MightyMouse

Siuya, The research you have posted points to either under-performance or inconsistent performance. Most of the links explore other facets such as hf vs cta vs fohf comparisons, fees, a managers ability to duplicate performance, etc, and only casually examine whether a fund out performs the asset class they trade. Under-performance makes sense too since trading is a combination of anticipatory and reactionary actions and frequently, the reactions are late, and what is anticipated frequently does not happen. You ask: what are we doing here then?" in the joke of the day thread I posted a joke: Similarly in trading, when we take money from the market we take it from other traders. I focus on where I expect other traders to be willing to lose money and if they are there on a particular day to take money from them. If there aren't traders there who are willing to lose, then I am out of luck if I try to take money from them. Generally and personally, I make the most money when weak traders are stubborn and stuck short or stubborn and stuck long. There are certainly days when I do beat the market, but for me, beating the market is a windfall profit and not a goal. I care less about the market, sentiment, etc and more about the current direction and the potential for order flow to continue in that direction. All that should matter to a trader is that he can take money from other traders and not if they can beat the market. As a trader, one needs to determine if that money that he can make is enough to warrant trading for a living or if he would be better off giving his money to someone else to trade, etc, etc. All of which are personal decisions. We see a lot of traders consuming their efforts with trying to determine tomorrows newspaper. I am focused on where these guys will be willing to cough up their cookies when they are wrong. The research that implies consistent out performance of the market is generally industry propaganda. Lots of people fall for it. MM

The challenge is to figure out if the newly added order is an aggressive trader entering aggressively in the direction of order flow or a weak trader exiting with a stop loss. You also need to pay close attention to the range of price as the CD increases and be wary of volume. Delta by itself is simply going to measure what you already know; the fact that prices ticked up.

I do not know what each trades. I do not know what their strategies are other than they all go for absolute return. Consider too that a factor that may impact the results negatively is that I have included no graveyard funds (funds that were there at the beginning of the year and blew up and are not on the list). I selected the YTD figures since it was the freest available and I assumed that the contango and backwardation would mostly cancel eachother out.,. I do not need to find this out this time and have no incentive to pay to receive data that is more extensive. I already know what the results are and I wanted to see if they are are consistent with what I learned last time and they are consistent. If I were to take all the industry data and dissect it more rigorously, I am 95%-98% sure the result will be the same. I am not tracking everyone who trades the futures markets to get the zero sum results. These are not ALL participants in the futures markets and if they were then we would expect the negative sum game results. The are only a randomly selected list of 67 traders who presumably have good enough track records to attract at least $1 million of funds to them. The finding, with the positive and negative biases, is that on balance they cannot outperform the markets they trade which was the original comment made to adrian. The comment I "attacked" was that fund managers outperform the markets with lower volatility. This is not to say that they are not good traders. I cannot show how much better than the average trader they did. The average trader may be down 20% in which case these guys are winners. So I am not comparing these guys to the average trader. I am comparing them to the markets they presumably trade. Too bad for you. There are no black marlin in the UK waters. Are you leaving the yacht in AU?

Ha ha ha It is a shame that so many have to lose to make so little.

I had a little free time to look up fresh performance data. The research I " boasted" of earlier is a bit dated but far more extensive, but the current numbers seem to be consistent with my previous findings and it is of little importance to me to reprove it to myself again. I looked at a list of CTA's ranked by assets under management with a minimum of $1,000,000 UM. The largest fund has $895,000,000 under management. I would suggest that there is a certain bias to the data since most the larger CTA's have been around longer. I do not know why these CTAs were selected to be in this database other than that they seek to maximize their absolute return, so there may be some other selection bias that I am not aware of. The data consists of 67 CTA's. The Average YTD is -2.33%, the max return is 58.42% and the min is -61.96%. The average futures instrument is -.97% YTD. What does this mean? It means that if on 1/1/2011 you had bought an equal amount of each of the futures contracts and held YTD you would have been better or by about 1.35% than you would have been if you entrusted your money with a professional trader or trading group who is supposed to know what they are doing. How often does this happen? They tend to underperformed the asset classes they trade all the time. The point is that they do not consistently outperform them as has been implied earlier in the thread. What does this prove? Not a lot since it isn't a rigorous study of the performance of these CTA's or a rigorous study of all CTAs; but one would be inclined to think that a random list of CTAs that have been around for as long as 20 years and have better than $1,000,000 UM would on average be able to outperform the market performance YTD of the instruments they trade. It's all about the fees and it always was.

I simply would like new traders to practice live when and where I am trading. Every little bit helps.

I have never heard the term punter, but if the .01% of the punters that come into the casino for anything other than entertainment, they are 100% fools.

Wow! Sound like a tourist who has seen poker on TV and then wanders over to the poker room in a casino buys chips and asks the other players what a flush is or a straight or trips, etc. Stay away from the live markets for a very long time. But, if you have to, then try trading CL and let me know when you are trading.

Funny. I was up all week and I lost it all back today. I must have been trading the opposite of you. Wish I had those channels.

