Search found 102 matches

by ecritt
Fri Apr 30, 2010 10:28 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20817

Emptor, if I had to use continuous contracts I'd probably do like Sluggo. But, I'd keep in mind (for further analysis at a later date) that futures contracts change over time. Point values, contract sizes, notice dates, etc. are not static. What's valid today may not have been so ten years ago. Anot...
by ecritt
Fri Apr 30, 2010 6:00 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20817

"Whether those results (back tested and actual) can be improved by researching different roll methods for agricultural and some other products is a different question and worthy of research. I seem to recall from extensive back testing of CL a few years ago that the best results I found came from ro...
by ecritt
Thu Apr 29, 2010 8:29 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20817

"you still need to create the continuous contracts (or do the equivalent somehow) to test your long term system so date or volume triggers are useful." Agreed, but I question whether the standard process of rolling on volume or OI, which considers only the most liquid contract, is the best way to do...
by ecritt
Mon Apr 26, 2010 8:47 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20817

Personally, I don't think there is any standard roll methodology that is universally applicable to all futures contracts. For certain markets, like currency futures and stock index futures nearly all the liquidity resides in only one contract at a time. For other markets like corn, nat gas, eurodoll...
by ecritt
Fri Apr 23, 2010 1:13 am
Forum: Market Psychology
Topic: How to change trader's mind set?
Replies: 5
Views: 5965

Re: How to change trader's mind set?

When trader is on losing position, he is willing to take more risk in order to cover the original equity, so he will invest more on average. When trader is on winning position, he is afraid to lose his existing profit and not willing to take more risk, so he will take profit quickly. Trader should ...
by ecritt
Sat Apr 10, 2010 12:42 am
Forum: Testing and Simulation
Topic: New goodness function
Replies: 14
Views: 4350

For me it's compounded return relative to risk taken. Max drawdown is only risk realized. It is rarely the same as risk taken.
by ecritt
Fri Mar 12, 2010 5:13 pm
Forum: Testing and Simulation
Topic: London Metals Exchange data & backtesting
Replies: 15
Views: 8311

You can trade whichever prompt dates you like (I happen to prefer the 3rd Wednesday of the month) and you can roll them whenever you like. One thing you could do, if you wished, is to initiate new a position in a prompt date 4 months away. When a month passes (making it now a 3 month forward), roll...
by ecritt
Fri Mar 12, 2010 4:46 pm
Forum: Testing and Simulation
Topic: London Metals Exchange data & backtesting
Replies: 15
Views: 8311

Because as with COMEX copper, they are normal futures contracts, often in contango, and by comparing the spot chart with the back adjusted chart you can see the effect of contango in the same way as you can with Eric's charts above. Without constructing the synthetic 3 month contract (putting LME m...
by ecritt
Fri Mar 12, 2010 4:41 pm
Forum: Testing and Simulation
Topic: London Metals Exchange data & backtesting
Replies: 15
Views: 8311

Why did you mention gold & wheat? Forgive me, my knowledge on the mechanics of futures contracts is pretty limited... See attached chart of gold during the 1980's and 1990's. ((( EDIT: The pink line below is incorrect. Thanks to Jez Liberty for uncovering my programming logic error. A valid version...
by ecritt
Thu Mar 11, 2010 6:44 pm
Forum: Testing and Simulation
Topic: London Metals Exchange data & backtesting
Replies: 15
Views: 8311

London Metals Exchange data & backtesting

I've been studying the LME contracts for a couple of months now. I'm convinced that backtesting on the LME data that comes out of CSI (or any other data source I've seen) is not realistic. The data are price quotes for a new 3 month forward. The day after you purchase a forward contract it ceases to...
by ecritt
Tue Mar 02, 2010 8:32 pm
Forum: Testing and Simulation
Topic: Platform to Trade Foreign Markets
Replies: 11
Views: 4618

Rightly or wrongly, I base my signals off the rolling 3 month prompt price available in CSI even though after entry, my position will be in a progressively shorter dated prompt date. Intuitively it seems to me that one could create a synthetic that reflects the cumulative impact of real-life contan...
by ecritt
Mon Feb 22, 2010 7:57 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78700

I've been following your research ecritt and it seems sound. Thanks for making your work public. I would like to implement something like this myself on a long-short basis, but it doesn't seem feasible holding over a thousand positions in accounts under 500k or so. Interactive Brokers's $1 minimum ...
by ecritt
Mon Aug 03, 2009 2:57 pm
Forum: Stocks
Topic: Historical NYSE open prices
Replies: 6
Views: 6550

AbsoluteReturn wrote:Eric,

are the stocks you trade listed at NYSE or Nasdaq? May be there is a difference in execution the orders at the open.
Depends on market environment. Last few years we were mostly in NYSE stocks; currently our exposure is tilted towards NASDAQ stocks.
by ecritt
Sun Aug 02, 2009 3:18 pm
Forum: Stocks
Topic: Historical NYSE open prices
Replies: 6
Views: 6550

I've been using market on open orders for 6 years now. I've done over 10,000 stock trades using Interactive Brokers. I compare my fill price to the opening price reported by CSI. It's very rare that these two prices disagree in any kind of material way. In other words, the relationship between the "...
by ecritt
Tue Jul 14, 2009 7:39 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

"the majority of the big players - insurance companies, pension funds, mutual funds etc don't seem to be particularly intelligently run (unless I am missing something?)" No, you've got it pretty much right. Those entities are the payers of what we call the "convenience premium"...the largest and mos...
by ecritt
Mon Jul 13, 2009 9:35 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

"many of the fundamentally driven-funds suffer from very obvious structural deficiencies"

Would you elaborate on this statement?
by ecritt
Mon Jul 13, 2009 9:22 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

"It's interesting how coming at the problem from a gambling background such features present themselves more readily. I am still very excited by the prospect of essentially turning the marketplace into a simple numbers gambling game." I’m with you on that. Imagine there’s a casino that offers a ...
by ecritt
Fri Jul 10, 2009 2:52 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

You are absolutely correct. I'm not making a case for technical analysis. In over 10 years of full time effort the only edge I've found that's consistent across decades and continents has to do with the fact that the vast majority of a market's gains have come from a small minority of stocks. Likewi...
by ecritt
Wed Jul 08, 2009 11:19 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

"I'm still of the belief that there of the simple fundamental scans, there is good evidence for Growth/GARP etc." I think it would be more fair and accurate to replace the word 'belief' with the word 'desire' at this point. (no disrespect or sarcasm intended here) "Sorry, I have no references to ha...
by ecritt
Wed Jul 08, 2009 7:22 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33529

Question: Why would you think this stock's price doesn't already reflect all of this stuff? Because I would be thinking that, for a variety of reasons, markets aren't terribly efficient? Couldn't we ask the same question of e.g. trend following? In fact, could some trends be related to periods of p...