Search found 40 matches

by Mats
Wed Aug 13, 2008 8:22 am
Forum: Testing and Simulation
Topic: Investigating CSI rolling methods
Replies: 5
Views: 5023

Interesting topic...

Everyone.. I had done some simulations and found that the later roll the better performance and little more drawdown. However it is not always possible for me to trade with late roll as my broker (IB) requires me to be out First Notice day on some contracts. What i understand this system here is a s...
by Mats
Sat Aug 02, 2008 4:54 pm
Forum: Data Providers and other non testing software
Topic: Difference Forex EOD Metastock and UA
Replies: 1
Views: 2364

Difference Forex EOD Metastock and UA

I am in the process of changing datafeed from Reutes Datalink to CSI and maybe someone else had expereinced the same as I? I note some differences between UA forex and Reuters Datalink forex EOD forex qutoes. The difference is for the Euro for 2008-08-01 CSI (id 2349): 1.56030,1.56030,1.55170, 1.555...
by Mats
Tue May 20, 2008 8:39 am
Forum: Testing and Simulation
Topic: CFD and transactions cost, really shocking and interesting!!
Replies: 3
Views: 2508

Interesting

Thank you very much for your input. This item is more complicated as it seems. CMC rolls the contract at specific dates and at those occassions the you do not pay any commission. Only the spread as i understand. I think i have some more to investgate! Thanks very much for your interesting comments!
by Mats
Mon May 19, 2008 8:45 am
Forum: Testing and Simulation
Topic: CFD and transactions cost, really shocking and interesting!!
Replies: 3
Views: 2508

CFD and transactions cost, really shocking and interesting!!

I had for a time investigated a tradional Donchian system with a 700.000 USD portfolio diversified portfolio bases on the all liquid portfolio in Blox and used the standard contract transaction cost in Blox = USD$12.50 per contract. My system performs well performs quite well with CAGR around 30% an...
by Mats
Thu May 15, 2008 7:11 am
Forum: Testing and Simulation
Topic: Form papertrading to trading, is the risk OK?
Replies: 3
Views: 2494

Form papertrading to trading, is the risk OK?

All experienced mechanical traders, please advice. I have papertraded a trend-following system for a while. It is a donchian with some slight modifications in the correlation area. I trade the "all Liguid" portfolio and tested on the Blox 10 years database. It is soon time to go from papertrading to...
by Mats
Wed May 14, 2008 9:16 am
Forum: Futures Markets
Topic: Corn trend?
Replies: 3
Views: 2996

Yes that is correct

Yes i understand, the discretionary view is hard to forget for me in mechanical trading.

Thanks
by Mats
Tue May 13, 2008 8:50 am
Forum: Futures Markets
Topic: Corn trend?
Replies: 3
Views: 2996

Corn trend?

Have anyone any advice on corn? I had -several 1R losses on corn recently. Have the market changed or is temporary choppy. I had 1 init/exit on the same day. 1 had 2 init/exit in 3-5 days. All in the last two months. Is it the corn/ethanol linkage in the US that matters here. I am papertrading a blo...
by Mats
Mon Apr 21, 2008 6:28 am
Forum: Futures Markets
Topic: Nice trend in Rice
Replies: 14
Views: 8208

Thanks for your comments

Thank you for your comments, i more looking to incorporate in long term portfolio but those liquidty things does not feel right.
by Mats
Sat Apr 19, 2008 10:35 am
Forum: Testing and Simulation
Topic: Backadjusted point or ratio (%)
Replies: 9
Views: 5799

Thanks but not really..

..what i need to know. The CSI software seems to be very flexible with the roll over. What i really need to know if the Trading Blox demo data is point or ratio adjusted.

I will compare my simulations with pinnacle data that i have. Maybe Tim or someone else know.

Thanks/Mats
by Mats
Fri Apr 18, 2008 8:43 am
Forum: Testing and Simulation
Topic: Backadjusted point or ratio (%)
Replies: 9
Views: 5799

Backadjusted point or ratio (%)

Is the futures data delivered with Trading Blox backadjusted in points or ratio (%).