I agree about the advice to the new guy. But maybe you mean that with your style of trading it is best to stay away from the last hour.

"There are those who don't know, and then there are those who don't know they don't know" John Kenneth Galbraith

Well I am sorry that my new toy powered by perpetual emotion is putting me on ignore. You have been an asset to the thread.

The last hour is the best hour of the day If your trading requires volatility.

It seems that you cannot recall your original use of hedge fund industry propaganda, so I have provided you with your original statement for you to review and I also provided my original response. After all your emotionally charged tangents, divergences, accusations, criticisms and insults, my statement is the same. if you take the time to do the research and or look beneath the surface, you will find that the returns achieved by hedge fund managers are not what they are promoted to be. If you are using their returns as support to the theory that markets are non random, then it is not a good source of support since the results are not what they seem to be. My source of amusement is how an individual can get so worked up by someone suggesting that he should do more research on a topic. Whether hedge fund industry returns are relevant to the topic of random or non-random markets is another story. But, this is a forum and posts and thoughts can lead to other topics without a hitch if the participants are civil.

emotion emotion emotion. I drink soda and read your response for entertainment. I have no desire to prove anything to you and I never ever stated that I think markets are random. I simply stated that you were using bullshit hedge fund industry propaganda.

Do us all a favor, provide the proof that you are right. Try to do it without posting hedge fund propaganda. It is funny how the criticisms you seem to throw categorize you perfectly. You blurt out emotionally driven and false conclusions as if you are are brimming with them and cannot deal with anyone questioning your evidence and you claim to know people. And hence, MM should not trade because he will lose all his money.

If i had a remote desire to prove anything to you, i would provide you with the raw data that details these rather simplistic and common findings that most people with more than a superficial interest know. I have no desire to prove anything to you so, then, you have discredited my statements and it will stand that hedge funds enjoy a high return and low volatility, they walk on water, and etc. You are a legend and an asset to this forum.

You seem to be pretty good at reading my mind and the minds of others on the thread. Hopefully, you can craft that skill or art into something other than a circus side show. If you do not want to accept that the information you offered as evidence is rubbish and want to take my refuting it personally and then get personal with me, it is a clear indication of your character and development as a human being and ability to learn. If you want to believe industry propaganda about hedge fund returns, or any other good or bad statistic, you can do it on your own without me providing support for or against it. This is a public forum and, for the benefit of the thread, I pointed out that your evidence was complete bullshit without asking for your evidence to support it because I know it is bullshit propaganda. Next you will be promoting penis enlargement pills and providing the manufacturers evidence and money back guarantee as support or you will simply conclude that size does not matter.

It looks like most of what you anticipated happened without you in it. Have you thought of a reentry strategy? Maybe smaller stops and the commitment to reenter as long as B doesn't occur before A type of thing. A stop isn't a right or wrong thing; It's a risk thing. I apologize about the Monday morning quarterbacking.

I think you have enough information and resources available to draw your own conclusions.

Your brain is drawing faulty conclusions to my post. You seem to have bought into a fairy tale that hedge funds outperform and are staunchly opposed to anything that threatens your fantasy. You use it as a basis to support the idea that markets are not random. I was offering clarity to the thread that such a statement is simply not true if you compare apples to apples. If you would like to cite hedge fund industry research about hedge funds, then you should be suspect with the findings of the research before you call it factual. If you would like to laugh at my post, then laugh at this: hedge funds do not outperform the markets they trade when you take all hedge funds who trade a particular market into consideration. The number of managers who do outperform the benchmark indexes are approximately equal to the number of mangers that you can predict would outperform the benchmark indexes, given the universe of hedge fund managers who are included in the data.

You have to get "good at" distinguishing whether the market is ranging or trending in the time frame you are trading. You'll get killed if you try to trend trade a range or range trade a trend.

You are comparing apples to oranges to support your thinking. You need to look at the funds that traded the S&P to compare the hedge fund returns to the S&P. If on balance all hedge funds outperformed the S&P with lower volatility, then you would have something. Otherwise, what you are describing is completely meaningless and is also subject to survival bias. This is taken from your article: "A timely strategy is also critical. The often-cited statistics from CSFB/Tremont Index in regard to hedge fund performance during the 1990s are revealing. From January 1994 to September 2000 - a raging bull market by any definition - the passive S&P 500 Index outperformed every major hedge fund strategy by a whopping 6% in annualized return. Read more: http://www.investopedia.com/articles/03/121003.asp#ixzz1ezgZ5VHU"

You are right it is silly. That was the point. If you plot all hedge fund returns you will not come up with the results that you came up with as some sort of support of markets being non random. If you didn't do the research yourself then you are simply passing along misinformation. On balance hedge funds do not out perform markets. Cabese?

You are data mining. You may not be aware, but the research you quoting is not solid research. Plotting hedgef und returns are meaningless unless we plot all hedge fund returns and plot their returns across all markets that they trade. What sense does it make to plot all hedge funds who were long gold if we don't plot the hedge funds that were short gold or gold neutral?