Search found 6 matches

by cully
Wed Aug 25, 2010 12:09 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 11545

A performance comparison (link below) for the Summerhaven Index with competing commodity indexes. It would appear backtesting indicates potential out-performance. http://secure.elabs10.com/functions/message_view.html?mid=118192&mlid=2581&siteid=2010000853&uid=c0407b1e5b&hq_e=el&hq_m=118192&hq_l=1&hq...
by cully
Thu Aug 12, 2010 4:24 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 11545

Long-only commodity ETFS have been underperformers relative to the underlying due to cantango/backwardation. This new long-only ETF in taking an active approach to dealing with this source of underperformance. Also includes link to the Gorton and Rouwenhorst article cited above. Any thoughts? http:/...
by cully
Sun Mar 14, 2010 4:12 pm
Forum: Data Providers and other non testing software
Topic: CSI Stock Data: Reliability of Start Dates?
Replies: 20
Views: 17651

So what is the consensus here? Using CSI data post 1990 is as "good at it gets" and should be "good enough" to develop stock trend following strategies?
by cully
Sat Mar 13, 2010 11:14 pm
Forum: Testing and Simulation
Topic: Any profitable users of TB?
Replies: 18
Views: 8032

Very timely discussion as I have also been researching backtesting engines. I've traded only stocks in the past and still enjoy the top down analysis it takes to filter out trending sectors, industries and ultimately stocks. In this process I largely depend on relative strength and some form or a de...