Search found 44 matches

by jas-105
Wed Mar 23, 2011 4:03 pm
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8797

Hi Josh

I can only retrieve data going back to 1996 for the Nasdaq futures contract, are you saying that I should just use the cash contract history in order to go back as far as 1985 ?
by jas-105
Wed Mar 23, 2011 7:02 am
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8797

ND3 for the Nikkei-225 cash contract and NQ for the future.
by jas-105
Wed Mar 23, 2011 4:39 am
Forum: Data Providers and other non testing software
Topic: Linking historical DM spot to current Euro spot now possible
Replies: 14
Views: 8797

I'm trying to extend the nikkei back in time by "linking" the cash contract onto the more recent NK futures data but I'm not having much luck. Is trying to link cash and futures data a bit of a faux pas ???
by jas-105
Tue Mar 01, 2011 2:36 am
Forum: Data Providers and other non testing software
Topic: More CSI problems
Replies: 12
Views: 4043

I have to shamefully admit to not having done the most basic of checks when setting up a fresh install of UA with TradingBlox, it was the ASCII Field Layout tab in UA that was wrong (it was at default setting). A reminder:

http://www.tradingblox.com/tradingblox/ ... market.htm
by jas-105
Thu Feb 24, 2011 5:43 am
Forum: Data Providers and other non testing software
Topic: More CSI problems
Replies: 12
Views: 4043

I've just upgraded to the UA version 2.10.7.116c myself and somehow I've managed to lose all the current contract months on the order report by using the "Advanced Backadjuster" and now I can't get them back even when refreshing the files with the original backadjuster , anyone else had this problem...
by jas-105
Thu Jan 27, 2011 12:39 pm
Forum: Futures Markets
Topic: Short Sterling
Replies: 2
Views: 1880

Sometimes a listed calendar spread trade can create a new high or low in the outright, its not really supposed to happen but it does. I'm not sure I've ever seen it 3 ticks out though !
by jas-105
Tue Jan 11, 2011 12:50 am
Forum: Futures Markets
Topic: What was your performance in 2010, and year to date?
Replies: 5
Views: 2502

2010 +13.8%

2011 - 1.0%
by jas-105
Mon Jan 10, 2011 3:36 am
Forum: Market Psychology
Topic: Economist Article on Trendfollowing
Replies: 4
Views: 9263

For those interested in momentum in equities in particular, there is a good annual publication by the London Business School called the GIRY , 2008 had a decent section on momentum in stocks. Here is the summary version: http://www.london.edu/assets/documents/facultyandresearch/786_GIRY2008_synopsis...
by jas-105
Wed Sep 29, 2010 3:27 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23455

Chris, if lack of correlation hasn't convinced investors to place money with you then what about reduced fees ? Or does this make a new fund appear "cheap" and/or desperate ?
by jas-105
Sat Jul 24, 2010 10:13 am
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10294

Seems to be back up, downloading ok in UK 15:00 BST
by jas-105
Wed May 26, 2010 5:57 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 17879

Although I'm not a big fan of VaR (I certainly wouldn't rely on it for my own trading) it is often quoted in the big, bad world of hedge funds including those that use LTTF. With this in mind, is it possible to get an estimation of % equity risked (or AUM) if I just had monthly and yearly returns fo...
by jas-105
Wed Mar 03, 2010 5:51 am
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5486

Quantiitative Easing (QE) is another issue , in that the central banks themselves (particularly in the UK) are buying up bonds at the longer end of the curve which may be distorting it by keeping it flatter than it would otherwise be under more "natural" conditions. Time will tell if this is the case.
by jas-105
Tue Mar 02, 2010 4:16 am
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5486

Eric Some people consider that there is no better prediction of future interest rates than the bond markets themselves as this is the net opinion of many thousands of traders, speculators, hedgers etc . Short-term rates will have an affect on long-term to some degree of course , although the actual ...
by jas-105
Mon Mar 01, 2010 11:54 am
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5486

Sorry, I had intended it to be short-term lower than long-term, thanks for correction.
by jas-105
Mon Mar 01, 2010 8:41 am
Forum: Futures Markets
Topic: Bond current yield - short term is higher than long term
Replies: 13
Views: 5486

Right now , short-term yields (2 year +) are actually higher than long-term yields (10 year +)......but when it's the other way around (inverted) it is generally assumed that a recession or slowing economy lays ahead.
by jas-105
Wed Sep 09, 2009 10:36 am
Forum: Testing and Simulation
Topic: Excel as a position/money manager
Replies: 3
Views: 1999

Roger

Thanks for the advice , much appreciated .

Jason.
by jas-105
Wed Sep 09, 2009 5:59 am
Forum: Testing and Simulation
Topic: Excel as a position/money manager
Replies: 3
Views: 1999

Excel as a position/money manager

I've managed to put together something reasonable in Excel so that I have a live snapshot of open positions, risk and margins etc (linked to eSignal data manager) , all basic stuff so far but I've come to a bit of a problem and could do with help from someone more knowledgeable. The live p&l is calc...
by jas-105
Sat Aug 29, 2009 1:31 am
Forum: Testing and Simulation
Topic: Crash protection
Replies: 2
Views: 2034

The difficulty with hedging risk with options is that you have the cost of time premium.....Sluggo's post shows a reasonable enough example but assuming that it's an at-the-money option then you have paid maximum time value. If the market doesnt move then you will bleed cash. We currently are replac...
by jas-105
Mon May 25, 2009 3:19 am
Forum: Futures Markets
Topic: calender spreads
Replies: 2
Views: 2285

Roger

Thanks for all that info, I'll take a look at those publications and see where it takes me,

Cheers.
by jas-105
Sun May 24, 2009 2:04 am
Forum: Futures Markets
Topic: calender spreads
Replies: 2
Views: 2285

calender spreads

I am building a database of calender spreads using Esignal and Qcollector . This works fine but is somewhat longwinded and there is the requirement to create the backadjusted files manually. I appreciate that the exchanges themselves offer this data but it is pretty expensive ! Can anyone recommend ...