Search found 25 matches

by PaulZ
Fri Jul 27, 2012 8:48 am
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 14958

Re: Does Anybody Feel Safe?

In a word - NO. I escaped MFG just prior to their problem. Went with PFG and who knows how much I'll get back or when. It appears to be the Wild West out there. Ratings, etc. are irrelevant if there is no meaningful effective regulation or insurance of accounts. I'm seriously considering exiting fut...
by PaulZ
Tue Jan 04, 2011 12:31 pm
Forum: Testing Software
Topic: Hard Disk Backups
Replies: 5
Views: 3913

Hard Disk Backups

For many years I have been a happy user of System Guardian, by DuoCor. The product backs up all changed files and can restore files and folders on demand. I back up files to a second internal hard drive. A couple days ago I tried to restore a file and found that some files and folders have not been ...
by PaulZ
Fri Mar 05, 2010 2:16 pm
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 25889

Unable to Import AGTune

I put the .tbz file in my Import folder but when I start TB I still don't see the system show up in the list. I am running Builder 2.2.12. Is that the problem?
by PaulZ
Wed Jul 16, 2008 8:54 am
Forum: Futures Markets
Topic: Mexican Peso - Huge Move
Replies: 9
Views: 5458

Thanks, BARLI. Your analysis is pretty much what I expected had happened. I can't see myself trading MP in the future when liquidity can dry up like this.
by PaulZ
Tue Jul 15, 2008 11:47 am
Forum: Futures Markets
Topic: Mexican Peso - Huge Move
Replies: 9
Views: 5458

I just called that number - thanks, by the way. They gave me some info about how they decide the level at which to bust trades and they told me the level was actually 95050, rather than 94000. In any case, I was stopped out at 95400, so my trade was, unfortunately, not busted.
by PaulZ
Tue Jul 15, 2008 9:11 am
Forum: Futures Markets
Topic: Mexican Peso - Huge Move
Replies: 9
Views: 5458

Mexican Peso - Huge Move

The September 2008 MP had a huge move to the downside (approximately to its 3 month low) followed, within 3 minutes, by a huge move back up to its recent trading range. Anybody have any idea what happened? Perhaps liquidity dried up briefly? I haven't been trading all that much but this move seems u...
by PaulZ
Tue Jul 17, 2007 7:43 am
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 31084

My view is that there may be value to testing each entry method with a fixed/random exit and each exit method with a fixed/random entry. When trying to see how useful particular entries and exits are, in isolation, testing the 6 entries plus 6 exits may be useful. However, if we narrow down a bunch ...
by PaulZ
Sun Apr 22, 2007 7:57 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36668

Thanks, AFJ. A fixed roll date is certainly easier to manage, both in historical testing and in actual trading. Easier, that is, after going through every market to determine good fixed roll dates. I'm about to embark on that exercise.
by PaulZ
Wed Apr 18, 2007 11:16 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36668

Thanks, Jake. I am able to replicate the charts you showed, and I agree with your interpretation. The closer the rollover date gets to the last trade date, the less exaggerated is the drop in OI in the new contract. Do you have any thoughts about using OI, Vol or both to determine rollover rather th...
by PaulZ
Wed Apr 18, 2007 8:20 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 36668

OI Drop at Rollover to Next Contract

I found Jake's post very interesting so I charted a few different rollover dates in CSI's Unfair Advantage application. The OI dropped for every rollover date I tried. I then looked at Total OI, which should be independent of rollover date. At least for SF, the Total OI drops substantially ahead of ...
by PaulZ
Mon Dec 25, 2006 12:12 pm
Forum: Futures Markets
Topic: Does a weak dollar lead to rising commodity prices?
Replies: 3
Views: 3346

Influence of Dollar on Commodities Prices

It seems to me that commodities for hard assets such as metals, energies, etc. ought to go up/down when the dollar goes down/up for markets denominated in dollars.
by PaulZ
Mon Nov 20, 2006 1:08 pm
Forum: Testing and Simulation
Topic: Testing With RTH Data vs Composite Data
Replies: 3
Views: 3069

Thanks

for your views, LeapFrog. Fribbet!
by PaulZ
Mon Nov 20, 2006 8:06 am
Forum: Testing and Simulation
Topic: Testing With RTH Data vs Composite Data
Replies: 3
Views: 3069

Testing With RTH Data vs Composite Data

I had been doing all my system testing using RTH (open outcry, regular trading hours) data. However, I recently started trading using electronic trading. When I switched my data test files from RTH to composite, I reran a 20 year test and found substantially different results using composite data co...
by PaulZ
Fri Nov 17, 2006 11:03 am
Forum: Testing and Simulation
Topic: My performance is ? no idea
Replies: 18
Views: 9500

Equity Capital and Testing

Starting capital is very important in testing for a number of reasons: 1. smaller starting capital means smaller position sizes and fewer trades. For example, if you risk 2% of your equity on a trade, many trades will be ineligible due to their initial risk exceeding the 2% cosntraint. 2. using larg...
by PaulZ
Tue Nov 07, 2006 4:21 pm
Forum: Testing and Simulation
Topic: New All-Time Record Volume
Replies: 3
Views: 3126

Record High Volume

The poll's choices aren't enough. For example, if you believe that demand greatly exceeding supply could lead to record high volume, shouldn't you also believe that supply greatly exceeding demand should also lead to record high volume, although the expected direction of movement is down rather than...
by PaulZ
Tue Nov 07, 2006 4:15 pm
Forum: Data Providers and other non testing software
Topic: Question about CSI data resp. UA software usage
Replies: 4
Views: 5479

Raw Data in UA

Have you checked the portfolio preferences? Look at the Back Adjusting and Historical Adjustments tabs and make sure you have nothing selected that might mess with the raw data.
by PaulZ
Wed Mar 29, 2006 9:54 am
Forum: Data Providers and other non testing software
Topic: CSI Data Corrections
Replies: 21
Views: 20310

Re: CSI Data Corrections

I've been a CSI customer for years (I have no other affiliation). I've occasionally found missing or incorrect data in my historical testing. Communication with CSI has always led to corrections in the historical data. Every daily update has data corrections, some are historical (such as the ones I ...
by PaulZ
Thu Jan 05, 2006 12:01 pm
Forum: Money Management
Topic: Ryan Jones on his Fixed Fractional strategy.......
Replies: 12
Views: 16275

Re: Fixed Ratio and Equalizing Risk

If you use fixed ratio position sizing on a portfolio, how do you make an explosive move in oats pay for the losses on the yen or orange juice? In other words, If you`re trading a portfolio, then you must have a way to make all markets "equal". This is a much underestimated part of the benefits of ...
by PaulZ
Sat Dec 10, 2005 11:19 am
Forum: Futures Markets
Topic: E-Minis Pros and Cons
Replies: 5
Views: 5283

Mini Contract Pros and Cons

I recall reading somewhere that mini contracts at times have greater volatility than the corresponding big contracts. The implication was that big traders can jerk around the mini markets to the disadvantage of small traders. But I haven't been able to track down a concrete reference that backs up m...
by PaulZ
Tue Oct 18, 2005 9:50 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 23714

Transferring from Refco

I'm in the process of switching to Man Financial. There were some positive comments in the forum. I didn't do much due diligence as I was in a hurry to start moving. I can always switch again later with more time to consider the issues. I FAXed cash wiring instructions to Refco on Monday morning and...