Search found 71 matches

by longmemory
Tue Oct 18, 2011 6:52 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 11943

Eventhorizon wrote "use R for off-line analysis - it is not suited to building a trading system as it is horribly slow for loop processing..." Eventhorizon : the quick and dirty approach be to get <<Revolution Analytics>> formerly Revolution R. It is a university spin off adding parallel processing ...
by longmemory
Tue Oct 18, 2011 6:50 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 11943

Blue Trin : Are you BUYING Open Quant. To the best of my limited understanding, Open Quant is FREE , open source and you can download it from code.google.com. Is there a possiblity that you are confusing Open Quant with Smart Quant, a Russian, Windows only, commercial package (of no obvious attracti...
by longmemory
Tue Oct 18, 2011 6:48 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 11943

Mike S wrote "Writing code from scratch isn't hard, but it does take time. Plus, I am not a great coder..." Mike : The "does take time" part can be rather painful. I have 10 years of code in Trade Station Easy Language that I do NOT have the human resources to recode. Writing even a simple looking t...
by longmemory
Fri Sep 02, 2011 12:58 pm
Forum: Testing and Simulation
Topic: script to format correlations data from CSI Correlation Lab
Replies: 0
Views: 1681

script to format correlations data from CSI Correlation Lab

Hi All, Suppose you have a big futures and commodities portfolio and wish to update correlation data in the FuturesInfo.txt file. For the Euro Currency, the strong correlated symbol list looks something like this AD .. BAX BO CD ... SF ... How would you generate such a list with minimum effort? My s...
by longmemory
Fri Aug 26, 2011 6:21 am
Forum: Futures Markets
Topic: (1) MIB change from S&P to FTSE (b) margin
Replies: 2
Views: 1260

Sluggo,
Thank you very much.
"Another Broker" search confirmed my suspicion that I had margin one order of magnitude higher then desired.

L
by longmemory
Thu Aug 25, 2011 6:03 pm
Forum: Futures Markets
Topic: (1) MIB change from S&P to FTSE (b) margin
Replies: 2
Views: 1260

(1) MIB change from S&P to FTSE (b) margin

Hi (a) Would anyone know when MIB changed from S&P to FTSE moniker? Was there any change in composition? (b) The following filtered message threw me for a spin IFM,1,Short Entry,on Open,13.00,34810.0000000,... Cannot add 272456.81 additional margin to 1320873.30 existing with only 1551203.28 equity ...
by longmemory
Tue Jul 26, 2011 12:23 pm
Forum: Futures Markets
Topic: London Sugar roll alternatives compared
Replies: 0
Views: 1632

London Sugar roll alternatives compared

To follow up on the Robusta comparison, I tried same and few Volume based rolls for Sugar. Essentially, Volume or Open Int based roll settings provide poor results. This market shows significant day to day variation in Volume. Open Interest meanders, with higher OI in back month and higher Volume in...
by longmemory
Tue Jul 26, 2011 11:24 am
Forum: Futures Markets
Topic: London Robusta roll alternatives compared
Replies: 0
Views: 1589

London Robusta roll alternatives compared

Taking Shane's and RHC's suggestion, I've experimented with a few roll settings for Robusta. Time interval: 1994 - 2011 July Setting Robusta to 10 MPDM (Shane's suggestion) and Open Int + Volume to 90% fill rate (my best guess). To approximate RHC's setting I forced the "Roll before Expiry = 30 day"...
by longmemory
Tue Jul 26, 2011 10:13 am
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 4488

Thank you guys! RHC, Shane: thank you. I'll try the roll dates and study differences btwn hard date results vs. Open Int + Volume settings. When looking for Images, try http://eu.ixquick.com/eng/pics.html Select "Images" The query "roll file editor" came back with a single hit, dead on! It was the r...
by longmemory
Mon Jul 25, 2011 4:25 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 4488

Shane,

Thank you.
For your Roll by Date trigger, what are your settings?

