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Dear List:
I have been watching this string attacking Mark and his free Oddball system
that he provided to all of you. Once again, it's the same old babble back
and forth - from people who spend their time typing these emails attacks and
don't really trade in the first place, they just play with computers.
Being a professional money manager (and not a techno weenie) for over a
decade with the major firms - I felt quite ignorant not knowing what
"Oddball" was prior to September 2001 having owned TradeStation for years.
However - I studied the statistics from Mark's models and created a risk
model to fit them into -similar to what I have used before when selling
options. It took me about a day to put it together - and about 2 weeks of
of putting real money at risk to truly guage where I found it to be the best
risk/reward ratio in the eyes of institutional allocators if I decided to
add these models to my CTA programs.
Here's what I got:
1) Oddball:
November 2001: - 4.76%
December 2001: did not trade - transferring accounts from 1 FCM to
another
January 2002: - 2.07%
February 2002 *: + 15.76%
Since November 1, 2001 - February 19, 2002: + 8.00%
Worst peak-to valley drawdown: -11.61%, January 2002
2) Oddball w/ 10 year US Note hedge:
November 2001: + 11.50%
December 2001: did not trade - transferring accts from FCM to new one
January 2002: -3.43%
February 2002*: + 4.90%
11/1/01 - 2/19/02: + 12.95%
Worst peak-to-valley-drawdown: - 8.66%
Now these are REAL NET performance - the good with the bad - slippage is
present and the commission rate being charged is $25 per contract p. RT! I
figured that if your rate is between $10 - $12 p .rt, one could add another
+3.5% to those figures.
When these CTA programs open up in March - commission rates will probably be
at $10 p. RT like the institutional allocators only allow for, so if you
follow the same principles - your costs will be very low. I have about $250
k invested in these models as we speak - when real money is at stake - one
forces themselves to develop risk management measures and one has to do it
themselves.
Backtested data should only be used as a guide - the rest is placed on sound
cash management. Oddball works great - plain & simple - you just need to
know how to use it.
I'm no techno weenie but I do see a good raw model when I see one and
Oddball is just that - so if you understand programming which I have no clue
about - tweak the system until it fits your risk tolerance and realistic
performance expectations and end this string!
Viper
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