Search found 200 matches

by damian
Thu Jun 07, 2007 2:57 pm
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 22095

Yes, that is my question. I hope it does 'just work'. Thanks for relating your experience, it is encouraging.
by damian
Thu Jun 07, 2007 8:45 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 22095

King1999 - it seem odd to me, the idea of using an external piece of hardware to share an internet connection between machines that are both running on the same motherboard. Generally speaking though, I agree with you. Getting off topic, but I use one of those 3G wireless data cards/cell phone conne...
by damian
Thu Jun 07, 2007 7:59 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 22095

The latest OSX version (leopard) is supposedly just around the corner. I might wait for that rather than pay for the upgrade.

Can anyone comment on configuring DSL sharing, eg: OSX is used to connect to DSL and Windows uses that connection.
by damian
Thu Jun 07, 2007 3:35 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 22095

Thanks for your user review. This Parallels software has really got my attention: the biggest bonus is it allows file sharing between operating systems, so you can easily email a Blox object using your email client in OSX. Or you can open CSI ASCI files in Excel that is also in OSX. Without such fil...
by damian
Thu Nov 30, 2006 5:56 am
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

Traveling with the idea a little further (but possibly not arriving anywhere in particular): System A trades Futures x, y and z. The individual equity curves from each product, derived from the one system, System_A, could be seen as 3 separate investments and you can only be long each equity curve, ...
by damian
Thu Nov 30, 2006 4:19 am
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

On the topic of system equity curve correlations (not individual instrument correlations): You can only be long or flat a trading system. You can’t go short the equity curve. You are invested or you are not. So since we are restricted to long-only system investments, I would want to allocate funds...
by damian
Wed Nov 29, 2006 7:32 pm
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

Well, you might be clever, but you're not much fun. Spoil sport. ;)

And hence the value of calculating correlation of de-trended series.

I very quickly threw the only Excel de-trend addin that I have at the data and detrended one series, correlation 0.10. My results are rubbish
by damian
Wed Nov 29, 2006 6:36 pm
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

Having extended the chart and plotted progressive correlation in pink (and broken a few rules).
by damian
Wed Nov 29, 2006 6:11 pm
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

Earlier I just asked three late workers in my office to guess the correlation of the blue and grey equity curves. Two said negatively correlated, one said zero. Grey and blue equity curves have a correlation of +0.68 even though they never move in the same direction on the same day. And the longer t...
by damian
Tue Nov 28, 2006 4:56 am
Forum: Testing and Simulation
Topic: Correlation in practice – equity curve synchronisation
Replies: 11
Views: 8072

Correlation in practice – equity curve synchronisation

I have found some pairs show low correlation (monthly, last 5 years). An example is SI and HG at 0.34 based on futures or 0.37 based on spot physical. I am using Bloomberg data and function to calculate. I know intuitively that a system I am researching produces synchronised equity curves for both p...
by damian
Fri Oct 13, 2006 2:30 pm
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 14570

Now you guys speak up with the bright ideas. I expect a few hundred dollars from everyone who avoids this costly error as a result of the above advice from Sluggo (at 5:53pm, 13 Oct 06) Learning experiences though loss are worth money! I should start selling them at a small discount to what it would...
by damian
Fri Oct 13, 2006 1:14 pm
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 14570

My system rejected an entry a few weeks go on the basis of too much open risk. It was in CSI symbol SXX, as above. Today I noticed the performance of that symbol and pondered the rejection. It didn't seem right. I looked at it... hang on there's and extra zero in the CSI data. The open risk on the p...
by damian
Wed Oct 04, 2006 5:22 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30196

BARLI - I genuinely do not think you understood my post and most certainly not c.f.' enjoyable response and reasoning, which is a slight yet correct variation of my view and irrespective of that, arrives at the same result. You could have (but certainly didn't) note that I never said "more sellers t...
by damian
Fri Sep 29, 2006 6:00 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30196

bill, you seem to be entering the trade when everybody is already getting out of it, make some research on Lumber's seasonal tendancies.... I guess the membership of your class "everybody" are people with long positions, and getting out means selling?? I know that isn't what you meant. You meant "e...
by damian
Wed Jun 07, 2006 12:58 pm
Forum: Futures Markets
Topic: Winnipeg - Western Barley, Domestic Wheat Feed
Replies: 19
Views: 11525

Won't your system give you a signal to buy just due to the carry factor (+18.10)? No. The entire continuous synthetic time series will be (was) back adjusted by the amount 18.1 If I simply chained the contracts together then your concerns would be valid and my time series quite useless. (was) = bas...
by damian
Wed Jun 07, 2006 5:39 am
Forum: Futures Markets
Topic: Winnipeg - Western Barley, Domestic Wheat Feed
Replies: 19
Views: 11525

Hi Cliff, I drive very frequently all around certain parts of continental Europe and you do see quite a bit of biodiesel on sale. It was after all 'invented' here by a German fellow quite a long time ago (Herr Diesel, no less). I trade a whole range of system tenors, but in the context of this commo...
by damian
Tue Jun 06, 2006 2:43 pm
Forum: Futures Markets
Topic: Winnipeg - Western Barley, Domestic Wheat Feed
Replies: 19
Views: 11525

Re: Canadian Grains

AFJ Garner, Just curious to know if your system has signaled you to trade canola from the long side? It has had a steady run up over the last while. Ditto for Sluggo. CliffordG I am neither AFJ nor Sluggo, but my system is close to, but not yet signalling a long in canola. I added this little guy a...
by damian
Wed Mar 29, 2006 7:30 pm
Forum: Data Providers and other non testing software
Topic: CSI Data Corrections
Replies: 21
Views: 19114

Mowgli, I have often seen the same thing - data corrections from 3 or 5 or 7 or 10 (!!!) years ago. Such data corrections make little sense and in no way support the gushing claim that CSI are " really committed to achieving accurate data" as PaulZ asserts in his apparently non-affiliated support po...
by damian
Wed Mar 22, 2006 8:15 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17539

It's just a matter of time.

http://finance.google.com/finance
by damian
Wed Mar 08, 2006 9:53 am
Forum: Futures Markets
Topic: RA , NE - South African Rand, New Zealand Dollar
Replies: 10
Views: 6934

Two types of slippage: 1. Really bad fills on normal days. No worry to me as I look to hold Rand contracts for >1 year and take significant profits. If getting a buy filled at the high of the day is a problem then my strategy has a serious shortcoming. For some strategies (the one I am discussing) I...