Search found 44 matches

by jas-105
Mon May 06, 2013 7:03 am
Forum: Futures Markets
Topic: What Libor is referring to ?
Replies: 2
Views: 1959

The derived interest rate is 100 - 99.8, so 0.2%.
The reason it is different from the actual bank rate of 0.5% is because this is the average rate that banks charge each other to borrow/lend.
The banks setting these rates are largely crooked so be careful !
by jas-105
Tue Jan 29, 2013 1:55 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5601

The ETF Database is a good place to start your search:

www.etfdb.com

Yahoo Finance is one place where you can download free backadjusted data but there may be others.

Hope that helps.
by jas-105
Thu Nov 22, 2012 2:32 pm
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19281

Ive drawn down capital base aggressively and I really dont care about missing an explosive upside move right here right now [which just aint coming] - i'd rather survive and make 5 % even if my systems make 15% in that period - its just , for me, a Golden rule - if in doubt get out - I doubt market...
by jas-105
Thu Nov 22, 2012 3:29 am
Forum: Data Providers and other non testing software
Topic: Transtrend portfolio And European markets
Replies: 6
Views: 3808

Gadoli - thanks for sharing. Transtrend really are one of the best managers out there and the fact they include some instruments with very limited history goes to show they just apply their models to everything without risk of curve fitting the data. As far as equity data is concerned, once you have...
by jas-105
Wed Nov 21, 2012 1:43 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19281

MarkS - Thanks for the "postmortem" on your fund, it's kind of you to share this info. I'm starting to believe that, for long-term systems at least, 30 years of data just isn't enough and that most of us have built parameters based on a market period that was particularly suited to trend following. ...
by jas-105
Mon Nov 19, 2012 9:25 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19281

Chris67 mentioned these guys on another thread: http://www.iasg.com/groups/group/district-capital-management/program/diversified-program#all I had not come across this outfit before but apparently the lady who runs it began working in the business with her father in 1978. They are in a draw down of...
by jas-105
Mon Nov 19, 2012 4:21 am
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19281

Mark. Sorry to hear you have had to close your fund, my partners and I started our fund in June last year so a very similar time to yours it seems but we set a 3-year timeline for the business and funded it accordingly, I just hope (and pray) that we see the markets free up soon enough. Following on...
by jas-105
Tue Nov 13, 2012 4:58 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4892

svquant - CSI works perfectly for us on a daily basis, we cross-check it with 2 other data sources each morning and it barely misses a beat. For research purposes though, we require much longer history. Originally we thought 30 years was sufficient, but we have recently decided to focus less on the ...
by jas-105
Mon Nov 12, 2012 6:27 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4892

Anthony & rhc, thank-you so much for posting links, this is just what I wanted. Like most, I'm in a long drawdown and have customers who ask me where I see a way out of this and if history is any guide to "what happens next". I realised that by only going back to the early 1980's with current data e...
by jas-105
Sun Nov 11, 2012 5:19 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4892

deep data history

Does anybody know where I can get some very long term futures data, preferably backadjusted but not vital ? I use CSI and they are very good but only have long history for a few commodities.
by jas-105
Fri Oct 05, 2012 9:58 am
Forum: Money Management
Topic: negative rates being charged on margins
Replies: 1
Views: 2253

negative rates being charged on margins

I have just been told that I will be charged negative interest rates (LIBOR -1%) on margin posted at the exchange, regardless of net positive cash balance (ie cash excess after margin) ! This is as a result of the General Clearing Members looking for new revenue streams at a time of low volumes and ...
by jas-105
Sun Jan 01, 2012 7:02 am
Forum: Testing and Simulation
Topic: When Market move steady
Replies: 1
Views: 1373

I have often wondered about this very same thing. It usually occurs on low volume markets or during quiet periods such as out-of-hours or holiday periods. Computer market-making (HFT) is most likely the reason of the pattern, kicked off by a single or small number of relatively large orders. I am gu...
by jas-105
Thu Oct 06, 2011 4:58 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

There is certainly a lot of zigging and zagging going on among the big trendfollowers as they post their Sep numbers.
by jas-105
Thu Sep 29, 2011 7:30 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

But there's no getting away from the fact that investors will still look at monthly returns even on an investment that is deemed to only really "work" over 2+ years at the very least. So, if you have monthly numbers that zig when others zag that has to be a good thing (although not necessarily impor...
by jas-105
Thu Sep 29, 2011 5:50 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

Demon

Thanks for the clarification. In terms of importance, how does the monthly up/down correlation rank when you are looking at allocating to a fund, CTA or otherwise ?
by jas-105
Wed Sep 28, 2011 1:26 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

Thanks Sluggo. I already manage a fund and I know how it correlates to others (I should have told you this first, I know) but looking at it from the point of view of those folks who allocate to CTAs is that number more attractive if it's below a certain level ? I've heard 0.75 mentioned but that doe...
by jas-105
Wed Sep 28, 2011 7:15 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23562

Does anyone know what the threshold of correlation would be between two (or more) TF funds that would make them attractive in the institutional sense to be held together in a fund, assuming all other things equal ?
by jas-105
Wed Jul 20, 2011 3:31 am
Forum: Money Management
Topic: How Fund Manager places order on market?
Replies: 4
Views: 4208

I would imagine that the manager would specify the "when" and the broker would control the "how". If you are using a big Prime Broker then orders, especially in stocks, would be executed using methods not unlike high frequency trading. You will be able to see a list of supported "native" order types...
by jas-105
Thu Mar 24, 2011 8:56 am
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8839

Josh - thanks for your help, it's all working fine now I've upgraded to v .117
by jas-105
Wed Mar 23, 2011 4:40 pm
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8839

Sorry Josh, I meant to say originally that I was trying to link Nikkei SSI_54 to the NK futures contract. What I am trying to achieve is to extend the Nikkei future back to 1985 using representative data so that I can use it for correlation purposes. The idea was to splice the SSI cash contract onto...