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

Posted: February 5th, 2011, 12:17 pm
by Richyiee
oh right i thought he was with this "assuming the position" and "getting filled " talk

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

Posted: February 5th, 2011, 12:19 pm
by Martinghoul
QuoteOriginally posted by: Richyieeoh right i thought he was with this "assuming the position" and "getting filled " talkThat's damn funny!

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

Posted: February 5th, 2011, 12:23 pm
by TinMan
So you weren't looking for an innuendo but he gave you one?

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

Posted: February 5th, 2011, 1:52 pm
by Martinghoul
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.

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

Posted: February 6th, 2011, 4:50 pm
by Gmike2000
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.

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

Posted: February 7th, 2011, 1:14 am
by marcoaaguiar
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

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

Posted: February 7th, 2011, 5:21 am
by Richyiee
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.

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

Posted: February 10th, 2011, 8:09 pm
by Anthis
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.

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

Posted: February 11th, 2011, 5:13 am
by Richyiee
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