Search found 18 matches

by M20J
Sat Nov 24, 2012 5:21 pm
Forum: Data Providers and other non testing software
Topic: Transtrend portfolio And European markets
Replies: 6
Views: 3775

One cheap-and-cheerful solution - Yahoo finance provide pretty good stock histories for a good cross section of the European market. If you look at the prettified data, they split the dividends out for you, eg: http://finance.yahoo.com/q/hp?s=BBVA.MC+Historical+Prices You can also directly request a...
by M20J
Sun Jul 01, 2012 12:20 pm
Forum: Trend Indicators and Signals
Topic: Spurious indicators, or uses thereof
Replies: 3
Views: 2947

I always find it strange when people plot currencies on a linear scale and then draw trend lines on them. Surely, if the trend line has any validity, it must give exactly the same signal on the inverse of the currency? So they should only ever work on log-scaled graphs.
by M20J
Sat Feb 25, 2012 10:00 am
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 8634

Spread betting? Sounds to me like a good way to run through 10k. Not legal in the US afaik, but in the UK the main outfits (IG Index, Capital Spreads, etc) are infamous for moving the market against high rollers to stop them out. Might as well just go to a casino. I used to be extremely sceptical o...
by M20J
Tue Feb 07, 2012 7:50 pm
Forum: Futures Markets
Topic: trading question
Replies: 4
Views: 2415

Trading Leech wrote:I thought many systems traders still preferred not to trade while markets are open...
For sure, there are times my systems' performance would be improved if I tried to trade only when the markets are closed.
by M20J
Thu Oct 06, 2011 9:56 pm
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 4091

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.
by M20J
Wed Sep 07, 2011 11:44 pm
Forum: Futures Markets
Topic: Non Trending Futures
Replies: 5
Views: 2994

Although recent days in the Swiss Franc have been a slightly painful end to a great trend, I don't see the recent announcement as heralding a great change. Currency intervention and shadowing was a frequent feature of the heyday of trend following strategies. Although while the shadowing is successf...
by M20J
Wed Sep 07, 2011 11:24 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12091

I have to admit to being sorely tempted to attend the Singularity Summit, which looks to have a really interesting program this year. I'm sometimes a bit tight-fisted with discretionary spending on myself though, so I haven't quite committed myself to it yet. In a finance-related aside, one of the s...
by M20J
Tue Sep 06, 2011 7:55 pm
Forum: Testing and Simulation
Topic: Similar Systems / Different Luck in 2011
Replies: 15
Views: 5337

They do not create more pain - they create more work
Although to be fair, stop orders can on occasion be very successful at creating more pain too.
by M20J
Tue Mar 29, 2011 11:17 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78093

I don't trade stocks myself, so these are just a few random thoughts to throw into the mix... - Market capitalization - possibly it works best with companies that are neither penny stocks at one end, nor big cyclical stocks at the other. Is there a sweet spot or range to aim for? - Realized volatili...
by M20J
Thu Mar 03, 2011 7:03 pm
Forum: Trend Indicators and Signals
Topic: Transtrend way of measuring market "trendiness": T
Replies: 8
Views: 8054

It's been a while since I looked at it, but Automated Trader Magazine had a sister website called Alphability which produced a range of similar statistics. http://www.automatedtrader.net/articles/alphability/ From what I remember, you can see quite a lot of the website just by registering. I conside...
by M20J
Sat Nov 20, 2010 8:35 am
Forum: Futures Markets
Topic: Transtrend: trading pork bellies
Replies: 18
Views: 8297

A recent copy of the CME Daily Livestock Report gave a good explanation:

http://www.dailylivestockreport.com/doc ... 0-2010.pdf
by M20J
Sun Aug 08, 2010 8:00 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 5582

Many apologies for defending investment professionals, but very many of them trade ETFs not through choice but because their hands are tied by their company's dealing rules. It's not at all uncommon for there to be a blanket ban on trading futures and options. Even though there are restrictions, sto...
by M20J
Tue May 18, 2010 9:17 pm
Forum: Testing and Simulation
Topic: A couple of interesting articles
Replies: 1
Views: 1704

A couple of interesting articles

I thought others might enjoy these too. The meat from the mechanical traders' point of view is related to contract rolls - none of it earth shattering, but it's always good to be reminded that the standard CSI rolls aren't the only option. There's also some other food for thought in there, along wit...
by M20J
Sun Feb 21, 2010 10:14 pm
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14078

AND most importantly (to me): with a retail API access (which would allow for a program to be written and not skip any SL orders)... GFT are the only true spreadbeting company I've come across who have an API. They're a bit protective of it, I think mainly because they worried about being arbed by ...
by M20J
Sat Apr 11, 2009 8:33 am
Forum: Futures Markets
Topic: LTTF and the Eurodollar Futures
Replies: 7
Views: 4989

Many thanks to everyone for their thoughts.

Regards,
David
by M20J
Thu Apr 09, 2009 3:31 am
Forum: Futures Markets
Topic: LTTF and the Eurodollar Futures
Replies: 7
Views: 4989

Darran - I'm not sure where you're coming from with the deflation comment - perhaps you could explain. In a deflationary environment it seems to me you'd be much better off short commodities than long Eurodollars. Sluggo - they're only cousins, rather than brothers, but both contracts do suffer from...
by M20J
Wed Apr 08, 2009 8:11 am
Forum: Futures Markets
Topic: LTTF and the Eurodollar Futures
Replies: 7
Views: 4989

LTTF and the Eurodollar Futures

Here's a question I'm not sure how to backtest. It's somewhat difficult for the Eurodollar futures to now develop a meaningful long-term uptrend. You could theoretically squeeze another point out of them, but that's it. With the downside risk now so significant relative to the potential upside rewar...