Search found 83 matches

by 7432
Sat Jan 19, 2013 11:36 am
Forum: Futures Markets
Topic: Milk Class III Roll dates
Replies: 3
Views: 2930

I would suggest not using any generic or data service recommended roll dates for milk, the contract dies but open interest stays high. and while there might be decent end of day volume in a contract there might not be a bid or ask during the trading day, the volume would have just come from people l...
by 7432
Tue Oct 16, 2012 9:32 am
Forum: Futures Markets
Topic: Using Put/Call Open Interest to Predict the Rest of the Week
Replies: 3
Views: 2613

yes, that is what it means. I'd say this is an urban legend, or some saying like 'can't win for losing,' 'sell rosh hashanah, buy yom kippur' or some such thing. it is kind of drilled into the head of option traders and I figure some people that spent a short amount of time trading and then moved on...
by 7432
Mon Oct 08, 2012 12:27 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6699

I only mentioned the 75-85 because it was a good trading period for the pound. if you see no added value just leave it out. the pound could be range bound for 10yrs like 93 to 03 and only good for selling atm straddles. there are some posts on this forum about trading seemingly bad markets only for ...
by 7432
Mon Oct 08, 2012 9:27 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6699

I like marriot's comment, but I would go back to a different fiscal period. pretend it is 1985 and run your tests from 70-75, 75-80 and 80-85. would you have left out the pound and ny cocoa? I actually don't think it is a big deal to cherry pick markets, we are after all cherry picking systems to tr...
by 7432
Tue Jul 17, 2012 9:23 am
Forum: Brokers
Topic: Interactive Brokers data fees
Replies: 3
Views: 3343

IB upgraded the account process last year allowing us to consolidate account fees.
now you can link multiple accounts so only one account gets charged the fees but the rest of the accounts get the same data feed.

I pay about the same as trackstar.
by 7432
Thu May 17, 2012 8:34 am
Forum: Data Providers and other non testing software
Topic: CSI data different on perpetual contract than on actual
Replies: 4
Views: 3131

http://www.cmegroup.com/trading/agricul ... tures.html

mini wheat high is 666'0 according to the cme website.
it reads like you have csi and tb set to mini wheat but are looking at the full contract for a price check.
by 7432
Thu Mar 15, 2012 8:00 pm
Forum: Brokers
Topic: Non base currency futures with IB's Universal Account
Replies: 2
Views: 2885

1 seems to be answered 2 well yes, but... 3 IB posts current loan/borrow rates someplace on their website and they are W I D E 4 you carry foreign currency in your account as a cash position used for margin 5 yes 6 I'm not sure about this question/statement, the last part, I don't believe there is a...
by 7432
Sun Jan 29, 2012 10:55 am
Forum: Futures Markets
Topic: Eurodollar (ED) - limited upside - PART 2
Replies: 8
Views: 2521

trading real world examples- from what I've read, the contract specs don't limit the price to 100 and below. there are bids in calls 100 and above. euroswiss traded above 100 last summer. real world reasons- you believe the risk of any current investment is greater than you want to take. you are mor...
by 7432
Tue Jan 24, 2012 2:35 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 5973

thought of a fun experiment while skiing this morning. consider all signals from your system as 'live' waiting to be entered. build a risk manager that trades fixed equity of only 250k, or whatever number is low enough to reject many or all trades. then have the system wait to enter all trades until...
by 7432
Tue Jan 17, 2012 6:00 pm
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 7306

if it is the overnight trade posted on zerohedge make sure you read the 3rd to last paragraph of the original sk options piece where it points out that all the advantage is gone if you have to participate in the 20 cent bid ask spread.
by 7432
Thu Dec 15, 2011 9:42 pm
Forum: Trader Psychology
Topic: Performance Enhancing Trading Drugs
Replies: 22
Views: 12226

my experience from 15 years on the floor is the successful traders didn't bother with drugs. the interest in performance enhancing drugs usually seemed to be the poor traders reaching out for something to help them compete. most of the people I knew of using some form of drugs during the day were us...
by 7432
Sun Dec 11, 2011 10:43 am
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 19290

you don't need the long dated insurance, you can just go out 6 months and keep rolling. a couple items in the original thomson reuters article make things a little scary. in the off balance sheet section counterparty risk is written about, reminds me of the aig conference call before they crashed. t...
by 7432
Tue Aug 30, 2011 10:44 am
Forum: Testing and Simulation
Topic: Parameter Stepping Methods and Implications
Replies: 14
Views: 5378

at the top of page 852 in the mentioned kaufman book, "Using equal increments will weight this set of tests heavily towards the long end;" a few more comments but no explanation of why results are biased towards the long end. bobsyd, have you got a page number where there is more explanation? my gue...
by 7432
Mon Mar 07, 2011 5:44 pm
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8818

using CU cash(rather than EU9 spot) is also an option.
the data is very similar, starts in may of 1972 and is updated daily.
by 7432
Mon Feb 21, 2011 5:14 pm
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 7655

Re: Things you might do, even though they HURT performance

The After system sizes positions based on the "Closed Equity" (which is equal to mark-to-market total account equity, MINUS the open trade equity of all currently open positions). for those that use stops and want to try closed equity, if I am holding an open position and roll from march to june, T...
by 7432
Mon Feb 07, 2011 10:49 am
Forum: Data Providers and other non testing software
Topic: csi advanced backadjuster
Replies: 12
Views: 4905

I updated to the csi 2.10.7.xxx build from 2.9.3 last month and had no problems at all. I ran both versions on the same computer for 3 weeks in january before I was satisfied there were no problems or differences in my data. redrock's suggestion of copying the portfile.adm file is your best bet. tra...
by 7432
Sun Jan 02, 2011 2:51 pm
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27322

I told them that I thought you could only trade at the bid and the offer, they said "there are many was to trade the markets these days, sir. Is there anything else I can assist you with?" So I'll further investigate unless somebody in the forum knows better (mainly everybody). Cheers, Cord the blo...
by 7432
Sun Dec 05, 2010 3:01 pm
Forum: Data Providers and other non testing software
Topic: Looking for a good brokerage service
Replies: 5
Views: 2576

if your issue is market infomation or structure, the people at GLOBEX have been fantastic lately. they are happy to help customers with quick call backs, returning emails and staying on top of something until a solution is found. in general I've found the CME Group to be very accomodating over the l...
by 7432
Tue Sep 14, 2010 4:50 pm
Forum: Testing and Simulation
Topic: Options Testing/Trading Software
Replies: 5
Views: 2200

Are you sure about that??? :shock: :shock: :shock: nope, not sure at all. sorry I've been dealing with just energy lately. AFAIK, almost all globex markets will be shown. except- on nymex it has something to do with globex orders staying on the book and not being disseminated to the public, only to ...
by 7432
Tue Sep 14, 2010 10:16 am
Forum: Testing and Simulation
Topic: Options Testing/Trading Software
Replies: 5
Views: 2200

currently IB has pretty good options software for trading and risk analysis purposes. their program does not include auto quote and most importantly does not let the user view 'requests for quotes,' RFQ's. that is a huge problem since all you can see is the market maker's electronic bid/ask. you mig...