Search found 25 matches

by CyTrend
Fri Feb 17, 2012 5:27 am
Forum: Trend Indicators and Signals
Topic: Bloomberg Trender Indicator
Replies: 7
Views: 6937

Eventhorizon, anywhere i can find some pseudocode implementation of the Kase-Dev stop?
by CyTrend
Wed Feb 15, 2012 5:48 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

I might be misunderstanding the original post but in my mind it doesn't really say much more than "Beware of Regression to the Mean". I think it is quite obvious that if you peak your managers solely as the top sharpe ratios it would be surprising if you actually did not see those sharpe ratios decl...
by CyTrend
Tue Feb 14, 2012 4:05 am
Forum: Trend Indicators and Signals
Topic: Bloomberg Trender Indicator
Replies: 7
Views: 6937

Thanks Eventhorizon, you do raise some very interesting points. 1) The diagram must be a conceptual representation, as you say. I didn't base my analysis on that. Instead i used some data from bloomberg which has the trender value for each bar i am looking at. What i did was set up an equation of th...
by CyTrend
Tue Feb 14, 2012 2:36 am
Forum: Testing and Simulation
Topic: CL rolled to Dec12
Replies: 2
Views: 1220

CL rolled to Dec12

It seems like my Oil contract rolled recently from Mar12 to Dec12. I have it rolling with open interest and looking at open interest data from CME it seems this is correct. However i feel there is something weird going on here. Usually my oil contracts roll to the immediate next month. Does anyone h...
by CyTrend
Sun Feb 12, 2012 10:02 am
Forum: Trend Indicators and Signals
Topic: Bloomberg Trender Indicator
Replies: 7
Views: 6937

Thanks for the link Babelproofreader but i had already seen that one. Actually the parameters are not selected by the user what is selected is the sensitivity which means how many standard deviations to add or subtract from your signal to get the trailing stop. The Time Constants for the two exponen...
by CyTrend
Thu Feb 09, 2012 5:17 pm
Forum: Trend Indicators and Signals
Topic: Bloomberg Trender Indicator
Replies: 7
Views: 6937

Bloomberg Trender Indicator

Anyone looked at Bloomberg Trender indicator before? It looks very similar to Parabolic Sar (or Jean Arps Trender which had not heard before) but Bloomberg refuses to share the parameters they use to plot it. I am in the process of trying to reverse engineer it ( i just can not deal with looking at ...
by CyTrend
Fri Jul 29, 2011 9:13 am
Forum: Testing and Simulation
Topic: Good Non Corrleated System
Replies: 5
Views: 2336

i've been staring at my screen for the last three days Chris. Has the deal been reached yet?
by CyTrend
Fri Jul 29, 2011 9:03 am
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7720

As a novice in programming where would you begin - c++ for dummies ? Chris67 i think if your primary objective is problem solving and writing computer algorithms your best bet for a first language should be one that is very simple and powerful so that you can spend your time thinking about the solu...
by CyTrend
Sat May 14, 2011 5:01 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23450

sluggo, regarding the test_case_for_programmers.csv file you posted some time ago (thanks for that), i wrote some code to convert returns before and after fees and checked it against your file which works fine. However i am struggling a bit to understand why i can not replicate ,using that code, the...
by CyTrend
Wed Apr 13, 2011 7:29 pm
Forum: Money Management
Topic: Liz Cheval and Negative Correlation
Replies: 3
Views: 3192

Liz Cheval and Negative Correlation

Hey guys, I came across this very interesting link from a presentation by Elizabeth Cheval (original turtle) talking about the value of CTAs as an alternative asset and most importantly giving a very intuitive explanation of linera correlation. However i have a question. Somewhere in PART II she sho...
by CyTrend
Thu Mar 10, 2011 11:01 am
Forum: Testing and Simulation
Topic: Choosing between system signals
Replies: 2
Views: 1518

Choosing between system signals

Hello is there an easy way to have too systems running and basically you take the signal from whichever system gives it first and then ignore the signal from the other system? So System1 and system 2. on 5th of march i buy with system 2 and I stay long till 5th april then I ignore all buy signals fr...
by CyTrend
Thu Feb 24, 2011 6:46 pm
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Roger, I think i understood how to use "loadFromIPVFile". Now let me see if i understand the method u are proposing correctly. First i created one BPV called portfolioInstrument and i used : portfolioInstrument.LoadIPVFromFile( externalFileNamePerpetualData, "perpetualOpen", "perpetualHigh","perpetu...
by CyTrend
Wed Feb 23, 2011 4:08 am
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Roger thanks this is exactly what i need to do! Will try to figure out how to do it. Thanks for putting some thought in to how it can be done. I will try and figure out the mechanics of it. Thanks again
by CyTrend
Tue Feb 22, 2011 4:49 am
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Tx Sluggo I will power through!!!
by CyTrend
Mon Feb 21, 2011 10:10 am
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Tx Sluggo and LeviF, I guess it is a personal choice to use perpetual futures because they are a more static view of the market and I believe form a more powerful signal for trades. You are getting rid of the cost of carry storage etc. However I guess our question still is more technical. 1. How do ...
by CyTrend
Mon Feb 21, 2011 9:14 am
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Hi LeviF, as we said in the initial post backtesting using the perpetual contract does not provide u with the real pnl as that is not what u trade. So u need to have a way to seperate the contract u use to provide u with the entry/exit signal from the contract u actually execute ur real orders on.
by CyTrend
Mon Feb 21, 2011 7:36 am
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

sluggo thanks for the above, i have to follow-up questions that might help clear things up: 1) is it possible to elaborate on how u write orders to a file and then use that file to read orders and apply to a second portfolio?Am i suppose to run this in trading blox(using the write and read file comm...
by CyTrend
Sat Feb 19, 2011 2:31 pm
Forum: Testing and Simulation
Topic: Signals from perpetual contracts translated to real trading
Replies: 14
Views: 5388

Signals from perpetual contracts translated to real trading

Hello, I am hoping there is an easy solution to this. I want to use perpetual contacts as defined by CSI to get my entry and exit signals. However I am pondering how then to backtest these signals to get the real trading PnL. So can I get the signal from the Perpetual CL future but then execute my o...
by CyTrend
Tue Feb 08, 2011 9:35 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5810

this is what i am realising so far myself just wanted to put it out there to see the response... I guess many ppl do it themselves. Apparently bloomberg is going to start rolling out a backtesting platform to match CQG
by CyTrend
Tue Feb 08, 2011 5:37 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5810

Issues with CSI

Hello guys I am assuming some of you have CSI can some of you please vouch for their quality? I have been trying to figure out exactly how their perpetual future works and had difficulty getting a clear ans from them. Further to that they seem to not have the expiry dates for some of the future cont...