ubuntu装auctex的时候不能自动安装ispell# Linux - Linux 操作系统
z*l
1 楼
如果我面签之后选择去邮局自取，邮局能代管我的护照多长时间？印象中好像是三天之
后去邮局取，又好像是三天之内去邮局过期不候。如果谁知道的请告诉我，谢了！
后去邮局取，又好像是三天之内去邮局过期不候。如果谁知道的请告诉我，谢了！
g*g
2 楼
我个人认为200日线的方向更为重要。
现在更像02年底到03年初的熊市反弹，
幅度很大，速度很快，但跌起来的时候
更快。但3月份都不一定是底，乐观地估计
也要重回8000，形成头肩底。当然，市场
完全可以先跑到9000。
现在更像02年底到03年初的熊市反弹，
幅度很大，速度很快，但跌起来的时候
更快。但3月份都不一定是底，乐观地估计
也要重回8000，形成头肩底。当然，市场
完全可以先跑到9000。
z*z
3 楼
不论哪个版本。
最经典的钢琴版。
最经典的钢琴版。
s*t
4 楼
恩？
m*j
5 楼
这是一个不如debian的地方，呵呵
emacs里面的flyspell总既不活，呵呵
emacs里面的flyspell总既不活，呵呵
m*r
6 楼
A Quantitative Approach to Tactical Asset Allocation
文件太大，我把pdf链接贴这里了
http://trendfollowing.com/whitepaper/CMT-Simple.pdf
文件太大，我把pdf链接贴这里了
http://trendfollowing.com/whitepaper/CMT-Simple.pdf
z*z
7 楼
小提版
g*f
8 楼
yes！！！！!!!!!!!!!!!!!!!!!!!
【在 s****t 的大作中提到】
: 恩？
【在 s****t 的大作中提到】
: 恩？
m*r
9 楼
The system is as follows:
BUY RULE
Buy when monthly price > 10-month SMA.
SELL RULE
Sell and move to cash when monthly price < 10-month SMA.
1. All entry and exit prices are on the day of the signal at the close.
2. All data series are total return series including dividends, updated
monthly.
3. Cash returns are estimated with 90-day commercial paper, and margin rates
(for leveraged models to be
discussed later) are estimated with the broker call rate.
4. Taxes, commissions, and slippage are exc
BUY RULE
Buy when monthly price > 10-month SMA.
SELL RULE
Sell and move to cash when monthly price < 10-month SMA.
1. All entry and exit prices are on the day of the signal at the close.
2. All data series are total return series including dividends, updated
monthly.
3. Cash returns are estimated with 90-day commercial paper, and margin rates
(for leveraged models to be
discussed later) are estimated with the broker call rate.
4. Taxes, commissions, and slippage are exc
z*z
10 楼
钢琴提琴协奏版
老实说，这个小提拉得太滥了，一时也找不到好版本，先凑合着听。
老实说，这个小提拉得太滥了，一时也找不到好版本，先凑合着听。
c*a
11 楼
俺是这么盼望的啊～～
【在 g*****g 的大作中提到】
: 我个人认为200日线的方向更为重要。
: 现在更像02年底到03年初的熊市反弹，
: 幅度很大，速度很快，但跌起来的时候
: 更快。但3月份都不一定是底，乐观地估计
: 也要重回8000，形成头肩底。当然，市场
: 完全可以先跑到9000。
【在 g*****g 的大作中提到】
: 我个人认为200日线的方向更为重要。
: 现在更像02年底到03年初的熊市反弹，
: 幅度很大，速度很快，但跌起来的时候
: 更快。但3月份都不一定是底，乐观地估计
: 也要重回8000，形成头肩底。当然，市场
: 完全可以先跑到9000。
z*z
12 楼
最后来个弗勒门戈版
o*c
13 楼
ran this strategy on spx since 1927.
got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
sharpe of 0.459, which is still not high enough to be used in real trading.
rates
【在 m**********r 的大作中提到】
: The system is as follows:
: BUY RULE
: Buy when monthly price > 10-month SMA.
: SELL RULE
: Sell and move to cash when monthly price < 10-month SMA.
: 1. All entry and exit prices are on the day of the signal at the close.
: 2. All data series are total return series including dividends, updated
: monthly.
: 3. Cash returns are estimated with 90-day commercial paper, and margin rates
: (for leveraged models to be
got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
sharpe of 0.459, which is still not high enough to be used in real trading.
rates
【在 m**********r 的大作中提到】
: The system is as follows:
: BUY RULE
: Buy when monthly price > 10-month SMA.
