tag:blogger.com,1999:blog-7905515.post939338168872513950..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Developing an Investment StrategyEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-7905515.post-27225218219922153122009-11-12T10:32:28.018-06:002009-11-12T10:32:28.018-06:00Ok, apologies. My comments were harsh and I should...Ok, apologies. My comments were harsh and I should've communicated my thoughts better.<br /><br />If you analyze his systems it wreaks of optimization, 5 rules with very specific parameters which are in essence dip-buying strategy or (mean-reversion, stat arb depending on who you want to impress) <br /><br />It's a great strategy with a solid long term edge as shown in testing but is susceptible to large draw down risk. It is similar in strategy to short volatility, great steady returns until you get run over.<br /><br />I don't think he mentions risk management which is where the key to trading really lies. <br /><br />You had mentioned Mebane Faber's paper on Market Timing in previous posts and that can be construed not as a market timing system but as a portfolio allocator and risk management overlay. <br /><br />I wholeheartedly agree with your suggestion and methodology to evaluate any trading strategy.N Nnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-69080282024767101792009-11-12T10:32:27.119-06:002009-11-12T10:32:27.119-06:00Is market timing really that hard? That's cert...Is market timing really that hard? That's certainly the conventional wisdom, which leads to a learned helplessness among small investors. The biggest advantage a small investor has is maneuverability, and when they adopt the timing is too hard approach, they give up their biggest edge. There's no reason to invest like Magellan when you're not managing billions. <br /><br />Was it really so hard to see that the market was in trouble after New Century and Bear Stearns collapsed? There was plenty of warning that there was no reason to be in the market . . . And due to the arithmetic of losses (50% up and 50% down is a 25% loss) missed opportunities are easier to make up than losses.bjknoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-48651409324334097882009-11-12T09:49:09.591-06:002009-11-12T09:49:09.591-06:00Well, most people trade too much for all sorts of ...Well, most people trade too much for all sorts of stupid reasons: Cramer, Wall Street Research, CNBC. The simple algorithms presented in that book are testable, and I just wanted to suggest that people methodically evaluate their strategies, most will learn to stop trading. If you learn this by the time you are 30, actually trying strategies, you won't waste time like so many retirees do, trading from retirement until death, learning nothing.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-46171585883646386462009-11-12T08:15:06.206-06:002009-11-12T08:15:06.206-06:00How much are you being paid to pump Larry Connors ...How much are you being paid to pump Larry Connors book? <br /><br />You are either guilty of not reading the whole book, did not take the time to analyze the strategies, or do not understand trading.<br /><br />Sorry to be harsh but after all the excellent content on here you decide to highlight this??N Nnoreply@blogger.com