Search found 5 matches

by drawdown
Wed May 05, 2010 9:42 pm
Forum: Futures Markets
Topic: Eurozone HICP Index - anyone trade this?
Replies: 0
Views: 2238

Eurozone HICP Index - anyone trade this?

A strange contract this, with prices sort of 'discrete' rather than 'continuous'. Volume/OI figures look very sparse. In testing I discovered that, due to the flat nature of the prices, you can end up with some interesting position sizes when using past (recent) volatility to set the betsize. I've r...
by drawdown
Mon Apr 26, 2010 11:04 pm
Forum: Testing and Simulation
Topic: Correlation - Inputs vs. Outputs
Replies: 10
Views: 4358

Levi wrote:What does your run #1 look like w/half the bet size? Probably a lot like run #3...
Not so good unfortunately: MAR of 1.3, Max DD of 40%. That led me down the path of increasing the bet size but then trying to take out some of the heat via other means.
by drawdown
Mon Apr 26, 2010 10:03 am
Forum: Testing and Simulation
Topic: Correlation - Inputs vs. Outputs
Replies: 10
Views: 4358

causal links between markets come and go. you know better than a stat tool when things are linked or not. Perhaps. But is causation the main issue? To my mind, if we use correlation measures as a tool to control risk, for example, it doesn't matter whether a price move in one instrument causes a pr...
by drawdown
Thu Apr 15, 2010 7:48 pm
Forum: Stocks
Topic: Where to find the constituents of indexs?
Replies: 3
Views: 3950

Here's the Hang Seng.

http://www.hsi.com.hk/HSI-Net/HSI-Net

The others should be fairly quick to google. Cheers