Search found 17 matches

by tovetski
Sat May 03, 2014 8:57 pm
Forum: Trend Indicators and Signals
Topic: How many TA indicators do you look at for analysis?
Replies: 5
Views: 2844

Hi rajivm, I believe my reply was providing a useful source of information. That being said, I admit that it is highly tilted towards trend following. I do believe that trend following is currently facing a difficult environment, facts are facts, but I have yet to conclude that it stopped working al...
by tovetski
Sat May 03, 2014 11:12 am
Forum: Trend Indicators and Signals
Topic: How many TA indicators do you look at for analysis?
Replies: 5
Views: 2844

Hi oem7110, This is the latest best source of ideas I've come across recently. Mr. Clenow offers a one month free trial to this gem of technical analysis for the futures markets. Clenow Futures Intelligence Mr. Clenow also has a great book on systematic trend following on futures. Enjoy the reading,...
by tovetski
Wed Apr 23, 2014 3:53 pm
Forum: Futures Markets
Topic: SAFEX Spreads
Replies: 0
Views: 10732

SAFEX Spreads

Hi All, I have recently been confronted with a problem upon rolling my positions on JSE / SAFEX contracts. The broker I use no longer supports spread orders on these contracts which has left me with about 4 solutions: 1) Go with markets orders on each legs ahead of the open. 2) Go with limit orders ...
by tovetski
Tue Oct 08, 2013 2:07 pm
Forum: Testing and Simulation
Topic: Trading Next Days Open
Replies: 14
Views: 9053

Hi chimera123, Although I do agree with your comment that in the long-term it will "probably" net out, I also keep in mind Murphy's Law and the adage "Test what you trade, trade what you test." That being said, my monitoring of the slippage arising from this very issue has indeed been very close to ...
by tovetski
Tue Oct 08, 2013 12:05 pm
Forum: Testing and Simulation
Topic: Trading Next Days Open
Replies: 14
Views: 9053

Hi Dwooten70, Here's my solution to this problem. My motivations for a solution revolved around not being too late into the electronic session and not extending my workday too late in the evening. I use day limit orders and participate in all trading sessions except in Asian markets where the timing...
by tovetski
Thu Apr 25, 2013 7:53 am
Forum: Futures Markets
Topic: SAFEX Soybeans
Replies: 1
Views: 2105

Thanks for that note Shane. Much appreciated.
by tovetski
Thu Jan 31, 2013 11:23 pm
Forum: Testing and Simulation
Topic: Exporting simulation graph results
Replies: 3
Views: 1913

Hi domingoa, I haven't gone around to doing this but you could do so using R in a "relatively" simple fashion. When i'll get to that, I will: - Use R and xts package - Load Trade Log.csv in R object - Sort by symbol - Loop through each trade - Load price data from TB price files if symbol is a new s...
by tovetski
Thu Feb 23, 2012 10:32 pm
Forum: Data Providers and other non testing software
Topic: CSI settle prices odd on Feb-23 for GLOBEX EURUSD CHFUSD?
Replies: 1
Views: 2187

Not so odd in the end

Hi CSI Users, This actually seems to be standard procedure as per the link below. It represents the VWAP from 13:59:30-14:00:00. A more representative settlement price than the globex close which sees less volume. http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf Still go...
by tovetski
Thu Feb 23, 2012 9:42 pm
Forum: Data Providers and other non testing software
Topic: CSI settle prices odd on Feb-23 for GLOBEX EURUSD CHFUSD?
Replies: 1
Views: 2187

CSI settle prices odd on Feb-23 for GLOBEX EURUSD CHFUSD?

Hi CSI Users,

Looking at the charts on the CME website under the fx section, the settlement price on CHFUSD & EURUSD seem to spike down to pit close levels and resume back up to electronic close level on the next electronic open.

Any other user find this odd, normal, occasional?

Thanks,

Pierre
by tovetski
Sat Nov 19, 2011 11:20 am
Forum: Futures Markets
Topic: Russian Ruble
Replies: 3
Views: 1741

Hi trader20, This document seems to provide a rather thorough explanation of the workings of EFPs. EFP Document I'm curious to know how many TB members use EFP for illiquid CME/FINEX cross-pairs. Also, I wonder if all the EFP activity is actually reflected in the reported volume numbers. I figure th...
by tovetski
Tue Nov 30, 2010 10:40 pm
Forum: Testing and Simulation
Topic: Historical Stock Data
Replies: 4
Views: 2124

Hi tradingleech, I find the following offering hard to beat for security prices. For fundamentals, they have a product that joins on the "Compustat" database that sluggo referred to. [url=http://www.crsp.com/products/stocks.htm]Center for Research in Security Prices[\url] However, be prepared to for...
by tovetski
Tue Nov 30, 2010 10:29 pm
Forum: Data Providers and other non testing software
Topic: CSI Data Delivery VS. Electronic Market Open Hour
Replies: 0
Views: 1936

CSI Data Delivery VS. Electronic Market Open Hour

Hello everyone, I was wondering how some of you handle CSI's combined electronic and pit traded markets. CSI completes its data update around 20:15PM at best but some electronic markets start trading earlier. Thus, the open for the combined contracts occur before we process the data and submit order...
by tovetski
Mon Nov 15, 2010 10:44 am
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10317

Windows Automation

Hello LeapFrog, Maybe you could try this little piece of software to alleviate you frustrations. AutoIt It's a windows automation scripting language. The two ways that it could potentially help you is by: 1 - Create a script that launches CSI and sends the appropriate key strokes to CSI to mimic the...
by tovetski
Sat Oct 09, 2010 10:04 pm
Forum: Testing and Simulation
Topic: Bloomberg Data
Replies: 9
Views: 3796

Bloomberg Data

Hi all, The best way to extract any significant amount of data from bloomberg has to be done through the API in C, C#, .NET or Java. I've done it in C and it works very well. You'll probably get around to learning one of these ways once you get tired of dabbling in EXCEL VBA to extract bloomberg dat...
by tovetski
Sat Oct 09, 2010 10:12 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30667

TMA Blox with multiple profit targets

Hi all, I added 2 blox in the blox marketplace that builds on sluggo's TMA with Profit Target. I achieve similar results with a portfolio of 134 markets. These blox allow for many profit targets to be tested (maximum of 5 for now). They also incorporate a volume cap. Below are 2 samples. One without...
by tovetski
Fri Mar 23, 2007 3:23 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39123

Good point, your example couldn't be any clearer and fresh to mind. Have you done such research on historical JOINT distribution of daily returns? I'm not sure how one would go about creating synthetic price series that could reflect both each market's daily return distribution and the correlation o...
by tovetski
Fri Mar 23, 2007 2:05 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39123

How about creating synthetic price series of the markets

Hi everyone, I was wondering if anyone tried to create synthetic price series for the markets they trade based on the historical distribution of daily returns. I guess one could do so in a similar way to Monte Carlo simulations in Trading Blox where daily returns of historical simulations are shuffl...