Lockyer is investigating after saying the methods ... Her husband, William Jahnke, is a former president of Wells Fargo ... William Jahnke is chairman of Comprehensive Wealth Management and is based in Larkspur, California. The mission of CWM is to assist financial advisors in the analytical integration of financial planning and investment management. and http://www.fpanet.org/journal/articles/2004_Issues/jfp0604-art2.cfm (He speaks your language). Yes, that was my point...the rest is way over my head....I'm just a simple guy, LOL. Don PS: several edit's, I kept screwing up the links...sorry.
"Asset Allocation Hoax" (Not my words)...same Jahnke... http://www.fpanet.org/journal/articles/2004_Issues/jfp0804-art8.cfm Don (Just got to googling my old friend, he's been busy the last few years)...
You are not thinking about the percentages - they hold true no matter how big the sample size, although I agree that with a statistically larger sample size that the whole thing is smoother. But if you need 30% winners, whether in 10 trades or 10,0000 trades, and your hit rate is off by 10%, chances are the system will fail. (which is in practice 33.3 % less winning trades) Conversely, a 70% hit rate system is more likely to survive/remain robust when it is off by 10% hit rate and still remains at 60% (which is in practice about 15% less winning trades) See the difference? As aforementioned, it depends on other factors such as biggest winners, biggest losers, frequency, Risk vs. Reward, ROI, etc. etc.
Yes, I agree it is nonsense not to ever have losers, but I am obsessed with having very few - my current ER2 futures scalping hit rate is about 89% - I'm really glad I don't have to sit through 7 out of 10 trades being losers... so maybe that is why I am a high hit-rate cheerleader. The other side to your slippage argument? When you can optimize a high hit rate system for an extra tick or two of average profit, they become monstrously profitable.
You will. It's just a matter of time. You have done Monte Carlo simulations on your trading strategy, no? And when you optimize a low hit rate, positive expectancy system to get a slightly higher hit rate, it also becomes much more profitable. What's your point? -Raystonn
You are missing the context of both of the prior statements of mine that you quoted. When taken out of context the way you have, they lose their original intent. Perhaps more careful reading of the prior posts would enlighten you.
winrate (alone) matters only to your psychology Does it fuck you up mentally a 70% losing trades? Then look for a system with higher winrate (which may or may not be better). Personally, I am used to 65-70% losers... They don't bother me anymore as long as they are small. I know that the huge winner is gonna come again and erase all losers leaving me with some acceptable profit.