Search found 49 matches

by Old European
Sun Jun 04, 2006 12:51 pm
Forum: Brokers
Topic: Costly Robobroker Errors
Replies: 21
Views: 23119

I agree that a thread on robo-broker errors definitively can be useful for system traders. No question about it. mike 168, why do you make your life so complicated by choosing a roll-over procedure that is so difficult to implement correctly? Personally I don't trust a trading system when its edge l...
by Old European
Mon May 15, 2006 7:09 am
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21529

Exactly!
by Old European
Mon May 15, 2006 6:10 am
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21529

What I find quite remarkable is that illiquidity does not necessarily lead to large slippage. Lumber is a good example. The typical daily volume in the front month is only about 500 lots. It has many lock-limit days. You can hardly call it a liquid market. ... but the slippage on my MOO lumber order...
by Old European
Sun May 14, 2006 11:12 am
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 11592

SPW, If I understand you correctly, you are talking about taking fully collateralized long positions in commodity futures. I'm afraid that I don't agree with you that systematically rolling these positions doesn't contribute (positively or negatively) to the return. In fact the so-called roll yield ...
by Old European
Thu May 11, 2006 4:28 pm
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29792

Forum Mgmnt,

Why don't you post your above contribution to this thread also in the 'How to Use these Forums - REQUIRED READING' section of the forum?

Cheers,

Old European
by Old European
Wed May 10, 2006 12:48 am
Forum: Futures Markets
Topic: Futures Market Data Pitfalls - Newbies Beware
Replies: 18
Views: 10292

AFJ, Yes, I paid a lot of attention to backup procedures. I have hardware and internet connection backups (internet went down last night because of heavy weather and thunderstorms!). I can count on a friend of mine for backup. I'm spending some time at the moment on writing down all contingency proc...
by Old European
Tue May 09, 2006 12:35 pm
Forum: Futures Markets
Topic: Futures Market Data Pitfalls - Newbies Beware
Replies: 18
Views: 10292

It is my experience that doing one's homework properly is more than worthwhile. Before I started trading my system two years ago I spent a great deal of time checking all CSI data settings and files and choosing very realistic assumptions for slippage etc. I don't use a robobroker, but place all the...
by Old European
Sun Apr 09, 2006 4:57 pm
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21529

I have been systematically tracking the slippage on my futures transactions over the last two years. About 45% are electronic and 55% are pit traded contracts. And I am also active in some less liquid markets like DX, RR and LB. The slippage figure I come up with is about 9% and very much in line wi...
by Old European
Sun Mar 26, 2006 10:23 am
Forum: Testing and Simulation
Topic: Is Monte Carlo Analysis Useful?
Replies: 6
Views: 5599

Forum Mgmnt,

I couldn't agree more with what you say. MC, although theoretically flawed, can indeed help remind us of the intrinsic unstability of mechanical trading systems (despite all the effort we put into improving their robustness).

Cheers,

Old European
by Old European
Wed Mar 08, 2006 11:21 am
Forum: Testing and Simulation
Topic: Risk Reward Ratios
Replies: 6
Views: 4863

Indeed
by Old European
Fri Jan 06, 2006 7:56 am
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21796

Austrian, The margin-to-equity ratio I personally feel comfortable with is somewhere between 10% and 20%. I however have to admit that from a theoretical risk management point of view this ratio doesn't make a lot of sense. I still don't understand why consultants are still attaching so much importa...
by Old European
Fri Dec 30, 2005 6:40 am
Forum: Testing and Simulation
Topic: Trading Solutions Software
Replies: 24
Views: 13198

Forum Moderator,

There used to be a forum section called something like 'the bottom of the barrel'. This thread is becoming a good candidate for transfer to that section. I always try to read all new messages, but I'm beginning to loose my time ...

Cheers,

Old European
by Old European
Wed Nov 16, 2005 6:14 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17614

Damian, CSI's data quality is indeed outstanding, but their Unfair Advantage software, although very powerful, is not really state-of-the-art. Among other weaknesses it is very user-unfriendly and poorly documented. There definitively is room for a competitor as you pointed out. CSI will then at lea...
by Old European
Sat Oct 15, 2005 1:35 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 23058

Not a big surprise:

http://today.reuters.com/stocks/QuoteCo ... -2005+RTRS

Cheers,

Old European
by Old European
Fri Oct 14, 2005 5:06 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 23058

Anthony,

Indeed an incredible and very sad story.

I hope CME's press release can give you some comfort if you hold a Refco futures account.

http://www.cme.com/about/press/cn/05-13 ... 16261.html

Cheers,

Old European
by Old European
Thu Oct 06, 2005 10:58 am
Forum: Futures Markets
Topic: Correlation
Replies: 4
Views: 3136

... because of recent strong demand for cane-based ethanol in top cane-grower Brazil because of high energy prices you mean? Short term correlation has indeed increased, but long term correlation has changed only marginally.

Cheers,

Old European
by Old European
Fri Aug 19, 2005 5:53 am
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar data
Replies: 11
Views: 9593

Sluggo, I still think that rolling-over on open interest cross-overs is a very acceptable thing to do. 1. It does a very good job as far as timing wrt first notice day is concerned 2. The higher the volume the lower the slippage usually is. But I have noticed that cross-over on volume most of the ti...
by Old European
Thu Jul 14, 2005 12:54 pm
Forum: Testing and Simulation
Topic: Requirements before buying backtester software
Replies: 10
Views: 6571

I think stancramer's message is pretty clear. And he definitively has a point. Although I'm convinced that the Trading Blox team is very genuine in its effort to come up with a state-of-the-art product, I can't help having the feeling that the release of TBB version one has been a bit premature. Min...
by Old European
Thu Mar 17, 2005 5:47 am
Forum: Testing and Simulation
Topic: Has Trend Following Really Gotten Harder?
Replies: 10
Views: 10472

Frank, I completely agree with your conclusion. I have been doing numerous tests with multiple moving average cross-over type of systems over almost 30 years of historical data and on a generic market portfolio of about 50 futures markets. Time and time again I was surprised to see that out-of-sampl...
by Old European
Sat Mar 12, 2005 4:22 pm
Forum: Trader Psychology
Topic: Overcoming bad habits acquired from day trading
Replies: 17
Views: 18647

Once you have chosen to go the long-term trend following route, being obsessed by the tape does not add any value to your trading. It only may give you completely unnecessary adrenaline shots, generate strong emotions and lead to bad quality of life. As others already said, what is really important ...