Search found 42 matches

by AceofAce
Thu Mar 02, 2017 12:34 pm
Forum: Futures Markets
Topic: STIRs, single contract vs back-adjusted price series
Replies: 2
Views: 1234

Re: STIRs, single contract vs back-adjusted price series

Many thanks Tim. Indeed you are right. I am doing a research on rolls timing and I noticed for example that in the back adjusted time series, if you change the roll point from market on open to market on close, the backtest gives you hugely different results. Equally important the results vastly dif...
by AceofAce
Thu Mar 02, 2017 8:59 am
Forum: Futures Markets
Topic: STIRs, single contract vs back-adjusted price series
Replies: 2
Views: 1234

STIRs, single contract vs back-adjusted price series

Typically quant futures strategies trade on or analyse back-adjusted price series data to issue signals or carry out research. Does anybody have a view whether it makes sense to make an exception for Short Term Interest Rate contracts and use single contract time series? They are fairly liquid over ...
by AceofAce
Tue Sep 20, 2016 4:35 am
Forum: Futures Markets
Topic: Rolling Futures - Order type
Replies: 0
Views: 1830

Rolling Futures - Order type

Hello everyone, Anyone has an idea what is the best order type to use to roll futures positions to the next contract month without being in front of the screen at the time of fill. I trade with Interactive Brokers and create a calendar spread to roll. I enter a start time to roll at a liquid point o...
by AceofAce
Thu Apr 24, 2014 11:26 am
Forum: Futures Markets
Topic: Rolling tips!
Replies: 2
Views: 1906

Thank you Sluggo! Very good advice.

Wonder why I didn't think of such simple yet very good tips!

I particularly like the 2nd option giving 3 days to roll with limit orders whilst not missing the liquid period in the end

Many thanks again!
by AceofAce
Tue Apr 22, 2014 11:52 am
Forum: Futures Markets
Topic: Rolling tips!
Replies: 2
Views: 1906

Rolling tips!

Hello everyone, Does anybody have any tips on rolling cost effectively from one futures contract to the next. I roll based on open interest by sending calendar spread orders however I am not sure whether to use market spread orders or limit orders (to save some pips) or something else. Market orders...
by AceofAce
Thu Feb 27, 2014 11:15 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Many thanks to both of you! Yes that was my back test I did back in 2011 (i do all my tests in excel as I am not a programmer myself). I recently tested a turtle LTTF system similar to AFG Gardner's but with only 33 futures and no profit taking feature. Between 1998-2013 I got roughly CAGR 30%, MAR ...
by AceofAce
Wed Feb 26, 2014 12:40 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Hello AFJ Gardner,

I had a question on your article Modified Turtle System posted in Active Trader magazine back in 2010. How does the system perform if you take out the 50% profit taking feature?
by AceofAce
Wed Oct 16, 2013 11:47 am
Forum: Futures Markets
Topic: Optimum rates contract to hold
Replies: 2
Views: 2529

Optimum rates contract to hold

For a long-term trend following system (turtle-like), anyone has any idea which is the optimum contract month to hold for STIRs. All of them are fairly liquid with large OI from the current contract month to the all the quarters 2-3 years ahead.
by AceofAce
Sun May 13, 2012 4:24 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Many thanks AFJ Garder and Chuck B, very helpful! I also noticed that when rolling from contract month A to B, other contract months around B maybe stronger or weaker contracts. If say I hold a long position, it might it be better to roll to the strongest contract month instead for just the next liq...
by AceofAce
Thu May 03, 2012 12:29 am
Forum: Trend Indicators and Signals
Topic: Signal or gap slippage
Replies: 3
Views: 2894

Thank you very much slugo. This is the thinking pattern we should be going through
by AceofAce
Tue May 01, 2012 4:57 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Let me show you what I mean. One attachment below shows the actual price series of GEZ2. The second attachment shows the backadjusted price series for the same contract. You see the difference. If you try to plot donchinan breakouts and DMA filters you get different trade signals depending which pri...
by AceofAce
Tue May 01, 2012 3:52 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Many thanks AFG Garner. I was referring to actual trading though not back testing. When one trades for real, should he use price series made of back adjusted prices for the contracts he trades to generate signals or just the actual daily historic prices however back they go? Say if you trade Eurodol...
by AceofAce
Tue May 01, 2012 1:18 pm
Forum: Trend Indicators and Signals
Topic: Signal or gap slippage
Replies: 3
Views: 2894

Signal or gap slippage

When trading the turtles breakout system, what are your opinions about the following. Should we trade a breakout signal even if the price gapped enormously through the signal or should we have a tolerance beyond which we ignore the signal until and if the price reverts to within the tolerance. I am ...
by AceofAce
Tue May 01, 2012 12:56 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70455

Re: Dead Turtles

[quote="AFJ Garner"][quote][b]HotTip Modified Turtle System I've read your posts and your article in ActiveTrader magazine this month. Excellent article. Are you able to share your parameters from the modified Turtle system? I'm considering purchasing Trading Blox and would like to recreate your equ...
by AceofAce
Sat Apr 14, 2012 2:44 pm
Forum: Futures Markets
Topic: Interest Rate contracts liquidity
Replies: 2
Views: 1980

Interest Rate contracts liquidity

Interest Rate contracts have a lot of liquidity and open interest in many forward contract months. For a LTTF system such as the turtles, i wonder which is the optimum contract month to have a position on and what rule to use to roll. On all other futures (commodities, FX, Indices etc) I roll to the...
by AceofAce
Sat Apr 14, 2012 7:54 am
Forum: Testing and Simulation
Topic: Is there a spread cost to rolls
Replies: 1
Views: 1097

Is there a spread cost to rolls

I was wondering if there is a spread cost when rolling to the next contract month. If there is, it means this cost is incurred at least 4 times per annum (12 times on some contracts, eg OIL). This would be a major cost and has to be taken into account in any backtest.
by AceofAce
Fri Feb 24, 2012 7:59 am
Forum: Testing and Simulation
Topic: Trading bonds and rates in small lots
Replies: 3
Views: 1542

Thank you Sluggo, much appreciated.

Yes i found the mini Eurodollar contract. Unfortunately i couldn't find anything on the 10Y note or even international Bonds and rates.
by AceofAce
Thu Feb 23, 2012 3:31 pm
Forum: Testing and Simulation
Topic: Trading bonds and rates in small lots
Replies: 3
Views: 1542

Trading bonds and rates in small lots

The standard contract size for the Eurodollar and the 10 year note is 2,500 and 1,000 lots respectively. Similar sizes for international bonds and rates. Does anybody know a way, synthetic or otherwise, to trade bonds and rates in small lots of say 100. I trade with little capital and want to do B+R...
by AceofAce
Mon Feb 13, 2012 4:02 pm
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6935

Re: Complimentary system to Trend following

[quote="rhc"][quote="AceofAce"]Actually i mean more "Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems"[/quote] Hmmm, I thought that question was answered !!?? Your question now asks; [b][i]"Does anyone know of ...
by AceofAce
Sun Feb 12, 2012 9:57 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6935

Re: Complimentary system to Trend following

Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc) Rearranging that question; “Does anyone know of a system that makes money during periods of non-trending market action.â€