Search found 59 matches

by sunyata
Fri Oct 05, 2012 7:21 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

Thanks for the feedback fellas. I've downloaded individual and continuous contracts with VI and vi fields, just in case. My 30 days is up today, so I had to make sure to get it right, otherwise I'd have to shell out another $500 to access the UA database.
by sunyata
Thu Oct 04, 2012 8:02 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

No, I don't want to hire someone. Sorry, I guess I was unclear. I want to understand why TB would specify "VI" for the default CSI data fields when it uses these fields to determine if liquidity exceeds the minimum volume threshold. It seems to me that "vi" would be more appropriate. I will use my u...
by sunyata
Thu Oct 04, 2012 7:33 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

I've noticed that the default CSI fields for the data in the "Futures" folder that TB utilizes are "OHLCVINU" where VI are "Total Volume" and "Total Open Interest" respectively. My intention is to build my own continuous contracts and the only criterion I know right now to use to determine when to r...
by sunyata
Wed Oct 03, 2012 7:35 pm
Forum: Testing and Simulation
Topic: Rolling Correlations
Replies: 3
Views: 2094

Thanks for the tip. I'll look into that.
by sunyata
Wed Oct 03, 2012 7:34 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18198

I hope he is okay as well. He has been a really big influence on me. I am working through FAQ now, cataloging snippets of his guidance, and I have the Trading Tribe Essentials card on my monitor's base, so I can always see it. I wholeheartedly agree with you. "Know thyself" is pivotal and reverberat...
by sunyata
Wed Oct 03, 2012 4:40 pm
Forum: Testing and Simulation
Topic: Rolling Correlations
Replies: 3
Views: 2094

Rolling Correlations

Have been researching correlations and how they change over time. Took soybean and soybean oil price data from 2000 - present and calculated rolling correlations for 40 days, 120 days, and 1 year. The resultant graphs are attached. The 40-day correlations are very erratic as you see and longer calcu...
by sunyata
Wed Oct 03, 2012 8:33 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18198

He always said that his intention for FAQ was for it to become just another passing AHA. Maybe that has transpired. The number of posts per month does progressively lessen through the years. How long have you run the Tribe in your area? I was not particularly thrilled with mine. The leader seemed a ...
by sunyata
Tue Oct 02, 2012 7:59 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18198

I am glad you have benefited from Tribe work. I participated in the NYC Tribe for about a year a few years ago. I did not seem to benefit much from it, but that does not mean it is ineffective for everyone. I am concerned that Ed may have blown up. Guess that's a k-not to experience. Because if Ed c...
by sunyata
Mon Oct 01, 2012 11:43 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18198

Seykota's FAQ

Anyone know the status of Seykota's FAQ? It hasn't been updated since May 2011 and there is no indication of a reason for the hiatus. I've emailed Ed but haven't heard back. Ed doesn't entertain "why" questions, so it is not surprising that there is no reason supplied. For newbies, I find Ed's FAQ e...
by sunyata
Wed Sep 12, 2012 2:28 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

Just wanted to provide an update: was able to download the individual contracts I needed through UA without using a script that accessed its API. When you purchase historical data only, CSI automatically cues UA to start the download process the first time you open UA. Now to program a "Concatenater."
by sunyata
Tue Sep 11, 2012 8:42 am
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

Thanks Sluggo. You're a huge help.
by sunyata
Mon Sep 10, 2012 2:36 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

Fortunately CSI provides an Application Programming Interface ("API") to let you automate a lot of this stuff. Search the TB Roundtable forum, I think a couple of members here have contributed API code here, which you could use for ideas or as a starting template. Thanks for your response. I though...
by sunyata
Mon Sep 10, 2012 1:25 pm
Forum: Testing and Simulation
Topic: Issues with CSI
Replies: 18
Views: 5859

Re: Issues with CSI

Name me an alternative vendor with a sophisticated front end to build continuous contract data in a flexible and efficient manner and I too will be grateful. So far, CSI seems as good as it gets without building your own software. I just bought historical data only through CSI and they are telling ...
by sunyata
Mon Sep 10, 2012 1:19 pm
Forum: Testing and Simulation
Topic: Traders, learning to write computer programs
Replies: 20
Views: 7797

Re: Traders, learning to write computer programs

You need not fear your software of choice becoming unavailable to you because of licensing problems and the policy of vendors/ licencors... You need not worry about phoning home on the internet from TB. Can you elaborate on this? This means that under certain circumstances I could use TB for backte...
by sunyata
Fri Jul 03, 2009 10:28 am
Forum: Testing and Simulation
Topic: Historical margin data
Replies: 0
Views: 4070

Historical margin data

Hey all, CME was kind enough to put together a package of historical margin requirements for futures contracts from multiple groups. These groups include: stock indices, currencies, grains, metals, energy, and ST & LT interest rates. I've attached the documents they forwarded me. The history goes ba...
by sunyata
Sat Jun 20, 2009 2:43 pm
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21795

For most traders, at least on this forum, this is a non-issue since LTTF systems tend to use low margin to equity levels. I like to do the opposite of this. Could you expound on this a little? I've noticed in my testing that to generate a CAGR over 30% I have to use a margin-equity ratio that is at...
by sunyata
Wed Jun 17, 2009 3:08 pm
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21795

I'll report back with the effects if it works out. I expect it should actually improve my historical back testing results because as of now, I use the most current margin rates which are high by historical standards and thus penalize my results by excluding trades which would not otherwise be exclu...
by sunyata
Wed Jun 17, 2009 12:16 pm
Forum: Futures Markets
Topic: Maintenance margin in foreign markets?
Replies: 4
Views: 3126

Here are the details of the margin process used at the South Africa Futures Exchange. Thanks for the doc: it's useful for estimating probable historical maintenance margin levels based on the PSS multipliers listed in the document. (I've noticed that currently maintenance margin is usually 75% - 80...
by sunyata
Tue Jun 16, 2009 10:09 am
Forum: Testing and Simulation
Topic: margin in testing
Replies: 3
Views: 3323

I have a similar question related to maintenance margin and margin calls. I think that dave's understanding of maintenance margin may be incorrect and I'd like to put forth my understanding before asking any question. Per my understanding, maintenance margin is a threshold that determines when a tra...
by sunyata
Sun Jun 14, 2009 9:42 am
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8512

AFJ, Thanks for your note. In fact, I was an equities daytrader for 2 years and can attest to the opportunity to make many multiples of one's starting capital. I traded for an arcade firm that required $5,000 initial capital contribution and provided 100% payout of trading profits, but to make its o...