Search found 15 matches

by ladadriver
Mon Apr 06, 2009 6:16 am
Forum: Testing and Simulation
Topic: Historic EOD FX data
Replies: 3
Views: 2551

sluggo wrote:
levijean wrote:CSI has it, but they spell it wrong. Search for ringit.
Be sure to look amongst the "Cash" instruments (yellow box), get a list of them by clicking the "Mkts" button (red box)
Many thanks for the help. Looking forward to going global!
by ladadriver
Sun Apr 05, 2009 4:58 pm
Forum: Testing and Simulation
Topic: Historic EOD FX data
Replies: 3
Views: 2551

Historic EOD FX data

Hi, I'm looking to backtest crude palm oil as part of a global portfolio, and need historic EOD Malaysian Ringgit data to feed in to Trading Blox. CSI lists USD/MYR on FINEX, but it's inactive. Oanda offers historic FX data in 500 day chunks, which I can stitch together and massage into the right fo...
by ladadriver
Sun Jun 22, 2008 6:15 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 21319

sluggo wrote:
  • If you're not sure whether or not to (perform some action), do half. That way you will only be half-wrong and won't become emotionally destabilized.
In this vein, the following thread on non-symmetric long/short bet sizing is interesting.

viewtopic.php?t=1668
by ladadriver
Thu Jun 12, 2008 1:33 pm
Forum: Market Psychology
Topic: Will you survive?
Replies: 17
Views: 18456

Interesting to see AFJ Garner's charts.
Until I did at little digging, I wasn't aware the CRB Index was so Ags heavy, or the GSCI so Energies heavy....
by ladadriver
Mon Jun 02, 2008 3:00 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 16475

Hi Chuck, it's no mystery when you consider that this is one guy trading 5 systems on 100 markets each using daily bar data. When you write out the Occam's Razor list of likely explanations for Friday's non-fill, the one at the top of the list turns out to be the right answer. Same goes for Monday:...
by ladadriver
Wed May 28, 2008 2:42 am
Forum: Trend Indicators and Signals
Topic: Pullbacks and LTTF methods
Replies: 11
Views: 10313

TrendsCatcher, thanks for the interesting post. I agree with your points entirely. Using a pullback strategy exclusively could lead to missing one or more of the crucial 15R+ winners, adversely affecting one's trading statistics. As you say, this issue is not such a concern in stock trading, given t...
by ladadriver
Mon May 26, 2008 9:52 am
Forum: Trader Psychology
Topic: Trusting your system
Replies: 24
Views: 24238

can anyone think of anything else? Really good luck? That's an impressively smooth relationship with luck ;) With regard to my earlier post on outperformance ideas, this is interesting with regards to seasonality models: http://trendlinefunds.com/uploads///propoganda/When%20to%20Allocate%20to%20CTA...
by ladadriver
Sun May 25, 2008 1:01 pm
Forum: Trend Indicators and Signals
Topic: Pullbacks and LTTF methods
Replies: 11
Views: 10313

ladadriver, I agree that stock index futures is the best to trade on pullbacks.. have you done any research concerning markets moving in waves? BARLI, I'll need to rearrange your statement to agree with you. I prefer, 'on stock index futures, pullbacks are the most favourable short term trades'. In...
by ladadriver
Sat May 24, 2008 6:02 am
Forum: Trend Indicators and Signals
Topic: Pullbacks and LTTF methods
Replies: 11
Views: 10313

Pullbacks and LTTF methods

One other testing idea I've yet to investigate fully relates to market structure. Let me expand with the hope of attracting other ideas from the board. Typically, trading breakouts allows one to jump on markets moving beyond certain historic highs and lows. But is breakout trading efficient in terms...
by ladadriver
Fri May 23, 2008 9:19 am
Forum: Trader Psychology
Topic: Trusting your system
Replies: 24
Views: 24238

Any ideas as to what the latter three are doing differently? i share your curiosity... my guess, based on dreams of having millions of dollars to trade: the more obvious - 10s of systems per market, diversifed by timeframe and method - 100s of markets the more esoteric - risk models that manage +ve...
by ladadriver
Thu Apr 17, 2008 8:01 am
Forum: Data Providers and other non testing software
Topic: CSI DATA REQUEST. IF YOU AGREE, PLEASE LET THEM KNOW!
Replies: 3
Views: 3929

Re: CSI DATA REQUEST. IF YOU AGREE, PLEASE LET THEM KNOW!

In an ideal world, the following trading sessions would exists: Day Floor: 7:20am through 2:00pm Day Electronic: 7:20am through 2:00pm Night Electronic 3:00pm through 7:19:59am Once the pits, finally, die, I'd like to see: Day Electronic: 8:00am to 6:00pm Night Electronic: 7:00pm to 7:00am Clean br...
by ladadriver
Tue Mar 04, 2008 2:42 am
Forum: Futures Markets
Topic: The Soft Pits are Dead - Long Live the Softs
Replies: 2
Views: 2925

my last (i.e. never again) stop order in the cocoa pit took 6 minutes to execute and charmed the pants off me with 44 ticks slippage.

viva the screen.
by ladadriver
Wed Jul 18, 2007 4:13 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 17330

I imagine you mean "CPOs" and/or "Funds" rather than "CTAs". In order to trade thousands of Ralph Vincean Market Systems (what you call individual equity curves), at low enough leverage to produce an overall 10% CAGR with 10% MaxDD, after fees, and with at least one contract per Market System, the ...
by ladadriver
Thu May 24, 2007 8:55 am
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 36918

It seems to me Jim Simmons is very good at playing the Media to his advantage. I think the image/reputation he has built up is almost as impressive as the returns he continues to generate. While I, in my limited capacity, see trend following returns eroding over time, I believe trend following is a ...
by ladadriver
Wed Apr 11, 2007 10:11 am
Forum: Trend Indicators and Signals
Topic: Market types
Replies: 1
Views: 4021

Market types

A thought from the inexperienced... From c.f.' book, four market types are suggested: - Stable, Quiet - Stable, Volatile - Trending, Quiet - Trending, Volatile Is there enough weight in Mean Reversion to add it as a third dimension? Or, would you consider the property a subset of volatility and/or t...