Monthly Archives: December 2007

Status of Trading Systems at The Rempel Report

December 31, 2007 – 6:58 pm

As regular readers know, I’ve moved my personal trades and the tracking of specific, actionable trading plans (and their returns) to the new site, The Rempel Report at billrempel.com. The new site won’t link out, except in the context of a post’s content, and is reserved for actionable trading items only! I expect […]

By Bill | Posted in Specific Discussion of Trading Systems | Comments (1)

Returns for December 2007

December 31, 2007 – 6:31 pm

These are my returns for December 2007.
December Return: -1.1%
3 month Return: 0.3%
6 month Return: 4.4%
12 month Return: 9.5%
Year To Date Return: 9.5%
Inception Return: 52.2%
Annualized Return Since Inception: 16.5%
These are my current personal positions, along with portfolio weight, as of Monday, December 31, 2007.
Hong Kong (EWH) - 10.2%
Brazil (EWZ) […]

By Bill | Posted in Returns On Trading | Comments (0)

More on System Blends and Low De-Trended Correlation

December 31, 2007 – 5:57 am

Low de-trended correlation of equity curves isn’t the be-all, end-all of system combination. It’s important, yes, but it’s just one thing that needs to be considered. The primary thing that needs to be considered is the return profiles of the systems that are under consideration for combination.
I last discussed this issue in Benefits […]

By Bill | Posted in Specific Discussion of Trading Systems | Comments (4)

Sports Cars More Dangerous Than SUVs!

December 28, 2007 – 6:58 pm

While the article itself is related to automobiles, there is a deeper lesson at work here. The ability to think critically can be applied to any news item, whether scientific, market-related, or even (gasp!) political.
At issue in this New Scientist article are two variables, one of which is important, and one of […]

By Bill | Posted in Car Stuff, Car Companies, Car Tech | Comments (2)

Notes On Backtesting - What I Like

December 28, 2007 – 5:47 am

I’ve covered a lot of material in the past few months on dealing with risk measurements on backtested system data. You can find a review in Making Measurements of Risk and Reading on Risk. Here are some of my conclusions about me, and what I want in a system, what would bring me […]

By Bill | Posted in Specific Discussion of Trading Systems | Comments (4)