L
by longmemory
Mon Jul 25, 2011 1:52 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 4488

Sluggo, George Carlin was funny once upon a time but that was a long long time ago. Sitting on his laurels, he worked himself into a rut with knee jerk blah blah which had no relevance to reality... The question was "is there a setting one can apply in UA which is generally satisfactory". Please not...
by longmemory
Mon Jul 25, 2011 1:41 pm
Forum: Data Providers and other non testing software
Topic: FOREX currency pairs - nice new feature
Replies: 0
Views: 2429

FOREX currency pairs - nice new feature

CSI UA build 119 has nice new features: currency pairs can be inverted for a one pair ONLY, not the entire portfolio. This is very useful for anyone who trades futures markets denominated in non-USD contracts. (Alternate method is to edit names in TB Forex dictionary.) See enclosed image. In the LOW...
by longmemory
Mon Jul 25, 2011 12:44 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 4488

London Sugar and London Coffee (Robusta)

Hi Is anyone trading these markets actively? Is there a satisfactory way to roll these markets for accurate historical back tests and for actual trading? If so, please advise. I've traded both markets for several years, but abandoned them about 5 years ago. I'd like to trade these markets again sinc...
by longmemory
Thu Jul 14, 2011 9:28 am
Forum: Data Providers and other non testing software
Topic: UA Roll Trigger Bug
Replies: 7
Views: 4055

Josh,

Please read concerns about testing rule #1 and trading rule #2.

I can see Father Sluggo's wisdom-- write a back adjuster from scratch.

LM
by longmemory
Thu Jul 14, 2011 8:32 am
Forum: Data Providers and other non testing software
Topic: UA Roll Trigger Bug
Replies: 7
Views: 4055

Hi Josh, Wow, thank you for the answer. Alas, you are describing a very dangerous piece of software! Essentially you are saying there are two separate semantics. First, historic data IGNORES the "...Rolling Overrides" setting. Most unwise, but let us continue. Second, for each day, the "...Rolling O...
by longmemory
Thu Jul 14, 2011 6:10 am
Forum: Data Providers and other non testing software
Topic: UA Roll Trigger Bug
Replies: 7
Views: 4055

Hi Demon, Yes, good point, this is why I set Advanced >> Contract Expiry >> "Contact Expiration Rules" manually and set Roll by days before expiry=10 1 Month Prior to 15th day of month MINUS the 10 days should have triggered roll on 1 Month Prior to on the 5th day of the Month. It did not. At this t...
by longmemory
Thu Jul 14, 2011 5:53 am
Forum: Data Providers and other non testing software
Topic: Milling Wheat (MATIF) CSI Symbol BL2 #517 Bug#1
Replies: 2
Views: 2250

Sluggo, Yes, Exchange could have reported bad data. All exchanges make erroneous reports. Data providers know that and have front end data edit programs to identify potential problems. CSI has a data validation department where the staff does catch and correct a lot of errors. In this case, the data...
by longmemory
Wed Jul 13, 2011 7:00 pm
Forum: Data Providers and other non testing software
Topic: UA Roll Trigger Bug
Replies: 7
Views: 4055

UA Roll Trigger Bug

This is a general roll trigger bug. BL2 Milling Wheat is just an easy to follow example, but you can look for your own. Nature of bug: Contract Expiry override does not work consistently. Wheat settings: Roll Tigger=Open Int Confirmation=Roll on 1st Trigger Roll by Days Before Expiry=10 Contract Exp...
by longmemory
Wed Jul 13, 2011 6:41 pm
Forum: Data Providers and other non testing software
Topic: Milling Wheat (MATIF) CSI Symbol BL2 #517 Bug#1
Replies: 2
Views: 2250

Milling Wheat (MATIF) CSI Symbol BL2 #517 Bug#1

Bad Open Interes data for Wheat (Milling) causes rolling problems. Using CSI UA 2.7.10.119 Beta On April 14, the 2004-May contract has Open Int=3,681 On April 15th, OpenInt=5,781 On April 16th, OpenInt=3,707 See below... The only trouble is that the day open interest INCREASED by 2,100 contract alth...
by longmemory
Fri Jul 01, 2011 12:50 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30521

Levi wrote: "For me, the conflict is that getting out of 99% of the position at 1R (leaving 1% in so the system doesnt jump back in the trade) is better than letting it ride. Again, this goes against all the theory of why LTTF works: returns arent normally distributed - you need to capture the 20+R ...