Search found 10 matches

by ptan54
Mon Jun 22, 2015 8:38 am
Forum: Trend Indicators and Signals
Topic: How to handle stop loss on volatility market?
Replies: 1
Views: 1517

Re: How to handle stop loss on volatility market?

You have Avg True Range at the bottom of the charge; in a volatile market the Avg True Range increases so your stop would be larger....a lot of TF systems use Avg True Range to set initial and trailing stops.
by ptan54
Tue Jun 02, 2015 6:46 am
Forum: Testing and Simulation
Topic: Trading Stocks
Replies: 3
Views: 2521

Re: Trading Stocks

Stocks are more granular and you can size / rebalance positions more finely than e.g. a palladium futures contract which has big $ volatility and big contract size.
by ptan54
Thu May 28, 2015 4:01 am
Forum: Data Providers and other non testing software
Topic: Data providers for hong kong stock and china stock
Replies: 3
Views: 1963

Re: Data providers for hong kong stock and china stock

Historical stock data (properly adjusted for dividends and splits etc) are hard to come by for non-US stocks. For US stocks there are a few options like Norgate or Quantquote. The HKEX may have this data (a friend of mine wrote a PhD paper about HK stocks once) in the form of physical CDs, I suggest...
by ptan54
Wed May 27, 2015 10:59 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 20326

Re: Trend Following: Profitable Reality or an Illusion doomed to

Re-reading this thread as of May 2015; some of the statements above came out to be prescient - after a bad period from 2009-2013, TF came back strongly in 2014. We will have bad, horrible trendless years - keep the risk per trade small by assuming your drawdown will be 1.5X or 2X the backtested resu...
by ptan54
Sun Mar 08, 2015 3:04 am
Forum: Futures Markets
Topic: Norway OBX futures
Replies: 1
Views: 1505

Norway OBX futures

Has anyone traded this market? Contract size is not too large at NOK100 per point. Quite correlated to the Swedish OMX30 index but wondering about the merits of including both Norway and Sweden and halving the position size for both markets. The only downside seems to be the limited volume at under ...
by ptan54
Thu Sep 18, 2014 12:44 am
Forum: Futures Markets
Topic: Mexico IPC Index futures
Replies: 2
Views: 2050

Yikes....I'll stay away from Mexico then. Thanks for the tip! SGX provides a lot of the "weirder" and less traded markets, but there's only volume for SSG, A50, NIFTY and STW. Indonesia is promising because it's not correlated with the broader US/European markets but there's no volume. I am contempl...
by ptan54
Sun Sep 14, 2014 11:03 pm
Forum: Futures Markets
Topic: Korean Won
Replies: 3
Views: 3324

10,000 USD is correct, and the contract is very liquid, rolls monthly.
by ptan54
Sun Sep 14, 2014 1:23 am
Forum: Futures Markets
Topic: Mexico IPC Index futures
Replies: 2
Views: 2050

Mexico IPC Index futures

As we all know, Equity indices tend to be very correlated with one another. Some people deal with it by trading only the big indices. I try to find as many "weird" and liquid enough markets as I can. I have been on a quest to find some "less" correlated index futures (less correlated with the liquid...
by ptan54
Sun Sep 14, 2014 1:11 am
Forum: Futures Markets
Topic: SGX Rubber TSR20
Replies: 3
Views: 2252

Thanks for the responses! Very helpful information!
by ptan54
Thu Sep 11, 2014 11:11 pm
Forum: Futures Markets
Topic: SGX Rubber TSR20
Replies: 3
Views: 2252

SGX Rubber TSR20

Singapore rubber TSR20, quoted in USD, is available on Interactive Brokers. Daily volume goes into the 300 - 500 range, kind of on par with lumber on CME. Backtesting also shows "good" results. Has anyone traded this contract? I realize TOCOM rubber is a lot more liquid but Interactive doesn't cover...