Search found 9 matches

by b-cat
Mon Sep 14, 2015 10:26 am
Forum: Futures Markets
Topic: Which Nasdaq future is correct for trading?
Replies: 2
Views: 1687

Re: Which Nasdaq future is correct for trading?

Looks to me like like the one from investing.com is a CFD on the NQ futures, whereas the one on yahoo is the actual future.
by b-cat
Fri Sep 12, 2014 12:35 pm
Forum: Futures Markets
Topic: SGX Rubber TSR20
Replies: 3
Views: 1884

A few more things: -In addition to being illiquid, TSR20 is also a small contract. While it may trade the same number of contracts as LB, a single contract is roughly 1/5th the value of LB (~40K for LB, vs. ~8K for TSR20). As such, all else equal, the number of contracts you're likely to trade would...
by b-cat
Fri Oct 18, 2013 5:55 pm
Forum: Testing and Simulation
Topic: Trading Next Days Open
Replies: 14
Views: 9028

Maybe another consideration could be to investigate how sensitive backtest results are to fill assumptions. A simple example: -use the SetFillPrice() and random # generator to vary each fill so that it's somewhere between the high and low of the execution day. Run N trails and see how how much the r...
by b-cat
Thu Oct 11, 2012 10:01 am
Forum: Futures Markets
Topic: CSI - Swiss Market Index
Replies: 0
Views: 2393

CSI - Swiss Market Index

It appears as though CSI changed their symbol for the Swiss Market Index from 'SWI' to 'SMI'.

Not a big deal by any means... but may be relevant for those trading that market.
by b-cat
Wed Dec 21, 2011 6:15 pm
Forum: Testing and Simulation
Topic: Historical transaction costs
Replies: 3
Views: 2480

An update on this... The disclosure docs for many CTAs ( example ... see pages 17 - 26) contain performance tables that have a column called "Brokerage Commission & Misc Expenses", among various other interesting bits of data. The commission column shows costs in total dollars / month, so some norma...
by b-cat
Wed Nov 02, 2011 5:00 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5360

Are you using volatility-based position sizing? If so, that could be something to think about as well. It's been my experience that deferred contracts often have significantly lower vol than front months, for various reasons. depending on how your sizing algo works, less vol might mean more contract...
by b-cat
Wed Feb 02, 2011 2:06 pm
Forum: Futures Markets
Topic: Short Sterling
Replies: 2
Views: 1878

Thanks jas. Turns out you are correct. Below is a response from the exchange [quote] First of apologies for a delayed response. On both 25th and 26th Jan we had 99.23 as highs in Mar-11 contract. I am not what sources you’re using, but plainly guessing that your sources might not be reflecting imp...
by b-cat
Wed Jan 26, 2011 10:49 am
Forum: Futures Markets
Topic: Short Sterling
Replies: 2
Views: 1878

Short Sterling

CSI, Esignal and the Euronext website are all showing a high of 99.23 for March Short Sterling on 2011-01-25 Looking at time-and-sales data from both esignal and my broker indicate that the price never traded above 99.20 Normally, i'm not one to fuss over 3 ticks... but... STIRs make me fussy. Looki...
by b-cat
Fri Feb 27, 2009 3:46 pm
Forum: Testing and Simulation
Topic: Historical transaction costs
Replies: 3
Views: 2480

Historical transaction costs

Just wondering how (or even if) people deal with changing transaction cost in backtesting. A phenomenon that i've seen in backtesting (particularly when trading at higher frequencies) is that applying todays transaction costs to 10+ years of data leads to a 'flattening out' of the end of the equity ...