Thanks
by Mats
Fri Apr 18, 2008 2:52 am
Forum: Futures Markets
Topic: Nice trend in Rice
Replies: 14
Views: 8208

Nice trend in Rice

I consider to trade rough Rice on CBOT. It looks that the trend is long and profitable.


Anyone here who have experiece in rice trading and what to look up for?

Thanks!
by Mats
Thu Apr 17, 2008 2:28 am
Forum: Futures Markets
Topic: Death Rays From Space
Replies: 6
Views: 4195

It seems that?

It seems that we may defer the mechanical approach when the electronic market is high up/low from yesterday. In my discretionary trading i never let a buy (stop) trigger in the first 20 minuts from open. I let the opening range settle so i get rid of those bad fills/stops. How can i program that in ...
by Mats
Wed Apr 16, 2008 12:40 pm
Forum: Futures Markets
Topic: Death Rays From Space
Replies: 6
Views: 4195

What happens in Cotton

I'd looked at the weekly chart on CT and it had a lot of spikes in the opening this week and last week.

My stop get hit at 1.35 ATR intraday from a bad fill.

What happens in this market?

Anyone?
by Mats
Fri Apr 04, 2008 2:35 am
Forum: Testing and Simulation
Topic: Paper trading and roll of contracts, how to?
Replies: 6
Views: 3243

Valuable advice

Roger

Thanks for you for your valuable advice. I had Thomas book and a lot other on my desk, this is really good book. I will use the email ref and see if i can find some local interest here.

Thank you/Mats
by Mats
Thu Apr 03, 2008 12:33 pm
Forum: Testing and Simulation
Topic: Paper trading and roll of contracts, how to?
Replies: 6
Views: 3243

Paper trading..

Thank Roger for your comments. It seems that it is time to invest in a good datafeed (instead of Reuters Datalink) . I have worked with stocks a long time, futures is a new world for me, therefore my questions. Trading is an art, i acknowledge that, and i really appreciate your comments. I had inves...
by Mats
Thu Apr 03, 2008 9:32 am
Forum: Testing and Simulation
Topic: Paper trading and roll of contracts, how to?
Replies: 6
Views: 3243

I agree on your advise..

Sluggo I am a Blox user and had done the first four things that you mention. What i am asking myself is: Is it worth the effort to analyse the roll strategy in depth, is it giving payback on system performance in your view. Should i choose a simpler roll strategy in the first place as for example ro...
by Mats
Thu Apr 03, 2008 8:34 am
Forum: Testing and Simulation
Topic: Paper trading and roll of contracts, how to?
Replies: 6
Views: 3243

Paper trading and roll of contracts, how to?

Thanks for any advice/help I had a system developed in Trading Blox that i am papertrading at this moment. From what i understand the roll of contracts is determined by the CSI data feed? Must i take all the daily data from Trading Blox website, import it every day into trading blox to roll contract...
by Mats
Wed Apr 02, 2008 7:55 am
Forum: Trader Psychology
Topic: How to lower the blood pressure?
Replies: 9
Views: 10625

Dont watch then.

Use a longer term system, put your orders once a day a do something else fun!

Thats the best agains blood pressure.

Good Luck!
by Mats
Thu Mar 20, 2008 5:32 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 18663

Take some money of the table!

Why not take some money of the table and play with a smaller trading capital.

Bahamas sounds nice!
by Mats
Thu Mar 13, 2008 8:33 am
Forum: Futures Markets
Topic: Difference FX SPot and FX Future?
Replies: 1
Views: 2582

Difference FX SPot and FX Future?

Maybe this is a newbie question but i am not friend with all the futures terminology yet:-)


Is there a difference of buying 1 contract at CME for 62 500 GBP for 2.037 = 127 312.5 USD

or

buy FX Spot 62 500 GPB at 2.037 currency pair GBPUSD = 127 312.5 USD with Interactive Brokers.

Thanks.