Search found 60 matches

by svquant
Tue Sep 12, 2017 4:06 pm
Forum: Data Providers and other non testing software
Topic: Status of CSI after Hurricane Irma
Replies: 13
Views: 462

Re: Status of CSI after Hurricane Irma

Just got a good ping back from ua2 and it appears to be up and running again.

I use ez downloader - no issues or error msg, works the same for me now as before Irma.
by svquant
Tue Sep 12, 2017 10:30 am
Forum: Data Providers and other non testing software
Topic: Status of CSI after Hurricane Irma
Replies: 13
Views: 462

Re: Status of CSI after Hurricane Irma

Are people connecting using ua1 or ua2 as their webservers or something else? FTP was up but that is not my method.
by svquant
Tue Nov 13, 2012 12:31 am
Forum: Data Providers and other non testing software
Topic: deep data history
Replies: 10
Views: 4892

jas - so is CSI deep enough if you have the entire history they offer? I know for newer subscribers they charge a bit extra for this deeper history? For some US rates and series the St Louis Fed in the Fred database has data back to he 1950s. As I'm sure you are aware of if one uses cash markets fro...
by svquant
Wed Feb 01, 2012 1:36 pm
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 7632

Call back IB since what they told you or how the question was asked and answered is not correct for what you are looking for. That list is just for stock index based products which have always needed to be approved (no action letter) well before Dodd-Frank. Other products like Bunds are available to...
by svquant
Sat Jan 28, 2012 2:29 pm
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27339

2Yr Notes

Just an FYI that the 2Yr notes in CSI, symbol TU, appear to be incorrect for Friday. I'm showing 111.0 for high and settle which is way different than the CME is showing. TU2 is okay.

For you breakout traders might want to be aware of this potential issue and difference.
by svquant
Thu Jan 05, 2012 4:26 pm
Forum: Forex
Topic: Majors vs. Crosses vs. Exotics Portfolio Selection
Replies: 3
Views: 3809

Also check out some of the FX research publications from big banks like JPM, DB etc. They list which FX pairs they trade (or model) in their various FX exotic beta products (like the G10 carry harvest from DB). Most banks list the G10 and EM crosses they consider liquid & important. This might be a ...
by svquant
Sat Nov 12, 2011 1:23 pm
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5135

Some FCMs have ACH based transfer capabilities so this is a little easier than wires and can be done in your PJs with T+1 settlement or so. I know IB has this now and next year RJO will have this capabilities. So now you need to just find a safe bank with reasonable ACH fee structure. I know some pl...
by svquant
Thu Nov 10, 2011 9:02 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 14685

Actually MVO is worse as many people have noted in both academic and industry studies. Due to the noise in financial markets and lack of the ability to give accurate forecasts especially of future returns (mean part) MVO by many is considered an error amplification process, i.e. giGO. So people look...
by svquant
Wed Nov 02, 2011 10:59 am
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5402

ColdFact There are some papers on this subject of backward/contango that have been written mostly with respect to long only commodity indexes but in long/short portfolios too. In general if you are long then backwardation is a "tail wind" and contango a "head wind" and vise versa for short position....
by svquant
Tue Nov 01, 2011 10:43 pm
Forum: Testing and Simulation
Topic: Contract month selection and rolling parameters
Replies: 14
Views: 5402

You need to understand the term structure for each futures contract in your portfolio as well as if it is in contango or backwardation. In general under some circumstances upto 1/3 of commodity returns are determined by the term structure vs the trend. For some of the commodities you mentioned, ener...
by svquant
Fri Oct 07, 2011 3:31 pm
Forum: Testing and Simulation
Topic: Market filter
Replies: 10
Views: 3395

Babelproof Thanks for the link and when I read the abstract it struck me as the opposite of what many researchers and traders believe and have observed. But after reading the paper it is clearer what they are saying and a word of warning. The VIX system is counter-trend (at the med to long term time...
by svquant
Thu Oct 06, 2011 4:22 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 5860

...and individual strategies with a high sharpe ratios tend to have very limited capacity while they are good on the shelf or in the market Don't get me wrong wasn't implying that Winton uses simple MA rules (nor the other funds I was framiliar with) just that simple MA techniques can fit within the...
by svquant
Thu Oct 06, 2011 1:44 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 5860

Chris: Let me just make a few comments on the technical points you mentioned. Volatility forecasting is well known and MUCH easier to do in an economically useful manner than return forecasting. Lots of academic and industry papers on this. So forecasting daily volatility in a predictive way is not ...
by svquant
Thu Oct 06, 2011 12:10 pm
Forum: Testing and Simulation
Topic: David Harding Quote
Replies: 9
Views: 5860

From an older Winton pitchbook - perhaps this helps? May have an even more detailed presentation from back when they had less than $500MM AUM. Note as they have grown the marketing message and details have changed greatly but I have seen version of this slide in presentations as late as 2009. While ...
by svquant
Wed Sep 21, 2011 4:19 pm
Forum: Trader Psychology
Topic: Beware the outside investor with the iron stomach...
Replies: 5
Views: 4092

Mark: First welcome to the profession of money management! Now you can begin to understand why it is not as easy as it looks as a business. Client relations and capital raising are by far the hardest parts vs system development and daily operations. I have not heard of that clause you mentioned and ...
by svquant
Thu Sep 15, 2011 10:13 am
Forum: Testing and Simulation
Topic: Blox for testing entry based on percentage move?
Replies: 5
Views: 2204

I had a while back posted a blox in the marketplace that did compute a good estimate of the %-return on a back adjusted contract without the need for ratio adjustment. There are some slight inaccuracies due to data limitations but it may fit your bill. I also recall AFJG doing something with the cod...
by svquant
Wed Aug 31, 2011 5:51 pm
Forum: Trader Psychology
Topic: Any DON"T DO lists for trader?
Replies: 9
Views: 6047

rhc - what about on #7 if you use some underwear as a "stop loss"? :shock: oem - onto your request, one that many have heard of is not to significantly change (or modify at all) your system in the midst of a (large) drawdown. It is a play on that our human emotions get us to do things at exactly the...
by svquant
Tue Aug 16, 2011 11:21 am
Forum: Futures Markets
Topic: Aug 2011: Can't short these Stock Index Futures
Replies: 14
Views: 5670

Well isn't Newedge closely related to the French Government and (partially) owned by some of the banks that have the short restriction? Guess they don't want to say to the public "don't short us" while allowing clients to effectively short them via the CAC.
by svquant
Fri Jul 29, 2011 6:15 pm
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10045

"Market Efficiency and the Risks and Returns of Dynamic Trading Strategies with Commodity Futures" by Lorne N. Switzer and Hui Jiang. The January 2010 version is the latest from what I know. Interesting, might have some flaws for the real world, but gets me thinking and doing my own research and ba...
by svquant
Fri Jul 29, 2011 9:37 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 10045

Yes sluggo that is a good article and for the Goldman-roll that is the current game, i.e. front running the dumb money (simple front runners) that front running the even dumber money (indexes). There are a few other spread only traders out there of which a few are fully systematic although most just...