: SELL RULE
: Sell and move to cash when monthly price < 10-month SMA.
: 1. All entry and exit prices are on the day of the signal at the close.
: 2. All data series are total return series including dividends, updated
: monthly.
: 3. Cash returns are estimated with 90-day commercial paper, and margin rates
: (for leveraged models to be
y*g
14 楼
最後那个显得有点斯文了, 呵呵 ^^
【在 z**z 的大作中提到】
: 最后来个弗勒门戈版
【在 z**z 的大作中提到】
: 最后来个弗勒门戈版
h*y
15 楼
赞专业.
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
k*n
16 楼
这个是少数几个百听不厌的
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
b*e
17 楼
Take trading cost you may find the sharp close to 0.
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
B*i
18 楼
嗯，百听不厌
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
o*c
19 楼
it is based on monthly SPX data. you can almost ignore the trading cost if
trading ES/SPY going forward.
【在 b*****e 的大作中提到】
: Take trading cost you may find the sharp close to 0.
:
: with
trading ES/SPY going forward.
【在 b*****e 的大作中提到】
: Take trading cost you may find the sharp close to 0.
:
: with
j*n
20 楼
钢琴版难道不会丢声部么？
3个旋律加一个低音
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
3个旋律加一个低音
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
b*e
21 楼
Try 20bps trading cost for each buy and sell, let see what the result. It
should be a fairly quick work in excel.
should be a fairly quick work in excel.
C*O
22 楼
唉 这样的音乐我听了心理就会难过
u*o
23 楼
what is sharpe ratio ?
y*g
24 楼
what ? ... 哈哈哈哈 .. =D
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
h*y
25 楼
Some form of risk-adjusted return calculation. The issue with sharpe ratio
is that it uses volatility as a proxy of the inherent risk.
The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
needs to be significantly higher than that of S&P 500.
【在 u**o 的大作中提到】
: what is sharpe ratio ?
is that it uses volatility as a proxy of the inherent risk.
The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
needs to be significantly higher than that of S&P 500.
【在 u**o 的大作中提到】
: what is sharpe ratio ?
z*z
26 楼
其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
上放.........
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
上放.........
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
h*y
27 楼
By the way, I didn't mean that the investment is good as long as its sharpe
ratio is significantly higher than S&P 500. LTCM before its bust has a
sharpe ratio well over 4. So to each of his own...
【在 h*******y 的大作中提到】
: Some form of risk-adjusted return calculation. The issue with sharpe ratio
: is that it uses volatility as a proxy of the inherent risk.
: The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
: needs to be significantly higher than that of S&P 500.
ratio is significantly higher than S&P 500. LTCM before its bust has a
sharpe ratio well over 4. So to each of his own...
【在 h*******y 的大作中提到】
: Some form of risk-adjusted return calculation. The issue with sharpe ratio
: is that it uses volatility as a proxy of the inherent risk.
: The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
: needs to be significantly higher than that of S&P 500.
y*g
28 楼
如果提琴组演奏方面可减少用颤音, 并用较快的速度，这样便可以令音乐不那麽悲
哀了, 呵呵 ^^
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
哀了, 呵呵 ^^
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
s*n
29 楼
all TA has this problem: they work until they don't.
sharpe
【在 h*******y 的大作中提到】
: By the way, I didn't mean that the investment is good as long as its sharpe
: ratio is significantly higher than S&P 500. LTCM before its bust has a
: sharpe ratio well over 4. So to each of his own...
sharpe
【在 h*******y 的大作中提到】
: By the way, I didn't mean that the investment is good as long as its sharpe
: ratio is significantly higher than S&P 500. LTCM before its bust has a
: sharpe ratio well over 4. So to each of his own...
z*z
30 楼
是啊？找机会试一下。
麽悲
【在 y*****g 的大作中提到】
: 如果提琴组演奏方面可减少用颤音, 并用较快的速度，这样便可以令音乐不那麽悲
: 哀了, 呵呵 ^^
麽悲
【在 y*****g 的大作中提到】
: 如果提琴组演奏方面可减少用颤音, 并用较快的速度，这样便可以令音乐不那麽悲
: 哀了, 呵呵 ^^
b*e
31 楼
Should that be a problem for any strategy not just TA?
b*l
32 楼
organ 的更经典啊，尤其是身临其境时。
organ 这东西太震撼了。整个教堂，整个 building 在吟诵啊，人太渺小了，一下子就
被淹没在音乐的洪流中。
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
organ 这东西太震撼了。整个教堂，整个 building 在吟诵啊，人太渺小了，一下子就
被淹没在音乐的洪流中。
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
m*r
33 楼
所谓测不准原理？
h*h
34 楼
是啊， 为什么婚礼上奏这个? 有点浅吟低唱，带着忧伤， 没什么喜庆的感觉。
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
o*c
35 楼
if you are really in a trading desk, you should know slippage+commission
cost should be less than 3bps for trading long-term index futures.
ok. let's use the nonsense 20 bps.
sharpe is 0.392 for crossing 10 sma and 0.456 for crossing 15 sma.
