Search found 25 matches
- Fri Feb 17, 2012 5:27 am
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12869
- Wed Feb 15, 2012 5:48 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 41328
- Tue Feb 14, 2012 4:05 am
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12869
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...
- Tue Feb 14, 2012 2:36 am
- Forum: Testing and Simulation
- Topic: CL rolled to Dec12
- Replies: 2
- Views: 2320
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...
- Sun Feb 12, 2012 10:02 am
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12869
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...
- Thu Feb 09, 2012 5:17 pm
- Forum: Trend Indicators and Signals
- Topic: Bloomberg Trender Indicator
- Replies: 7
- Views: 12869
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 ...
- Fri Jul 29, 2011 9:13 am
- Forum: Testing and Simulation
- Topic: Good Non Corrleated System
- Replies: 5
- Views: 3722
- Fri Jul 29, 2011 9:03 am
- Forum: Testing and Simulation
- Topic: Traders, learning to write computer programs
- Replies: 20
- Views: 13428
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...
- Sat May 14, 2011 5:01 pm
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37216
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...
- Wed Apr 13, 2011 7:29 pm
- Forum: Money Management
- Topic: Liz Cheval and Negative Correlation
- Replies: 3
- Views: 4513
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...
- Thu Mar 10, 2011 11:01 am
- Forum: Testing and Simulation
- Topic: Choosing between system signals
- Replies: 2
- Views: 2422
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...
- Thu Feb 24, 2011 6:46 pm
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
- Wed Feb 23, 2011 4:08 am
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
- Tue Feb 22, 2011 4:49 am
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
- Mon Feb 21, 2011 10:10 am
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
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 ...
- Mon Feb 21, 2011 9:14 am
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
- Mon Feb 21, 2011 7:36 am
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
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...
- Sat Feb 19, 2011 2:31 pm
- Forum: Testing and Simulation
- Topic: Signals from perpetual contracts translated to real trading
- Replies: 14
- Views: 8659
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...
- Tue Feb 08, 2011 9:35 am
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10631
- Tue Feb 08, 2011 5:37 am
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10631
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...