Search found 21 matches

by rdh2f
Tue Dec 16, 2014 7:45 am
Forum: Testing and Simulation
Topic: Slippage and Roll Slippage in Futures
Replies: 2
Views: 3873

Re: Slippage and Roll Slippage in Futures

I believe 5% on both overestimates reality, which in a back-test is what you want.

Good luck
by rdh2f
Mon Dec 15, 2014 1:35 pm
Forum: Testing and Simulation
Topic: Quick code to fade Natural Gas Sunday Open
Replies: 0
Views: 10882

Quick code to fade Natural Gas Sunday Open

Anecdotally, the natural gas (and likely other markets) Sunday opens are just stupid. 2 or 3% gaps that seem to reverse over the next day...it seems to happen 100% of the time, which I know is clearly not the case. I'd like test a system that says: if asset xyz opens 2% (variable) over it's last set...
by rdh2f
Thu Sep 26, 2013 4:02 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18342

Trend following may work for 100 years but the issue is that most people only have 3 or 5yrs (at most) of capital to give it a run. Those individual traders that prosper or fail exploiting a TF system is a function of luck (or bad luck) in my view.
by rdh2f
Wed Sep 25, 2013 3:57 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 18342

Very good discussion. I think after 5yrs of losing money the only "systematic" traders that have been consistently profitable are those that "cheat", those HFT who get info earlier or execute faster. Not traders but thieves. Moreover, it's not just trend following that has struggled. For example, Ca...
by rdh2f
Wed Sep 25, 2013 3:43 pm
Forum: Testing and Simulation
Topic: Broadly speaking, when will systematic trading work again?
Replies: 1
Views: 2805

Sorry this discussion has already been had, although not exhaustive

viewtopic.php?t=10050&highlight=
by rdh2f
Wed Sep 25, 2013 2:55 pm
Forum: Testing and Simulation
Topic: Broadly speaking, when will systematic trading work again?
Replies: 1
Views: 2805

Broadly speaking, when will systematic trading work again?

TF/Systematic trading hasn't "consistently" worked for 5yrs now. Funds are closing, massive losses are being taken and the biggest and the best struggling. Clive closed John Henry closed Chesapeake virtually closed Cantab down 30% ytd others: http://www.automated-trading-system.com/trend-following-w...
by rdh2f
Tue Sep 17, 2013 1:54 pm
Forum: Testing and Simulation
Topic: Volatility risk filter blox
Replies: 3
Views: 3664

I decided to take a look at the current ATR and compare that to a certain look back period and reject trades based on a certain sigma level above or below the historic look back Essentially, if the current ATR was in the top or bottom 2-5% over the last xxx number of days, reject trade I've run coun...
by rdh2f
Mon Aug 12, 2013 2:40 pm
Forum: Testing and Simulation
Topic: Volatility risk filter blox
Replies: 3
Views: 3664

Volatility risk filter blox

I'd like to explore adding a volatility risk filter but have trouble coding (as anyone can see if they look at my past questions). A blox that has 3 variables/inputs: ATR 1 : 14 (day) ATR 2 : 100 (day) % difference: 50 Rule: if the ATR1 is 50% higher than ATR2 day, then ignore trade signal. Otherwis...
by rdh2f
Wed Dec 19, 2012 3:31 pm
Forum: Testing and Simulation
Topic: Exploiting contango/backward term structures
Replies: 1
Views: 1331

Exploiting contango/backward term structures

Intuitively, I'm always more comfortable when my trend system signals a long position in a contract in a backward dated term structure and vice versa in a contangoed term structure. It got me thinking about how I could develop a system to trigger a delta position generated off the slope of the term ...
by rdh2f
Mon Dec 03, 2012 3:38 pm
Forum: Testing and Simulation
Topic: CSI Futures roll Aligned with Data or Nex Day
Replies: 3
Views: 1551