【在 b*****e 的大作中提到】
: Try 20bps trading cost for each buy and sell, let see what the result. It
: should be a fairly quick work in excel.
cost should be less than 3bps for trading long-term index futures.
ok. let's use the nonsense 20 bps.
sharpe is 0.392 for crossing 10 sma and 0.456 for crossing 15 sma.
【在 b*****e 的大作中提到】
: Try 20bps trading cost for each buy and sell, let see what the result. It
: should be a fairly quick work in excel.
T*n
36 楼
what is 听来听去?
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
【在 z**z 的大作中提到】
: 不论哪个版本。
: 最经典的钢琴版。
o*c
37 楼
it should be less than 0.15 if you buy and hold sp since 1927. i didn't
consider dividend though.
【在 h*******y 的大作中提到】
: Some form of risk-adjusted return calculation. The issue with sharpe ratio
: is that it uses volatility as a proxy of the inherent risk.
: The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
: needs to be significantly higher than that of S&P 500.
consider dividend though.
【在 h*******y 的大作中提到】
: Some form of risk-adjusted return calculation. The issue with sharpe ratio
: is that it uses volatility as a proxy of the inherent risk.
: The sharpe ratio of S&P 500 is 0.4 so if the goal is to beat S&P 500 it
: needs to be significantly higher than that of S&P 500.
p*o
38 楼
http://imslp.info/files/imglnks/usimg/1/18/IMSLP20212-PMLP04611-Johann_Pachelbel_-_Canon_in_D_-_arr._for_String_Quartet.pdf
你传上来的那个大概就和这个谱子差不多,略微有不同.但是基本一样.所以你可以自己
分析一下谱子.
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
你传上来的那个大概就和这个谱子差不多,略微有不同.但是基本一样.所以你可以自己
分析一下谱子.
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
b*e
39 楼
Since 1927 up to when?
My naive testing shows 10 SMA cumulative P&L is beaten by buy and hold from
Oct 1928 to May 2009 (pre sample reserved for moving average). Of course i
ignored rebate, fincing and trading cost etc.
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
My naive testing shows 10 SMA cumulative P&L is beaten by buy and hold from
Oct 1928 to May 2009 (pre sample reserved for moving average). Of course i
ignored rebate, fincing and trading cost etc.
with
【在 o*****c 的大作中提到】
: ran this strategy on spx since 1927.
: got sharpe ratio of 0.399. the best parameter is crossing 15 months SMA with
: sharpe of 0.459, which is still not high enough to be used in real trading.
:
: rates
j*1
40 楼
呵呵~ 伤感 伤感而已
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
【在 C*O 的大作中提到】
: 唉 这样的音乐我听了心理就会难过
o*c
41 楼
did we talk about sharpe ratio? do you know the difference between sharpe
and PnL?
so you like the profit chart of buy&hold below???
from
【在 b*****e 的大作中提到】
: Since 1927 up to when?
: My naive testing shows 10 SMA cumulative P&L is beaten by buy and hold from
: Oct 1928 to May 2009 (pre sample reserved for moving average). Of course i
: ignored rebate, fincing and trading cost etc.
:
: with
and PnL?
so you like the profit chart of buy&hold below???
from
【在 b*****e 的大作中提到】
: Since 1927 up to when?
: My naive testing shows 10 SMA cumulative P&L is beaten by buy and hold from
: Oct 1928 to May 2009 (pre sample reserved for moving average). Of course i
: ignored rebate, fincing and trading cost etc.
:
: with
s*y
42 楼
你又伤感啥了
【在 j****1 的大作中提到】
: 呵呵~ 伤感 伤感而已
【在 j****1 的大作中提到】
: 呵呵~ 伤感 伤感而已
b*e
43 楼
I don't have any preference on either strategy. I just said what I observed.
Btw, I think your sharp ratio calculation maybe wrong, especially after
taking trading cost.
【在 o*****c 的大作中提到】
: did we talk about sharpe ratio? do you know the difference between sharpe
: and PnL?
: so you like the profit chart of buy&hold below???
