A Brief Overview of the DBase image Guys we are getting closer to the point where we need to start using our Dbase to house research generated from this process. I thought I would give a quick overview now as unfortunately I am out of action ...

Systematic Portfolio Diversification - Data Mining Concept

Those charts are not of the 70's, 80's and 90's where CTA's did even better due to preferential interest rates on dormant cash. Those charts are from 2000 to now. The TF Index smashed the S&P in 2015 and 2016 from a divergent phase....also in 2010 ...

Systematic Portfolio Diversification - Data Mining Concept

I think you may find that he is re positioning his funds towards those styles that attract allocation. He is not saying trend following is dead but that it is overcrowded. When I talk about the style drift in CTA's, the response from Harding is ...

Systematic Portfolio Diversification - Data Mining Concept

Have a closer look at the entire context in terms of what occurs during bull runs versus bear runs in equities. Look at the S&P500TR Index return compared to the total Index of CTA's. Look at what we have experienced since QE and the progressive ...

Systematic Portfolio Diversification - Data Mining Concept

Hi J You must assess the importance dependent on the nature of strategy you employ. For instance if you have a scalping strategy the MC array should be able to give you info about how sensitive your equity curve is to spread variability and where ...

Systematic Portfolio Diversification - Data Mining Concept

Monte Carlo.....continued...... It's all just spaghetti man......... image Hopefully we now are starting to realise that non-quants can play this game of sample testing. The good old visual method and a bit of critical thinking about the nature of ...

Systematic Portfolio Diversification - Data Mining Concept

So we have mined some of the rock in an area we think is gold bearing, let's conduct an assay of the sample using Monte Carlo with visual as opposed to statistical methods. image When the word Monte Carlo is thrust upon the uninformed ...

Systematic Portfolio Diversification - Data Mining Concept

Thanks DitD. Good food for thought in your post mate

Systematic Portfolio Diversification - Data Mining Concept

Yep mate....Harding is a great lead to follow. The key principal here is that divergence is non predictive whereas convergence relies on predictability. There is almost a dichotomy between the two. It really helps to think in terms of these two ...

Systematic Portfolio Diversification - Data Mining Concept

Cheers mate. Let their equipment work overtime I say. My equipment needs it's beauty sleep :-)

Systematic Portfolio Diversification - Data Mining Concept

Let's get the Plant up and Running and Define the Reactor Settings image Now that we have defined a range of conditions within which the random generator will operate we have a final set of work processes that we need to define to fully automate ...

Systematic Portfolio Diversification - Data Mining Concept

It's Time to Look Under the Hood at some of the Detail and How to Configure for the Divergent Case image In essence the method of strategy construction by an EA generator like EA studio is that you set broad universal constraints within which the ...

Systematic Portfolio Diversification - Data Mining Concept

Cheers A. Definitely noted mate. I had it going (2 instances) for a while in conjunction with a demo account on VPS. I therefore needed to ensure the process was minimal on system resources to not compromise trade execution on the demo ...

Systematic Portfolio Diversification - Data Mining Concept

Cheers RR...but there is a generalization in that statement. Those particular investors may have found that diversification failed. Another class of more highly diversified investor who chose CTA's as there vehicle were paid in spades because of ...

Systematic Portfolio Diversification - Data Mining Concept

Not bad. Getting a galaxy named after you. We are in the wrong game I tells ya :-) video

Diversified Trend Trading Approach

You are all looking a bit clean. It's time to go down t'ut Pit and see how the plant operates :-) image EA Generator Description (Robot Factory) While there are a number of fast EA generators available on the market, the approach I am using uses ...

Systematic Portfolio Diversification - Data Mining Concept

Good Tips RR. We are taking care of some of them. :-)

Systematic Portfolio Diversification - Data Mining Concept

Just another pearler A :-) I am going to have to stop repeating myself.

Systematic Portfolio Diversification - Data Mining Concept

C'mon....you know you should be in here :-) image

Systematic Portfolio Diversification - Data Mining Concept

Nice. :-)

Systematic Trend Trading