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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 12:17 pm

oh right i thought he was with this "assuming the position" and "getting filled " talk
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 12:19 pm

QuoteOriginally posted by: Richyieeoh right i thought he was with this "assuming the position" and "getting filled " talkThat's damn funny!
 
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TinMan
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 12:23 pm

So you weren't looking for an innuendo but he gave you one?
 
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Martinghoul
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 1:52 pm

QuoteOriginally posted by: TinManSo you weren't looking for an innuendo but he gave you one?Exactly, and now my innocence is gone forever. "Getting into a position" and "getting filled" will never sound innocuous and free of double entendre ever again.
 
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Gmike2000
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Joined: September 25th, 2003, 9:49 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 6th, 2011, 4:50 pm

i am sorry, but if you roll your position every 3 days this means you do just over 80 "roundtrips" in one year and hence trading costs in terms of slippage, commissions, and bid-offer spread are going to have a material impact on the performance of what you euphemistically call a "system". i dont trade chinese stocks, but i would estimate the average bid-offer spread to be around 50bps or even higher. do the math...in any case, this system clearly generates very good business for your broker, and i am sure you are making him very happy.
Last edited by Gmike2000 on February 5th, 2011, 11:00 pm, edited 1 time in total.
 
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marcoaaguiar
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Joined: February 4th, 2011, 4:03 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 7th, 2011, 1:14 am

well, it does sounds stupid to choose 'n' good stocks and keep it for 3 days. It will be generate a extra cost to be inside of stock of time but will reduce the risk a potencially increase the profit.i would consider a volume upward movement, tendency and inclination of the tendency as some of the ranking rules. Maybe you think that 3 days is to short, but the main ideia is good. Thats u cant denied
 
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Richyiee
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Posts: 57
Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 7th, 2011, 5:21 am

QuoteOriginally posted by: Gmike2000i am sorry, but if you roll your position every 3 days this means you do just over 80 "roundtrips" in one year and hence trading costs in terms of slippage, commissions, and bid-offer spread are going to have a material impact on the performance of what you euphemistically call a "system". i dont trade chinese stocks, but i would estimate the average bid-offer spread to be around 50bps or even higher. do the math...in any case, this system clearly generates very good business for your broker, and i am sure you are making him very happy.commissions is 0.02% per trade, its included in the calculations, slippage max 0.02% per trade as i can always manage to fill orders next day at todays close which is on average 0.02% higher than next days open. I done calculations holding it from min of 2days up to 10days+ , 3 days gives me the max returns because of compounding.
 
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Anthis
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 10th, 2011, 8:09 pm

QuoteOriginally posted by: Richyiee slippage max 0.02% per trade as i can always manage to fill orders next day at todays close which is on average 0.02% higher than next days open. Dude, you contradict yourself within just one line.The average is quite different than the max of a distribution.
 
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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 11th, 2011, 5:13 am

If i was getting done by slippage, i could alter the strategy so instead of buying at the next days open, i would set the order next morning at todays close, as todays close is on average 0.02% higher than next days open, i would on average loose that amount per trade by altering the strategy, but still profit since im making around 1.5%/per trade after commisions. Also since stocks can move either way, i could be buying higher than the open but i could also be buying lower
Last edited by Richyiee on February 10th, 2011, 11:00 pm, edited 1 time in total.
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