:
: from
Btw, I think your sharp ratio calculation maybe wrong, especially after
taking trading cost.
【在 o*****c 的大作中提到】
: did we talk about sharpe ratio? do you know the difference between sharpe
: and PnL?
: so you like the profit chart of buy&hold below???
:
: from
j*1
44 楼
是曲子的问题~
【在 s*******y 的大作中提到】
: 你又伤感啥了
【在 s*******y 的大作中提到】
: 你又伤感啥了
o*c
45 楼
then get the right sharpe for us, pls.
if avg profit is over 9% per trade, why do you care about the 20bps or
several bps trading cost? that doesn't make any sense.that is not a high
frequency strategy, right?
observed.
【在 b*****e 的大作中提到】
: I don't have any preference on either strategy. I just said what I observed.
: Btw, I think your sharp ratio calculation maybe wrong, especially after
: taking trading cost.
if avg profit is over 9% per trade, why do you care about the 20bps or
several bps trading cost? that doesn't make any sense.that is not a high
frequency strategy, right?
observed.
【在 b*****e 的大作中提到】
: I don't have any preference on either strategy. I just said what I observed.
: Btw, I think your sharp ratio calculation maybe wrong, especially after
: taking trading cost.
h*l
46 楼
婚礼的前奏吧。很美阿。
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
【在 z**z 的大作中提到】
: 其实，我一听那个小提版，就会莫名其妙的悲从中来:). 可就是那个版本还经常在婚礼
: 上放.........
g*g
47 楼
I don't think trade cost is the problem.
This kind of long term indicators show up once a year at most.
But I am not sure if you've counted the return when the money
sits aside. Unlike B&H, you are not fully in at all time.
【在 o*****c 的大作中提到】
: then get the right sharpe for us, pls.
: if avg profit is over 9% per trade, why do you care about the 20bps or
: several bps trading cost? that doesn't make any sense.that is not a high
: frequency strategy, right?
:
: observed.
This kind of long term indicators show up once a year at most.
But I am not sure if you've counted the return when the money
sits aside. Unlike B&H, you are not fully in at all time.
【在 o*****c 的大作中提到】
: then get the right sharpe for us, pls.
: if avg profit is over 9% per trade, why do you care about the 20bps or
: several bps trading cost? that doesn't make any sense.that is not a high
: frequency strategy, right?
:
: observed.
g*x
48 楼
George Winston的钢琴版的不错, 但最喜欢的还是管弦版. 放一个个人认为最好的版本
, 卡拉扬指挥的:
http://www.youtube.com/watch?v=1XO-KXCGplo
, 卡拉扬指挥的:
http://www.youtube.com/watch?v=1XO-KXCGplo
b*e
49 楼
I will calculate the vol for months in position only, exclude cash holding
months.
【在 o*****c 的大作中提到】
: then get the right sharpe for us, pls.
: if avg profit is over 9% per trade, why do you care about the 20bps or
: several bps trading cost? that doesn't make any sense.that is not a high
: frequency strategy, right?
:
: observed.
months.
【在 o*****c 的大作中提到】
: then get the right sharpe for us, pls.
: if avg profit is over 9% per trade, why do you care about the 20bps or
: several bps trading cost? that doesn't make any sense.that is not a high
: frequency strategy, right?
:
: observed.
g*x
50 楼
再来个另类的, 吉他版:
http://www.youtube.com/watch?v=QjA5faZF1A8
http://www.youtube.com/watch?v=QjA5faZF1A8
z*z
51 楼
谢谢！！
【在 p****o 的大作中提到】
: http://imslp.info/files/imglnks/usimg/1/18/IMSLP20212-PMLP04611-Johann_Pachelbel_-_Canon_in_D_-_arr._for_String_Quartet.pdf
: 你传上来的那个大概就和这个谱子差不多,略微有不同.但是基本一样.所以你可以自己
: 分析一下谱子.
【在 p****o 的大作中提到】
: http://imslp.info/files/imglnks/usimg/1/18/IMSLP20212-PMLP04611-Johann_Pachelbel_-_Canon_in_D_-_arr._for_String_Quartet.pdf
: 你传上来的那个大概就和这个谱子差不多,略微有不同.但是基本一样.所以你可以自己
: 分析一下谱子.
z*z
52 楼
不错！！
【在 g********x 的大作中提到】
: 再来个另类的, 吉他版:
: http://www.youtube.com/watch?v=QjA5faZF1A8
【在 g********x 的大作中提到】
: 再来个另类的, 吉他版:
: http://www.youtube.com/watch?v=QjA5faZF1A8
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