Search found 14 matches

by CPTRADER
Sun Dec 14, 2008 10:33 pm
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 8226

Thanks, sluggo for sharing. To clarify/add to my previous points. Research is never ending..... and research can at times after lots of effort surprise us in its findings.......so perhaps what I meant to say is: research is not an immediate solution to my problem...and even if it can solve my proble...
by CPTRADER
Sun Dec 14, 2008 10:16 pm
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 8226

Sluggo, your post is insightful in some ways but doesn't address the dilemma. My philosophical belief is that truly robust systems work on multiple markets, multiple sectors, multiple regions and are truly a "suite of systems". It is very difficult if not impossible to achieve robustness and good ri...
by CPTRADER
Sat Dec 13, 2008 3:01 am
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 8226

SLuggo....are you being sarcastic or witty or both.

Why is one problem easy and the other hard.

I came here in the hope that other forum members could share some wise insights that could solve the dilemma. I trust you can do that. Please do. That would be preferred to your initial reply.
by CPTRADER
Fri Dec 12, 2008 5:17 pm
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 8226

Quant/Quant-Discretionary Trading Dilemma

I have a fully developed and back-tested multi-market multi-strategy quantitative trading program that I have near 100% confidence in.

Additionally, I have a quantitative strategy with a substantial discretionary overlay, let say 70% quantitative, 30% discretionary. This “overlayâ€
by CPTRADER
Wed Oct 29, 2008 7:04 pm
Forum: Data Providers and other non testing software
Topic: EOD Data with true electronic close
Replies: 3
Views: 2778

EOD Data with true electronic close

Where can I get EOD data with true electronic close prices for FX, interest rate, metals & energy markets. The FX and Interest Rate markets trade to 5pm EST; however,CSI and all the data vendors I am aware of use the settlement price set by the exchange which is the 3pm closing/settlement proce. Ide...
by CPTRADER
Fri Jul 04, 2008 5:43 pm
Forum: Testing Software
Topic: Sorting Custom Arrays
Replies: 6
Views: 5491

Thanks solong. Good answer. Unfortunately, while my list i snumeric, the number of elemnets far exceeds the number of instruments; so your workaround unfortunately appears not to be valid.

Thanks anyway for your contribution.

Any other ideas?
by CPTRADER
Fri Jul 04, 2008 4:40 pm
Forum: Testing Software
Topic: Sorting Custom Arrays
Replies: 6
Views: 5491

Thanks sluggo, while I don't have access to the Customer site... I see that you are a tremednous resource to the tBB community. I am NOT a prficient C coder. Do you have a code example I can directly use in TBB. I am considering purchasing TBB, but given the limited 7 day trial window, I want to be ...
by CPTRADER
Fri Jul 04, 2008 3:28 pm
Forum: Testing Software
Topic: Sorting Custom Arrays
Replies: 6
Views: 5491

Sorting Custom Arrays

Hello, I understand that TBB does not have a inbuilt function for sorting custom arrays.

Have any of you found a workaround i.e. a custom created TBB function/script to sort your custom arrays since there is no TBB inbuilt sort array function?

Thanks for your help.
by CPTRADER
Fri May 02, 2008 11:07 am
Forum: Testing and Simulation
Topic: Estimating Volume Limits & Trading Capacity
Replies: 2
Views: 2598

Estimating Volume Limits & Trading Capacity

A salient issue in system development is the twin issue of realistic volume limits and trading capacity; that is: 1. How much volume can you trade in a particular market and 2. Given the above for each of the markets in your portfolio what is the maximum asset capacity for your trading strategy. The...
by CPTRADER
Thu Apr 03, 2008 11:44 pm
Forum: Testing Software
Topic: Monthly Bars
Replies: 1
Views: 2889

MonthlyBar Data Elements

Are there monthlybar data elements available in TBB similar to the Weekly elements e.g. MonthlyHigh, Monthly Low, etc
by CPTRADER
Sun Jan 27, 2008 1:51 pm
Forum: Futures Markets
Topic: CSI and globex... POLL please vote
Replies: 1
Views: 2351

Yes they don't and I have asked them for this several times...they say they will do it, but provide no date.

The current floor plus electronic dat afile - uses the 3pm pit close - not the 5pm GLOBEX close

Is there any data provider that provides this data?
by CPTRADER
Fri Jan 25, 2008 8:28 am
Forum: Testing and Simulation
Topic: Trading Systems Robustness & Market Structure
Replies: 1
Views: 2072

Trading Systems Robustness & Market Structure

Trading Systems Robustness & Market Structure It is commonly agreed that the measures of a robust trading system are: 1. Common sense and valid underlying logic. 2. Identical parameters, rules for all markets 3. Consistent profitable performance across multiple markets in multiple market complexes 4...
by CPTRADER
Fri Aug 19, 2005 7:35 pm
Forum: Money Management
Topic: Performance analytics Software
Replies: 0
Views: 3414

Performance analytics Software

Anyone aware of software that can peform analytics on your trading history - i.e. generate the kind of performance statistics generated by a system backtester for real-time trading on a walk-forward basis?

Thx.
by CPTRADER
Mon Aug 15, 2005 12:47 pm
Forum: Money Management
Topic: Leverage, Margn-to-Equity ratio, Risk Measures 4 MACRO Fund
Replies: 0
Views: 3100

Leverage, Margn-to-Equity ratio, Risk Measures 4 MACRO Fund

Hello Friends, What are your views on the use of leverage factor an/or Margin-to-Equity ratio for Macro funds trading in futures, forex, and FX/ Is one preferred to the other? Is one more accurate than the other? Is there a consistent way to calculate leverage? For example in calculating notional va...