Search found 18 matches

by cordura21
Fri Aug 10, 2012 2:26 pm
Forum: Futures Markets
Topic: Negative Yield "Top" For Bond Futures?
Replies: 0
Views: 2026

Negative Yield "Top" For Bond Futures?

Hi, I'm trading Bond Futures using trend following and I'm trying to figure if there is a futures contract price that implies a negative yield for the underlying bond. This is obviously a "soft" top since bonds can (and recently we've seen it in German Bonds) trade at negative yields but I still fig...
by cordura21
Sat Jun 02, 2012 7:50 am
Forum: Data Providers and other non testing software
Topic: Free sources of historical data
Replies: 5
Views: 3855

I do that. The main point at the time of the decision was that I could get more data on things like first notice dates, etc... From Bloomberg, so I could setup my own rolling criteria. Or so I thought. The other thing was that it was easier at the time to just use the Bloomberg Excel adding instead ...
by cordura21
Thu Mar 15, 2012 9:37 am
Forum: Brokers
Topic: Non base currency futures with IB's Universal Account
Replies: 2
Views: 2875

Non base currency futures with IB's Universal Account

Hi guys. I want to get detailed information about how margin works when you use IB's Universal Account for trading non base currency futures. I thought some of you know about it and can share pointers to/or information about it, cause I wasn't able to find much on my own. I was not able to find deta...
by cordura21
Tue Jun 14, 2011 9:36 am
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 9161

Hey Ratio. How's your project going? I'm looking forward to hear from it.
Cheers, Cord
by cordura21
Mon May 30, 2011 10:10 am
Forum: Futures Markets
Topic: Order generation on Memorial day
Replies: 3
Views: 1752

Thanks for the Seykotaesque repy Sluggo :-) BTW and changing subjects, what are you gonna do with your orders on US Exchanges today? Are you gonna recalculate them after the 1030-1200 CT close, or are you gonna use the ones you generated on friday, given that a) there are no settlement prices today ...
by cordura21
Sun May 29, 2011 10:46 pm
Forum: Futures Markets
Topic: Order generation on Memorial day
Replies: 3
Views: 1752

Order generation on Memorial day

Hey guys. Igenerated my orders last Friday. This Sunday the Globex is open, and trading will be halted on Monday between 1030 and 1200 cst, depending on the product. Trading will resume at 1700. So I have two questions: Will you generate orders for Tuesday on Monday night or keep Friday's? Will it b...
by cordura21
Sun Mar 13, 2011 11:05 am
Forum: Brokers
Topic: Barron's 2011 Online Broker Survey
Replies: 0
Views: 3581

Barron's 2011 Online Broker Survey

Hey guys. Here's a link to the full analysis http://online.barrons.com/article/SB50001424052970203523604576188781715729822.html#articleTabs_panel_article%3D1 Attached is the final table. Cheers, Cord PS: Tradestation as being n1 surprised me. Not so much IB not being n1, since as good as it is, the ...
by cordura21
Fri Feb 18, 2011 9:19 am
Forum: Futures Markets
Topic: Cotton Lock Limit Day
Replies: 9
Views: 3662

Excuse my ignorante, which contract was 17% up? I coannot find it.

Edit: excuse my typos too, I sometimes forget to switch languages on this spelling checker. :wink:
by cordura21
Fri Feb 04, 2011 7:34 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27183

Sugar was pretty mean yesterday...again. I wonder what's the cause of this.
by cordura21
Wed Jan 12, 2011 5:12 pm
Forum: Futures Markets
Topic: How do you get the info of a locked market
Replies: 3
Views: 2308

I guess you're right. I was at the telephone with them all the time, but we concentrated on fixing the issue instead of doing it in an alternative way. I also guess that they are too automated to have a good reliable human execution. BTW Sluggo, do you have any way of finding out realtime if there i...
by cordura21
Wed Jan 12, 2011 5:00 pm
Forum: Futures Markets
Topic: How do you get the info of a locked market
Replies: 3
Views: 2308

How do you get the info of a locked market

Today I couldn't execute with my broker. The error said that the price was outside the limits, even for market orders. So it looked like a glitch. But watching the chart it looks like a lock/limit.
How do you confirm if the market was locked or not? Check the strange Soybean Meal chart (SMH1):
by cordura21
Sun Jan 02, 2011 8:51 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27183

I don't know if you read this old stuff about Eckhardt: http://www.elitetrader.com/vb/showthread.php?s=&threadid=75851&perpage=6&pagenumber=1 He said they only use price, they don't use summary stats like moving averages, and that things like breakout levels take into account just two pie es of data...
by cordura21
Fri Dec 31, 2010 2:05 pm
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27183

The chart is from Bloomberg. I am pretty sure that you can roll your own with something like eSignal, Tradestation, and I am 90% sure I saw it on the free Quotetracker, at least for stocks, and in Stockcharts.com. The bars count the amount of contracts (y axis) traded at the days' prices (x axis). Y...
by cordura21
Fri Dec 31, 2010 9:32 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27183

I think it was real, and the lower prices attracted a lot of volume.

Happy new year.
by cordura21
Mon Sep 27, 2010 11:35 am
Forum: Money Management
Topic: different % Risk for longs and shorts
Replies: 11
Views: 6385

Thanks for the clarification, Sluggo. I guess it could be a matter of getting anticorrelation by trading/timing versus by asset allocation, which is supposed to bring anticorrelation by itself. I think that depending on the "client" (be it yourself or another person), comparing to the benchmark can ...
by cordura21
Fri Sep 24, 2010 2:02 pm
Forum: Money Management
Topic: different % Risk for longs and shorts
Replies: 11
Views: 6385

Thanks everybody for the thoughts. Since then I've been tryng stuff. On a breakout system with stocks, shorting stocks takes the MAR from 0.6 to 1, and it makes both the CAGR and the maxDD bigger. I also tried using half the risk per trade and the stop distance with shorts, and the MAR improved anot...
by cordura21
Wed Sep 22, 2010 11:57 am
Forum: Money Management
Topic: different % Risk for longs and shorts
Replies: 11
Views: 6385

different % Risk for longs and shorts

Hey guys. What's your opinion on using a different % risk on equity with long versus short trades? Any practicioner? Let's assume that shorts are faster than longs (a test on emerging markets showed me that for the decade short movements are 2/3 bigs than longs, and they last half of the time). If y...
by cordura21
Wed Apr 14, 2010 9:14 am
Forum: Data Providers and other non testing software
Topic: Sample futures data roll method
Replies: 1
Views: 1697

Sample futures data roll method

Hi,
I'm trying to expand on the sample historical data provided by downloading the series from bloomberg. However I haven't been able to find in the User's Guide how the rollover on the data provided is performed so as to be able to match it.
Does anybody know where I can find out?
Thank you!