Search found 25 matches

by Moodaeng
Thu Sep 02, 2004 2:53 am
Forum: Forex
Topic: Backtesting a forex portfolio
Replies: 17
Views: 16939

Hi Frank,
Each major currency has its own Libor rate.
by Moodaeng
Mon Aug 30, 2004 3:48 am
Forum: Forex
Topic: Backtesting a forex portfolio
Replies: 17
Views: 16939

Frank, Yes, that's the idea. Except that I would consider 1 month libor rates (in Bloomberg, us0001m index, bp0001m index....) and would test the system with a monthly rebalancing of the portfolio. I have my own backtester in Vba that works well for testing futures; but it gets more complicated when...
by Moodaeng
Sat Aug 28, 2004 10:20 am
Forum: Forex
Topic: Backtesting a forex portfolio
Replies: 17
Views: 16939

Forum Mgmnt,
Will veritrader 2.0 allow you to test the following system :

Consider a basket of, say, three currencies :
EUR, USD, JPY

Each month, go long the currency that has the highest interest rate and short the currency that has the lowest interest rate.

Thanks.
by Moodaeng
Tue Jan 13, 2004 8:13 am
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 24807

I retrieve the data directly in excel with the functions BLPH for historical and BLP for real time (Bloomberg calls these Worksheet Functions). I do my analysis in excel, so I don't have to export the data.
by Moodaeng
Tue Jan 13, 2004 4:11 am
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 24807

Hi weatherman, I use Bloomberg data, historical and real time.
by Moodaeng
Wed Jul 09, 2003 3:34 am
Forum: Forex
Topic: Backtesting and Accounting for Carry
Replies: 17
Views: 19224

an illustration : MXN in blue (without carry) VS MXN future (with carry) in red.
by Moodaeng
Thu Jun 12, 2003 3:35 am
Forum: Futures Markets
Topic: Historical End of Day Price Data?
Replies: 8
Views: 8640

I use Bloomberg for EOD data. Bloomberg lets you chose between settlement price and laste trade. For example, on EURIBOR contracts, the settlement price is at 16:12 and the close at 18:00 (http://www.liffe.com/trade/hours.htm) . I have tested a short term system on EURIBOR and have found a great div...
by Moodaeng
Tue Jun 03, 2003 4:30 am
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19965

June 2 (Bloomberg) -- The hedge fund of Paul Tudor Jones, which manages $8 billion of assets, views gold as effectively another currency, following moves in foreign exchange markets rather than supply and demand of bullion. Gold can be understood best when compared with currencies such as the euro, ...
by Moodaeng
Fri May 16, 2003 9:38 am
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23863

by Moodaeng
Fri May 16, 2003 5:23 am
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23863

Bollinger. Suppose you want to buy a 5 year bond (dvo1=D5) versus a 10 year bond(dvo1=D10). The 2 most popular methods to structure the trade are the following : - Dvo1 method : buy (1) 5year bond/ sell (D5/D10) 10 year bond. Roughly said, your PL will not move if each bond yield moves by the same s...
by Moodaeng
Thu May 15, 2003 4:27 am
Forum: Money Management
Topic: Research papers
Replies: 5
Views: 5533

the best papers I've found come from the "gambling" literature. A pioneer in the field is Ed Thorp. Take a look at www.bjmath.com great site.
by Moodaeng
Tue May 13, 2003 3:57 am
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23863

You are right about the definition of DV01. Suppose you want to put a "curve" trade where you buy a 5 year bond (with a dvo1 of 4.25) and sell a 10 year bond (with a dvo1 of 8.5), then you will have to buy twice as much of the 5 year bond than you will sell of the 10 year bond. In real life : - the ...
by Moodaeng
Thu May 01, 2003 4:58 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75466

I have played around with the concept of Sharpe Ratio and posted this some time ago on another forum. Suppose you have System1 with an annualized rate of return over riskless rate m1, and with an annualized standard deviation of s1. Then, your Sharpe Ratio is SR1 = m1/s1. Now, you also have System2 ...
by Moodaeng
Thu May 01, 2003 4:29 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78541

Relative Strength or Momentum as Portfolio Selection. It is a market lore that you should buy "high relative strength" stocks (stocks that have performed best recently). How has this strategy worked in practice? Take a look at : http://www.fordinv.com/html/documents/SS0891.pdf In this article, usin...
by Moodaeng
Wed Apr 23, 2003 7:14 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78541

I have done some stock research in the past but have never pulled the trigger. There is one website that has very interesting information on the subject. http://www.fordinv.com/html/rs_specialStudies.htm I suggest you read the studies, starting with the oldest one. I have been doing some basic resea...
by Moodaeng
Tue Apr 22, 2003 12:20 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23863

Chuck Interest rate curve spreads likely aren't mean reverting I agree. That's why I was wondering if trend following systems worked on them. My testing has been mixed, so I was wondering if anyone had obtained clearer results. On the other hand, 4 leg trades like -Long EDM3 -Short EDM4 -Short EDZ3 ...
by Moodaeng
Tue Apr 22, 2003 11:27 am
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23863

Chuck,
Do you apply a trend following system to Euribor spreads?
Do you exploit the mean reverting nature of spreads of spreads (for example, long ERM3, short ERM4, short ERZ3, long ERZ4)?
Thanks in advance.
by Moodaeng
Tue Apr 22, 2003 7:13 am
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19965

Sounds a lot like what I was saying So I misunderstood what you were saying. Good luck with the easy money carry strategy. Did I say it was an easy money strategy? In the context of the above quote, what would you call it if you were very bearish USDJPY and sold rather than bought USDJPY? I usually...
by Moodaeng
Tue Apr 22, 2003 3:54 am
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19965

This is not carry, this is standard FX trading. Of course this is standard FX trading. But looking at a basket of 10 currencies and buying the high yld one vs selling the low yld one is called a carry trade. I call it a carry trade, the Street calls it a carry trade. I suggest you type : "yen carry...