Search found 9 matches
- Mon Sep 14, 2015 10:26 am
- Forum: Futures Markets
- Topic: Which Nasdaq future is correct for trading?
- Replies: 2
- Views: 4595
- Fri Sep 12, 2014 12:35 pm
- Forum: Futures Markets
- Topic: SGX Rubber TSR20
- Replies: 3
- Views: 4821
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...
- Fri Oct 18, 2013 5:55 pm
- Forum: Testing and Simulation
- Topic: Trading Next Days Open
- Replies: 14
- Views: 13390
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...
- Thu Oct 11, 2012 10:01 am
- Forum: Futures Markets
- Topic: CSI - Swiss Market Index
- Replies: 0
- Views: 3601
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.
Not a big deal by any means... but may be relevant for those trading that market.
- Wed Dec 21, 2011 6:15 pm
- Forum: Testing and Simulation
- Topic: Historical transaction costs
- Replies: 3
- Views: 3715
- Wed Nov 02, 2011 5:00 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9386
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...
- Wed Feb 02, 2011 2:06 pm
- Forum: Futures Markets
- Topic: Short Sterling
- Replies: 2
- Views: 2948
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...
- Wed Jan 26, 2011 10:49 am
- Forum: Futures Markets
- Topic: Short Sterling
- Replies: 2
- Views: 2948
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...
- Fri Feb 27, 2009 3:46 pm
- Forum: Testing and Simulation
- Topic: Historical transaction costs
- Replies: 3
- Views: 3715
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 ...