Search found 48 matches

by jklatt
Fri Apr 27, 2012 5:49 pm
Forum: Data Providers and other non testing software
Topic: CSI Beta 120
Replies: 11
Views: 6793

Re: CSI Beta 120

2) The custom roll editor is a powerful feature which now allows us to set ROLL BY DATE to a high level of accuracy, based on TRADING DAYS and based on any day of the month we choose to roll on. One example being now able to roll 'x' days before FIRST NOTICE DAY. You define when FND is, based on th...
by jklatt
Thu Jan 19, 2012 12:19 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27162

Anyone trading CSI #530 SXE?

Prices seem to be multiplied by 10 tonight.
by jklatt
Wed Sep 29, 2010 2:01 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23434

Sluggo, Such a great post. I've often thought how difficult it must be for a new trend following manager to raise funds. Why would an institution allocate capital to the new manager when there are quite a few "old dogs" that are far more proven and have a structural advantage? It feels like two of t...
by jklatt
Tue Aug 17, 2010 3:23 pm
Forum: Trend Indicators and Signals
Topic: Least Squares But For Equal Area Above/Below the Line?
Replies: 2
Views: 3952

Least Squares But For Equal Area Above/Below the Line?

Least Squares analysis returns the coefficients for the Nth degree polynomial that has the least amount of total distance between each of the data points in a set of data. Does anybody know of an elegant mathematical way to solve for a linear expression that results in the most equal amount of area ...
by jklatt
Fri Aug 06, 2010 3:24 pm
Forum: Testing and Simulation
Topic: LME Lead prices
Replies: 15
Views: 6624

For these markets, trading system code multiplies position size by zero. Thus position size for these markets is always zero. You don't trade them. For these markets, trading system code multiplies position size by a fixed constant number C, which is greater than zero but less than one. You take po...
by jklatt
Mon Jul 26, 2010 8:04 pm
Forum: Futures Markets
Topic: Do any of you guys trade these instruments?
Replies: 1
Views: 2001

Do any of you guys trade these instruments?

Here's an email I sent to Mr. Wisdom at Wisdom Financial. I thought I'd post it here to get some additional input. Hey Shane, I had another quick question for you. Do you guys trade CSI symbols: CFC, DI2, IND, BGI, DIJ, DOL ? It appears they trade at an exchange in Brazil. If you do trade them, what...
by jklatt
Fri Jul 16, 2010 2:24 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

Or is it because of your distrust of CSI data for liquidity figures?... Early in the data mining process, I realized there were a lot of subtle issues with CSI's data. Some, not so subtle. I emailed them a list of some of my concerns and asked for them to look into things. They looked into some and...
by jklatt
Thu Jul 15, 2010 5:17 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

I suppose this could be a "best of both worlds" general approach, in which you would define a rolling-over deadline for each contract (ie buffer before Exp/FND) - but by also tracking the liquidity, you'd have the option to roll over before that deadline with the volume shift. I think using that ty...
by jklatt
Thu Jul 15, 2010 3:38 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

If liquidity is such a concern (and I guess it ought to be), why not use it as an input in the rolling method (ie roll on volume shift for example - with maybe an added buffer from Exp/FND for the latest "drop dead date" for rolling over )? How would you do that with US? Even if I were to back the ...
by jklatt
Wed Jul 14, 2010 9:25 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

I revised the report and ran it for CSI symbol US (picture attached). I created a Latest Roll Date (get out by this date no matter what) statistic by reading in the expiration/fnd structures and calculating the oldest of the 2 dates for each active delivery month from 1900 to 1999 (100 years worth o...
by jklatt
Mon Jul 12, 2010 5:25 pm
Forum: Testing and Simulation
Topic: How do YOU handle full size and mini contracts?
Replies: 6
Views: 3386

How do YOU handle full size and mini contracts?

Now that the bulk of my data mining is done, I'm building my portfolio in CSI and I've run across the decision of having to choose between using both the full size and mini contracts in my portfolio or choosing one or the other. Knowing that I plan to start with a relatively small account size ($75k...
by jklatt
Mon Jul 12, 2010 3:41 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

I was thinking the same thing about prioritizing the time distance from exp/fnd as well, but for some of the instruments volume seems to roll pretty close to exp/fnd and the volume is pretty thin in the forward contract relative to the current contract. I think I'm going to add a field that lists th...
by jklatt
Sun Jul 11, 2010 11:47 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

I finally finished my liquidity data mining project and I thought I'd follow up with a fixed date rollover metrics report for CSI symbol CC2. A few things to know. The scripts initially build a "highest" volume continuous contract with the ability to roll only once into a forward contract and with t...
by jklatt
Fri May 21, 2010 12:35 pm
Forum: Data Providers and other non testing software
Topic: First Notice, Expiration, Settlement Type and CSI
Replies: 6
Views: 3715

My script says Z only for symbol CFI. I'll have to fire up CSI and look at the volumes and open interests visually as you suggest.
by jklatt
Fri May 21, 2010 11:47 am
Forum: Data Providers and other non testing software
Topic: First Notice, Expiration, Settlement Type and CSI
Replies: 6
Views: 3715

You were right, AFJ, it has been a massive endeavor. Seems like questions abound and every time I attempt to answer one of the questions, it spawns several others. For example, I notice you have HKNVZ as the active months for CT2. Well, I wrote a script that calculates active months for me using the...
by jklatt
Fri Apr 30, 2010 11:51 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

Emptor, Attached is my "best" CC2 continuous contract using CSI's individual contract data with best meaning "most volume". I haven't written the scripts to systematically analyze when might be the best time to roll, but just from eye balling the contract for a few minutes here are my thoughts. Firs...
by jklatt
Sun Apr 25, 2010 11:07 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20625

How did you go about picking rollover timing triggers?

From what I've read, a lot of the traders on this forum use CSI's futures data to backtest and trade with. I'm curious, how did _you_ determine the various rollover timing triggers that must be used in your every day trading?... and why? A few months ago when I decided to finally make a serious effo...
by jklatt
Sun Apr 25, 2010 10:33 pm
Forum: Futures Markets
Topic: CSI Symbol LGO Expiration & Notice/Delivery Question
Replies: 2
Views: 1872

Yeah... I had kind of figured that out from the data but I was confused about the delivery method so I decided to include expiration in there as well. The good news is that the Dictionary is almost complete! About 30 more instruments left to look through then troubleshooting the ones I've flagged. T...
by jklatt
Fri Apr 23, 2010 3:42 pm
Forum: Futures Markets
Topic: CSI Symbol NGL -- A bit more confusion
Replies: 3
Views: 2368

CSI Symbol NGL -- A bit more confusion

Again, building an extensive futures dictionary. I'm probably getting burnt out dealing with all of the details, but this one is another one that looks slightly confusing to me and I thought I'd ask about it. I come away with: Contract Size: 1000 Therms Currency: GBP Big Point Value: GBP10000 (ten t...
by jklatt
Fri Apr 23, 2010 2:36 pm
Forum: Futures Markets
Topic: CSI Symbol LGO Expiration & Notice/Delivery Question
Replies: 2
Views: 1872

CSI Symbol LGO Expiration & Notice/Delivery Question

I've been building a pretty extensive futures dictionary logging delivery/first notice dates and expiration date structures. A little confused with this one on when first notice might occur and when expiration occurs. So this one looks like expiration is 2 business days prior to the 14th calendar da...