Search found 3 matches

by fisu
Tue Oct 09, 2012 9:08 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6605

Re: Curve Fitting or appropriate market selection

ColdFact wrote: 4) I don't take long signals in any market with month over month contango>10%, and vice versa for backwardation
How do you test this condition?
by fisu
Fri Oct 07, 2011 4:16 am
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 4083

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...
by fisu
Thu Oct 06, 2011 6:37 am
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 4083

US T-bonds

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...