Roll

Given OI and Volume data varies and is inconsistent over time, I prefer to select a fixed day of the month that OI and Volume typically flip for each asset you plan to trade (roll TY on the 27th day of the month and ES on the 12th etc...). As long as you're consistent, it should all come out in the ...
by rdh2f
Thu Jul 19, 2012 9:55 am
Forum: Testing and Simulation
Topic: CSIs "Advanced Backadjuster" and rollover thoughts
Replies: 0
Views: 1296

CSIs "Advanced Backadjuster" and rollover thoughts

As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. While that may be accurate on how one would roll in real time, it seems too dependent on when your data starts, as well as creates a current contract price that is not the actual current contract price to ...
by rdh2f
Wed Jul 18, 2012 11:24 am
Forum: Testing and Simulation
Topic: When do you roll over ?
Replies: 5
Views: 2437

CSIs "Advanced Backadjuster" and rollover thoughts

As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. While that may be accurate on how one would roll in real time, it seems too dependent on when your data starts, as well as creates a current contract price that is not the actual current contract price to ...
by rdh2f
Mon Mar 03, 2008 1:36 pm
Forum: Trend Indicators and Signals
Topic: How long is "very long term trend following"
Replies: 3
Views: 5949

200 to 300 days is generally considered very long term in my view. This will result in your winning trades being at least a year and often 2 or 3 years. Mentally this can be a very difficult type of system to trade as you will sit on unrealized gains for years and never be able to realize gains on m...
by rdh2f
Wed Feb 06, 2008 3:01 pm
Forum: Trend Indicators and Signals
Topic: 10yr Note Trading
Replies: 1
Views: 3238

Since no one seems to want to reply, I have found some success intraday in 3 min bars trading the Bollinger Band Counter trend system. It feels like 10y notes counter trend better than they trend intraday. However, I'd like to program trading rules to only trade during hours I'd like to trade (7am-4...
by rdh2f
Mon Feb 04, 2008 11:32 am
Forum: Trend Indicators and Signals
Topic: 10yr Note Trading
Replies: 1
Views: 3238

10yr Note Trading

I have traded a medium term MACD system with very good success on the 10yr note for over a year now. Give it a look for yourself, 12,50 and signal 9 using the basic money manager fixed number of contracts. I'm trying to develope a shorter term and preferrably an intraday system 10y note system but n...
by rdh2f
Tue Jan 15, 2008 9:10 am
Forum: Custom C++ or Java Platforms
Topic: Interactive Brokers API application help
Replies: 3
Views: 5168

Thanks RR, I was unaware of that forum
by rdh2f
Mon Jan 14, 2008 2:20 pm
Forum: Custom C++ or Java Platforms
Topic: Interactive Brokers API application help
Replies: 3
Views: 5168

Interactive Brokers API application help

Does anyone know if there is a service or programmer for hire to code a system of mine into excel using IB's API? I do not believe it is extremely difficult for a knowledgable person but I prefer trading and developing systems to learning the programming code. Many thanks to anyone who can point me ...
by rdh2f
Thu Nov 08, 2007 7:10 am
Forum: Futures Markets
Topic: Rolling strategies and the emergence of ETFs
Replies: 3
Views: 3491

Thanks, SVquant. I agree with you competely but appreciate your reassurance.
by rdh2f
Wed Oct 31, 2007 8:12 am
Forum: Futures Markets
Topic: Rolling strategies and the emergence of ETFs
Replies: 3
Views: 3491

Rolling strategies and the emergence of ETFs

I wanted to get anyone's thoughts around a better rolling strategy than just when OI changes. My initial thought is: since the ETFs must begin rolling within 5 days of contract expiration and they are long only that if I am short, I roll as late as possible (ETF rolling should drive down the front a...
by rdh2f
Fri Jan 27, 2006 1:15 pm
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 30880

Very true

Thanks for the link sluggo. Perhaps, I haven't tested nearly as much as I need to. Nevertheless, it does appear that the original turtle system seems to have underperformed over the past few years and I wanted to know if anyone had any qualative explanation. Thanks again