Search found 23 matches

by Bollinger
Sat Jun 25, 2011 9:32 am
Forum: Futures Markets
Topic: CSI Symbol NGL -- A bit more confusion
Replies: 3
Views: 2368

Point Value

I haven't traded NGL in years, but from what I remember the point value also changes based on the number of days in the delivery month -- if memory serves, it was 10 GBP X number of days in calendar month. So, for a 31 day month the point value is 310 GBP. Having pulled that out of my memory, I just...
by Bollinger
Sat Jun 25, 2011 9:23 am
Forum: Futures Markets
Topic: Futures CNY based
Replies: 9
Views: 4344

Newedge

According to this, Newedge is or will soon be providing access to Chinese exchanges.

http://www.ft.com/intl/cms/s/0/796f3ce8 ... z1Q8Phr5Rd
by Bollinger
Tue Sep 07, 2004 8:51 pm
Forum: Testing and Simulation
Topic: Maybe CSI should be based in Kansas, Dorothy.
Replies: 3
Views: 3030

I was able to download the full data last night around midnight, and did so again for today about an hour ago. I agree that they need to upgrade their continuity plan. I spoke to someone there about disaster recovery about 6 months ago and their response was that they had it covered, don't worry abo...
by Bollinger
Mon Jul 12, 2004 5:36 pm
Forum: Money Management
Topic: How do I reduce risk in this situation?
Replies: 17
Views: 13642

FX

Richard, Your comment that "your losses are limited to your cash invested. If you are blown out, you won't owe your broker any money." is not correct with most brokers. FX positions are forward contracts for the delivery of a certain amount of foreign currency, and if your account doesn't have suffi...
by Bollinger
Sun Jul 11, 2004 6:07 pm
Forum: Testing and Simulation
Topic: Crack Spreads
Replies: 0
Views: 2892

Crack Spreads

Does anyone have experience with systems to trade crack or crush spreads? Intuitively I would assume these to be mean reverting markets and my research has backed this notion up, at least in the crack spread context. I'm interested in hearing of others' experiences.
by Bollinger
Tue May 18, 2004 8:00 pm
Forum: Forex
Topic: Accounting for Forex Carry
Replies: 8
Views: 11016

You guys don't follow -- derivatives prices depend not only on the price of the underlying (in the case of FX, more or less the spot rate) but also on the cost of carry, storage, etc. As one stays in a forward or futures contract over time, the price of that contract converges to the spot price as t...
by Bollinger
Thu May 13, 2004 1:36 pm
Forum: Forex
Topic: Accounting for Forex Carry
Replies: 8
Views: 11016

Accounting for FX carry

Forum Mgmnt, Do you apply the interest payments as adjustments to account P/L after the trade was entered, or do you use them to backadjust all the price data historically? It needs to be the latter to permit proper backtesting, otherwise you're not taking the carry into account with your technical ...
by Bollinger
Wed Apr 21, 2004 4:34 pm
Forum: Forex
Topic: Accounting for Forex Carry
Replies: 8
Views: 11016

Forum Mgmnt, That actually sounds pretty good as a rough and dirty way to do it. Spot FX contracts are actually 2 day forward contracts, so you'll want to look at 2 day lending rates in doing this. One practical question is where the average lower budget user can find this interest rate data for eac...
by Bollinger
Wed Apr 21, 2004 2:13 pm
Forum: Forex
Topic: Accounting for Forex Carry
Replies: 8
Views: 11016

Accounting for Forex Carry

MODERATOR'S NOTE: This message has been moved to a new topic form the topic "How much capital to start?" http://www.tradingblox.com/forum/viewtopic.php?t=136 Forum Mgmnt, how will Veritrader 1.6 account for carry in Forex trading? I've done a lot of thinking on this recently and talking with people ...
by Bollinger
Fri Feb 27, 2004 6:25 pm
Forum: Testing and Simulation
Topic: Post Some Results / Test It Yourself
Replies: 4
Views: 5323

OK, back to reality... It's a lot more constructive to actually communicate with people about the issues they express concerns about then it is to insult those trying to work with them. If you don't understand what people are talking about and you feel the impulse to tell people not to ask their que...
by Bollinger
Thu Feb 19, 2004 12:41 am
Forum: Forex
Topic: FX Strategy
Replies: 8
Views: 10763

This strategy has worked quite well from inception -- over the last 4 1/2 months my FX account is up about 40%. Regarding systems versus fundamental, you will soon learn that all traders are system traders at the end of the day if they are profitable. If a trader is able to consistently make money h...
by Bollinger
Mon Feb 02, 2004 4:45 pm
Forum: Forex
Topic: FX Strategy
Replies: 8
Views: 10763

FX Strategy

I'd like to discuss a strategy I've combined with my commodities long-term trendfollowing this last 4 months. It has been quite a profitable strategy over that time, and the combination with commodities trendfollowing has yielded 4 profitable months over that time. I'll give a quick overview of my b...
by Bollinger
Wed Aug 06, 2003 2:52 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 18973

Ghostrider: (1) There is a recognized phenomenon that among two developed countries the currency of the country with higher interest rates will have a tendency to appreciate against the currency of the country with lower interest rates; (2) This phenomenon is not recognized to occur with respect to ...
by Bollinger
Sat Aug 02, 2003 12:07 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 18973

Actually, the general consensus in the academic community seems to be that the "forward bias" that brings high interest rate currencies to appreciate against low interest rate currencies only applies with respect to currencies of developed countries. There's quite a bit of econometric literature on ...
by Bollinger
Thu Jul 24, 2003 11:34 am
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9182

Chris, The real problem with trading a larger number of markets is that you run into margin requirements that are too high. If you trade 20 or 30 major futures markets at a high enough risk level that you would historically see a 40% or so drawdown you might have a margin to equity ratio of somethin...
by Bollinger
Sat Jul 12, 2003 10:58 am
Forum: Trader Psychology
Topic: Why mechanical?
Replies: 11
Views: 7838

Somebody asked Larry Hite at the MFA conference in Chicago about a month ago whether he thought discretionary or system based traders were better to invest with and his response was that everyone's a system trader. As he put it, if someone's making money using their strategy, they have rules they fo...
by Bollinger
Wed Jul 09, 2003 8:34 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 18973

Nice chart Moodaeng -- this is an example where my tenet, that higher carry currencies generally tend to appreciate against lower carry ones, didn't hold up. The Peso lost value over the period shown while Mexican interest rates were higher than those in the US. BUT, clearly if you'd been long the p...
by Bollinger
Tue Jul 08, 2003 11:51 pm
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 18973

Vince, If you trade longer term this actually does make a difference. The current interest charge for a 1 lot GBP/USD spot position is roughly $10 a day -- for a 2 lot position held for 4 months this adds up to 10 X 2 X 120 = $2400. Pretty significant extra profit or slippage to take into account. A...
by Bollinger
Tue May 13, 2003 11:28 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23747

Correct me if I'm wrong, but it seems to me we're talking about two different things. One is the price spread between the futures contracts, and the other is the price spread between the underlying bonds. The dv01 computation would seem to make sense when using futures contracts to trade the price s...
by Bollinger
Tue May 13, 2003 11:05 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23747

Moodaeng and RS: Thanks much for the comments. I'm still a little confused, this is obviously one of those things that will click at some point and all make sense, but that hasn't happened yet. I think what I'm hearing is that if you want to minimize the directional aspect of the trade and isolate t...