Search found 154 matches

by LeapFrog
Thu Aug 23, 2012 10:15 am
Forum: Money Management
Topic: margin to equity ratio
Replies: 4
Views: 3669

There is also the problem of what are the margin requirements per instrument. Sure, you can look up the exchange and read off the amount for today, but these have been quite volatile over the past 5 years especially and for that matter the past few decades. AFAIK, historical margin requirments data ...
by LeapFrog
Wed Aug 08, 2012 10:23 am
Forum: Money Management
Topic: Last day rule
Replies: 5
Views: 3699

Re: Thanks Sluggo

If only my coding skills were up to it. A friend of mine has this on his list of things to add once he can. What I'm talking about works for up and down trends. If say a new high is breached in corn - you take it - i would want to get out if the low of the day was breached, even if it was minutes a...
by LeapFrog
Tue Jun 19, 2012 6:27 pm
Forum: Futures Markets
Topic: Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Replies: 4
Views: 2456

It may or may not make any difference to volatility - I doubt it will - the volatility isn't being caused by too narrow a window of session time. I think of "the markets" as operating 24/7 and we traders just happen to drop in on them during certain exchange opening hours - so longer they are open t...
by LeapFrog
Tue May 08, 2012 2:17 pm
Forum: Futures Markets
Topic: Expanded Trading Hours for CBOT, KCBT & MGEX Grain and O
Replies: 2
Views: 1868

This could make things even trickier getting our daily price updates from a supplier like CSI, generate the "next day" orders and stick 'em in the broker's platform. These markets will have been open probably for hours before we get ready to enter new orders.

Will have to see how this goes.
by LeapFrog
Thu Apr 19, 2012 10:31 am
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 6863

CSI Beta 120

There are a lot of changes in this Beta version, now available for download for anyone who wants to try it. I am using it in production - have done for 3 months with no issues. http://www.csidata.com/?cat=4 Many of the changes were initiated by some of us on this forum - TB users. A couple of highli...
by LeapFrog
Thu Mar 15, 2012 8:46 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9202

I find this quite remarkable. So are you saying you re-balanced away from trend following? If so then what other strategies are used if any. Of course, I'm sure you know, there are a whole host of trading strategies out there aside from "trend following". I'd venture to say that "most traders" don'...
by LeapFrog
Sun Jan 29, 2012 2:06 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5181

fc, one way you could possibly think about this which may make it more palatable, is to remember that buying or selling a futures contract is not like buying an asset. You are entering into a contract that gives you a right to buy or sell a fixed item or derivative sometime in the future. The quanti...
by LeapFrog
Wed Jul 20, 2011 11:51 am
Forum: Futures Markets
Topic: YTD performance of Trend Following Wizards
Replies: 5
Views: 2922

Without knowing anything about anything, I would say the thing they have in common is luck. Not like they "hit it out of the ball park" that much ahead. Most all the tracking indicies for CTA types are showing red YTD. On the other hand, if you were to ask me what some of the traders listed below ha...
by LeapFrog
Tue Jun 21, 2011 9:05 pm
Forum: Futures Markets
Topic: Crude Palm Oil
Replies: 3
Views: 1909

The Chicago offering has no volume - have to trade the Malaysian original. My broker can access it via. the back office but can't give me access to it through the front office. I'm the only customer that has asked for it apparently and that means it isn't worth the trouble for my broker to set it up...
by LeapFrog
Tue Mar 22, 2011 10:44 am
Forum: Testing and Simulation
Topic: Healthy debate about subjects of testing and system optimati
Replies: 18
Views: 5779

Looking forward to your contributions. Be sure to do thorough searches on each of the topics you mention above as most have been discussed extensively on this forum before.

Txs.
by LeapFrog
Mon Mar 14, 2011 2:01 pm
Forum: Data Providers and other non testing software
Topic: CSI has now added a forward roll schedule report.
Replies: 5
Views: 4612

CSI has now added a forward roll schedule report.

In the latest upgrade available here... http://www.csidata.com/custserv/updates/svcpack/UA.2.10.7.117.Upgrade.exe CSI has now provided a .txt report generated off users' portfile.adm showing "Days To Go" until the next roll over for all back-adjusted instruments in all portfolios. I know others have...
by LeapFrog
Tue Mar 08, 2011 10:47 am
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8835

Yes, using CU cash is another way. I find it easier to put my fx conversion files in my FOREX portfolio folder though.

Here is a copy of yesterday's dm/EUR linked txt file in case anyone wants to do a comparison.
by LeapFrog
Fri Mar 04, 2011 2:47 pm
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8835

Linking historical DM spot to current Euro spot now possible

with the latest version of CSI (version 2.10.7.117). This newest version has a "Symbol Link" radio button on the icon menu which opens this new feature. I've linked the inactive historical DM spot data (CSI # 24) to my euro fx data to give a continuous fx conversion rates going back to 1972, instead...
by LeapFrog
Wed Feb 16, 2011 12:38 pm
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30228

Sluggo - well done! We on this forum are very fortunate, IMHO, to have a contributor such as yourself who is willing to share this kind of research with us. That was a lot of research and a lot of work posting it in such a succinct and concise form - even I could understand it after a couple of read...
by LeapFrog
Thu Feb 10, 2011 9:36 am
Forum: Data Providers and other non testing software
Topic: More CSI problems
Replies: 12
Views: 4052

By way of final update, I contacted CSI about these discrepancies between my version xxx.110 and xxx.116 yesterday afternoon. This morning they have issued a fix and I can confirm that my results are now identical between the two versions. If you previously had downloaded .116, re-download it again ...
by LeapFrog
Wed Feb 09, 2011 8:33 pm
Forum: Data Providers and other non testing software
Topic: More CSI problems
Replies: 12
Views: 4052

I'm also seeing differences between .110 and .116b in the way back adjusting is being determined. Using the date specific method there is no problem, but when using "open interest and volume" the two versions come up with different roll points in the same underlying data - not every contract, but on...
by LeapFrog
Wed Feb 09, 2011 9:50 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16261

LeviF wrote:
LeapFrog wrote:...I have run as high as 80 percent margin to equity intraday and often average around 40 to 50 percent.
What sort of drawdowns are you realizing with this level of heat?
A level that I can stand - less than the numbers above though.
by LeapFrog
Tue Feb 08, 2011 9:27 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 16261

Leapfrog, In your case, I agree you want to maximize margin usage, which is why given two programs that make the same return (and all other things being equal), you still choose the one with lower margin. Why tie up $30,000 to make a $30,000 return, if you only need to tie up $15,000 to make the sa...
by LeapFrog
Mon Feb 07, 2011 1:16 pm
Forum: Data Providers and other non testing software
Topic: csi advanced backadjuster
Replies: 12
Views: 4906

Using the TB standard Donchian system, about 25+ years of data on about 80 markets or so, I get bigger differences than you seem to be getting Chris.
by LeapFrog
Mon Feb 07, 2011 11:19 am
Forum: Data Providers and other non testing software
Topic: csi advanced backadjuster
Replies: 12
Views: 4906

I just tried .116 and concur with Chris that major differences are occuring - same portfile.adm on both computers and using the standard TB Donchian system with no frills.

Let the fun begin I suppose. Did they fix something that was previously broken or introduce a new back adjusting twist...