Search found 7 matches

by Nic Garvey
Wed Sep 15, 2004 12:03 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 14626

I think that the method Jake Carriker outlines above might be a useful way to test various correlation ideas. If we create the data so that the scrambling is the same across markets, the correlation of the markets will be maintained (eg. the 1987 crash will occur simultaneously across all markets, l...
by Nic Garvey
Wed Sep 01, 2004 2:46 pm
Forum: Forex
Topic: Backtesting a forex portfolio
Replies: 17
Views: 16871

where can I find historical (5 years) for this data series. AND is Libor rates different for different countries (Aud, GB, Germany etc) Try the source of the rates, the BBA: http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=141&a=627 AND is Libor rates different for different countries (Aud, GB, Germany...
by Nic Garvey
Mon Jun 28, 2004 10:02 am
Forum: Forex
Topic: Anyone Trading Oanda?
Replies: 25
Views: 32529

Ronny, I haven’t withdrawn any of my account, so I can’t help you with my personal experiences. From regularly reading the forums it seems that problems occasionally arise with withdrawals taking over a week, but I’ve never seen anyone claiming that they haven’t received their money. I did a...
by Nic Garvey
Thu Apr 22, 2004 3:52 pm
Forum: Forex
Topic: Anyone Trading Oanda?
Replies: 25
Views: 32529

It seems someone else had this problem last night. Here's his post: http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=15;t=001264;p=1#000004 and OANDA's explanation: "The FXTrade platform will never trigger an order if the execution price has not been reached. If you are using th...
by Nic Garvey
Thu Apr 22, 2004 11:45 am
Forum: Forex
Topic: Anyone Trading Oanda?
Replies: 25
Views: 32529

I use OANDA, for real trades on FXTrade and this is exactly how it works. The chart data correspond to midpoints. If EURUSD is trading 1.2000/02 then the chart shows 1.2001. As long as you remember to add the spread it’s no problem as far as I’m concerned. On each trade that my system produces I...
by Nic Garvey
Thu Apr 22, 2004 7:04 am
Forum: Forex
Topic: CSI Forex Data
Replies: 11
Views: 9688

I don’t think futures data is a solution. Even if you managed to convert the futures data into a reasonable approximation of spot using interest rates, you’d still have problems of differences in liquidity which can give differences in highs, lows and ranges. I think it’s best to get data that...
by Nic Garvey
Thu Apr 01, 2004 9:54 am
Forum: Forex
Topic: CSI Forex Data
Replies: 11
Views: 9688

Inverted FX rates make no difference to P&L calculations. Suppose you trade XXX/YYY and you have the data for YYY/XXX. Going long XXX/YYY at 100 is the same as going short YYY/XXX at 0.01 (with necessary adjustments to position size and stops etc.). A proper inversion gives the same R-multiples, car...