Search found 408 matches

by LeviF
Sat Jul 18, 2015 9:30 am
Forum: Stocks
Topic: Inverse ETFs
Replies: 2
Views: 1692

Inverse ETFs

I'm looking at a stock screener report that shows a bunch of the inverse ETFs with significant price increases over the past 12 months, but the total return is noted as negative or near 0. Is something happening under the hood of these inverse ETFs that is not readily apparent?
by LeviF
Sun Jun 07, 2015 9:35 am
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5059

Re: US Stock Rotation System

Does this include dividends? What does it look like without?
by LeviF
Wed Jul 02, 2014 7:48 pm
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6569

Funny, i dont have that category on my screen either...
by LeviF
Thu Jun 19, 2014 12:16 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3330

AFJ Garner wrote:Very eye opening. And sobering.
Care to elaborate?
by LeviF
Tue Nov 12, 2013 4:14 pm
Forum: Testing and Simulation
Topic: Robust
Replies: 6
Views: 4711

If you are allowing stocks to be traded before they were actually included in the index, I can guarantee your results will be inflated and unrealistic.
by LeviF
Fri May 03, 2013 11:08 pm
Forum: Futures Markets
Topic: Which symbol of data is for
Replies: 6
Views: 3904

CME means Chicago Mercantile Exchange
by LeviF
Thu Nov 15, 2012 12:29 pm
Forum: Money Management
Topic: Shutting down our small fund
Replies: 43
Views: 19160

What did your hypothetical risk & return profile look like prior to commencing trading?
by LeviF
Sun Nov 04, 2012 10:04 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5914

The "Trend Following Wizards" posts here may be helpful.

http://www.automated-trading-system.com/
by LeviF
Mon Oct 08, 2012 11:20 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6684

You should test this in a walk-forward simulation. Start 40 years ago, select parameters for entire portfolio, throw out worst markets, walk forward a year or 5, rinse & repeat. I did this not too long ago and unfortunately, my conclusion was that past market performance is not indicative of future ...
by LeviF
Mon Oct 08, 2012 9:00 am
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6684

I'd say you are asking for trouble, but what do I know.

I will note that if you were a proponent of the scientific method you would not perform an experiment in this manner.
by LeviF
Thu Oct 04, 2012 9:38 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5817

Whether right or wrong, I will say that I have opted to replace VI with vi.
by LeviF
Wed Oct 03, 2012 6:43 pm
Forum: Testing and Simulation
Topic: Rolling Correlations
Replies: 3
Views: 2075

Looking at correlations on a weekly basis may help to smooth out some of your spikes.
by LeviF
Wed Sep 19, 2012 8:53 am
Forum: Futures Markets
Topic: Azuki beans
Replies: 5
Views: 3241

I just got smoked in this contract, waiting too long to roll. Went from a 2.5R profit to nearly 0 in two sessions. If I would have rolled into a distant contract a couple days ago this wouldnt have happened. No more #$%%^$ azuki beans for me!
by LeviF
Tue Sep 18, 2012 1:30 am
Forum: Futures Markets
Topic: Azuki beans
Replies: 5
Views: 3241

Azuki beans

Anyone trading this? OI & volume seems to have declined quite a bit over the past few months. I need to roll out of September but not sure which month to go to or maybe just take it out of the portfolio...
by LeviF
Sat Sep 08, 2012 1:51 am
Forum: Futures Markets
Topic: Guar gum
Replies: 12
Views: 6416

Guar gum

Maybe I should move to India...
by LeviF
Fri Aug 17, 2012 1:08 am
Forum: Futures Markets
Topic: Tokyo Silver
Replies: 2
Views: 2297

Tokyo Silver

Does anybody have this in their portfolio? I have a BPV of 3000 per CSIs specs, but my current P/L looks like BPV should be 10000. Which means I am sitting on 3x the size I should be. And on a loss of course. :x
by LeviF
Wed Aug 15, 2012 10:12 am
Forum: Testing and Simulation
Topic: Stupid question on money manager block:
Replies: 3
Views: 1686

Code: Select all

order.setQuantity(system.tradingEquity / instrument.close)
by LeviF
Mon Jul 16, 2012 10:26 am
Forum: Brokers
Topic: Interactive Brokers data fees
Replies: 3
Views: 3342

Interactive Brokers data fees

What do you pay in monthly data fees to trade world futures at IB?
by LeviF
Sat Jun 23, 2012 11:09 am
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7479

These wont work if you dont calculate stops. You will need to get a bit more creative.
by LeviF
Fri Jun 22, 2012 2:13 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7479

When using volatility weighted risk %, pay attention to the actual place you will exit, that is a better estimate of your instrument risk. That is why I asked about your avg losing trade %. Depending on your exit point, your risk could be 0.25% or 25%...