Search found 166 matches

by kianti
Fri Aug 06, 2010 4:15 am
Forum: Testing and Simulation
Topic: Trading LME
Replies: 3
Views: 2281

Trading LME

I'm new to LME and quite confused. So far I've learned that (please correct me if I got it wrong): For futures variation margin is a cost/revenue. For LME forwards variation margin is a credit/debit For futures you have an expiry date that is fixed for every contract. For LME you have a prompt date ...
by kianti
Fri Aug 06, 2010 3:49 am
Forum: Testing and Simulation
Topic: LME Lead prices
Replies: 15
Views: 6636

LME Lead prices

I've been watching CSI LME Lead prices for while. I had also the chance to compare CSI with CQG and noticed that prices are different. It looks like CSI is using a different opening hour (see pics below): CSI 8:00AM - 20:00PM GMT+1 CQG 2:00AM- 20:00PM GMT+1 Any help, advice and suggestion is very we...
by kianti
Sat Jul 24, 2010 2:56 am
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10289

Anyone having problems with CSI (UA+web) today (8:54 AM GMT+1) :oops: :oops: :oops:

Best regards, as ever
by kianti
Sat Jul 10, 2010 1:38 pm
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3070

td80 wrote:Thank you for the offer. I would like to extend the same if you ever find yourself headed to California/USA
Thanks for the kind offer.


I'm testing CQG Trader and it does the job.

Best regards, as ever
by kianti
Thu Jul 08, 2010 3:57 am
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3070

Thanks all for your kind replies, I was aware of Interactive Brokers supporting server side synthetic orders. I'll be testing Strategy Runner. Also CQG trading application seems to support the above orders. 'll be visiting Italy (getting married in Tuscany!) and France next spring, and I plan on tas...
by kianti
Tue Jul 06, 2010 12:15 pm
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3070

OCO+GTC

I'm looking for a futures trading platform able to keep OCO orders on their server, i.e when I turn of my PC OCO will keep working.
Any idea or suggestion to solve the issue is very welcome.

Best regards as ever
by kianti
Thu May 27, 2010 11:59 am
Forum: Testing and Simulation
Topic: mini S&P rollover
Replies: 1
Views: 1659

mini S&P rollover

:?: :?: :?: :?:
CSI Unfair Advantage software rolled the e-mini S&P 500 future from JUN10 to DEC10 (see pics below) and skipped SEP10
Thanks in advance for any help

and best regards, as ever
by kianti
Thu May 06, 2010 10:35 am
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12104

I was trading on 9/11 (in Italy) and I was long DAX futures before the event! I will never forget the event. I managed to get out without losses. At the time, I was quick and didn't waste time thinking in terms of undervalued and overvalued. At the time I didn't trade in terms of drawdown. When dail...
by kianti
Sat Apr 17, 2010 11:00 am
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

LeapFrog wrote:Ah Redrock - I remember those old Pit days too ..
I did too, was it called 'kerb trading' (you could close your trades after the bell) ???

best regards, as ever
by kianti
Tue Apr 13, 2010 9:24 am
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8482

Re: Kianti wrote: That's what I did in the f.jpg.

Kianti, Referring to your f.jpg, What is the relationship between your Opt F of 23% and your "Bet Ratio" of 7.67% Once the highest f is found, it can readily be turned into a dollar amount by dividing the biggest loss by the negative optimal f. For example, if our biggest loss is $100 and our optim...
by kianti
Mon Apr 12, 2010 6:03 pm
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8482

sluggo wrote:Another thing you could do, though, is to step the betsize parameter, and then plot your results. You can find optimal-f on the plots; it's the betsize where CAGR% peaks ...
That's what I did in the f.jpg. Do you think it's worth the hassle?

best regards, as ever
by kianti
Mon Apr 12, 2010 5:53 pm
Forum: Money Management
Topic: More questions about Ralph Vince's Optimal f
Replies: 11
Views: 8482

Looking for more clarity on Optimal F .... I use Kelly for two reasons: a) I'm a discretionary trader and I use stop-losses+profit-targets. b) Kelly seems easier to calculate to me. Drawdowns: if you want less drawdown you can use a Kelly fraction for a less bumpy ride. I'm charting my Kelly and no...
by kianti
Mon Mar 29, 2010 6:49 am
Forum: Data Providers and other non testing software
Topic: CSI CL2 futures
Replies: 2
Views: 2231

sluggo wrote:Have you seen this section of the CSI Unfair Advantage manual? (ref)
thanks
by kianti
Mon Mar 22, 2010 11:21 am
Forum: Data Providers and other non testing software
Topic: CSI CL2 futures
Replies: 2
Views: 2231

CSI CL2 futures

I was importing CSI data in a software and I got many import errors like:

close>high or close<low -> see png below


Something wrong with the data I've got???
Is there some file setting to change?
by kianti
Fri Mar 19, 2010 1:32 pm
Forum: Money Management
Topic: ASX 10 Year Treasury Bond Futures calculation
Replies: 4
Views: 3988

sluggo wrote:Since you ask: today I am in California, just a few feet above sea level.
Cheers mate :D :D :D enjoy

Meanwhile I found a nice Excel sheet:SFE Futures and Options Calculator
by kianti
Fri Mar 19, 2010 1:30 pm
Forum: Money Management
Topic: ASX 10 Year Treasury Bond Futures calculation
Replies: 4
Views: 3988

Since you ask: today I am in California, just a few feet above sea level. Cheers mate :D :D :D http://www.google.it/url?sa=t&source=web&ct=res&cd=2&ved=0CA4QFjAB&url=http%3A%2F%2Fwww.asx.com.au%2Fresources%2Fcalculators%2Fsfe%2Fsfe_futures_and_options_calculator.xls&rct=j&q=calculate+margin+austral...
by kianti
Fri Mar 19, 2010 1:28 pm
Forum: Money Management
Topic: ASX 10 Year Treasury Bond Futures calculation
Replies: 4
Views: 3988

sluggo wrote:Since you ask: today I am in California, just a few feet above sea level.
Cheers mate :D :D :D

got the answer on a nice Excel sheet
=http://www.asx.com.au/.../calculatorss ... Calculator
by kianti
Fri Mar 19, 2010 12:41 pm
Forum: Money Management
Topic: ASX 10 Year Treasury Bond Futures calculation
Replies: 4
Views: 3988

ASX 10 Year Treasury Bond Futures calculation

I was checking the following trade: sell 1 Australian 10 years bond at 94.370 buy 1 Australian 10 years bond at 94.330 variation margin = + 307,35 AUD and then I got more confused,I read on the SFE contract specs the following: Prices are quoted in yield per cent per annum in multiples of 0.005 per ...
by kianti
Wed Jan 13, 2010 3:31 am
Forum: Testing and Simulation
Topic: Platform to Trade Foreign Markets
Replies: 11
Views: 4571

....execute your orders through LME Select - not the fixed time ring sessions. LME rules are different from all the other futures markets and back-office could be a nigthmare. Let's take variation margin for instance: for futures is a profit/loss, for metals is a credit/debit. Not to mention the in...
by kianti
Tue Dec 29, 2009 4:35 am
Forum: Futures Markets
Topic: Korean Won
Replies: 3
Views: 3106

....Buy 1 contract of February Burmese Artichokes at market on the open ... Apparently, artichoke was domesticated in Roman times, possibly in Sicily, and spread by the Arabs during early Middle Ages.The first certain records of artichoke commerce refer to Filippo Strozzi trading artichokes from Si...