How do you test this condition?ColdFact wrote: 4) I don't take long signals in any market with month over month contango>10%, and vice versa for backwardation
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- Tue Oct 09, 2012 9:08 am
- Forum: Testing and Simulation
- Topic: Curve Fitting or appropriate market selection
- Replies: 15
- Views: 8046
I'm pretty sure ZB is the equivalent code for the ECBOT long bond futures and ZN for the ten-year. Given the very tight bid-offer spreads, you may find the cheapest solution to buy another $9k so that you've got $10k to sell. The position finally got liquidated yesterday. Do you think that it shoul...
Since I cannot post to newbie section, I'm posting here. My long only LTTF system on stocks is flat now so I started studying bond markets. As a test I bought T-bonds (T 3 3/4 08/15/41) with position size only $1k. I just wanted to buy it and hold for couple of days and see how it looks on my statem...