Search found 59 matches

by Jez Liberty
Fri Oct 08, 2010 11:38 am
Forum: Testing and Simulation
Topic: Moving Median: a better indicator than Moving Average?
Replies: 4
Views: 4604

I have noticed that moving median takes quite a bit longer to calculate than an EMA. Yes - the median calculation is a fairly bit more computer-intensive, which is not a real issue nowadays, but I suspect it is one of the reasons why Moving Averages have been so much more popular than the Median (i...
by Jez Liberty
Wed Oct 06, 2010 5:27 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30602

After a good night's sleep, I realised that some of my comparison above is somewhat flawed. The linear adjustment used to normalize both system performances (linear calculation of CAGR when setting MaxDD equals) is "theoritically interesting" but does not offer much practical value. Indeed, "notiona...
by Jez Liberty
Tue Oct 05, 2010 5:55 pm
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30602

sluggo, First off - thanks for sharing this blox (on other thread) and study. Had some fun with it and it generated quite a few good thoughts... I have to say I would intuitively lean towards your friend's Tommy' opinion (ie that one of Trend Following's main mantra is to let winners run and therefo...
by Jez Liberty
Fri Oct 01, 2010 6:32 am
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27191

Cococa was recently in the news with Anthony "Choc Finger" Ward buying a bulk load of cocoa beans... http://www.telegraph.co.uk/foodanddrink/foodanddrinknews/7897075/British-financier-Anthony-Ward-behind-658m-cocoa-trade.html Could it be his footprints? (you'd think it would not try to offload it al...
by Jez Liberty
Tue Sep 28, 2010 10:54 am
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 23458

Its about to be I have it going back years Im about to post it on my website which will launch in about 1 month I have the index broken down to other sub sectors and groups also It took me years to put this stuff together and I think it gives a good reflection of TF performance as opposed to "CTA" ...
by Jez Liberty
Mon Aug 09, 2010 3:26 pm
Forum: Testing and Simulation
Topic: Independently Non Profitable Systems Enhancing Overall Perfo
Replies: 7
Views: 3349

How about that search facility
:wink:
cheeky but quite funny...
by Jez Liberty
Wed Aug 04, 2010 4:59 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 5583

Re: ETF's

Quick question relating to ETF's - Been looking at them omline - researching the net - if someone wanted, say, exposure to Germany - why would they buy a German ETF when they could buy the DAX PPP spreadbetting and pay no tax, no commission and no wide bid / offer spread ? I havent researched the m...
by Jez Liberty
Fri Jul 16, 2010 6:30 am
Forum: Testing and Simulation
Topic: Being clever about which contract to pick? (roll yield)
Replies: 10
Views: 6660

Forgot to mention.. I did some further analysis on Crude Oil with volume checking/constraints. I output the volume of chosen contract vs. volume of most liquid contract and did some analysis on these numbers (hoping they would prove liquidity was always good - if the method is good enough for DB, it...
by Jez Liberty
Fri Jul 16, 2010 5:48 am
Forum: Testing and Simulation
Topic: Being clever about which contract to pick? (roll yield)
Replies: 10
Views: 6660

Take a look at DB Optimum Yield version of their commodity indicies Thanks svquant, I was not aware of this index/ETF - and it seems encouraging if a big fund can implement this sort of strategy (ie it means it should be viable for smaller traders...) Indeed, they only have 14 components in their i...
by Jez Liberty
Thu Jul 15, 2010 4:20 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20658

I suppose this could be a "best of both worlds" general approach, in which you would define a rolling-over deadline for each contract (ie buffer before Exp/FND) - but by also tracking the liquidity, you'd have the option to roll over before that deadline with the volume shift. Obviously for US (and ...
by Jez Liberty
Thu Jul 15, 2010 2:02 pm
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20658

I have to admire the report you created, it really provides a depth of analysis... So... assuming I'm not going to explore other roll timing methods (like OI, volume, etc.), If liquidity is such a concern (and I guess it ought to be), why not use it as an input in the rolling method (ie roll on volu...
by Jez Liberty
Thu Jul 01, 2010 5:44 pm
Forum: Testing and Simulation
Topic: Being clever about which contract to pick? (roll yield)
Replies: 10
Views: 6660

Thanks for the feedback sluggo. I am actually using the CSI API to extract all individual contracts into separate file so I'll try to enhance the code to include liquidity/volume in the export and record the actual volume in further contracts compared to the front-month contract to see if it drops t...
by Jez Liberty
Thu Jul 01, 2010 9:57 am
Forum: Testing and Simulation
Topic: Being clever about which contract to pick? (roll yield)
Replies: 10
Views: 6660

Why not trade Spot Brent or WTI directly? Scroll down to end of http://www.gft.com.au/sheets/cfd/commodities.asp There could be a couple of reasons: - being long (short) a contract in backwardation (contango) should add a positive roll yield to the spot price move - you'd probably want to be able t...
by Jez Liberty
Thu Jul 01, 2010 8:09 am
Forum: Testing and Simulation
Topic: Being clever about which contract to pick? (roll yield)
Replies: 10
Views: 6660

Being clever about which contract to pick? (roll yield)

The so-called "roll yield" can sometimes have a strong impact on the return of a future contract. A prime example being how it was impossible to match crude oil spot price performance using futures in 2009. (A) (B) (C) (D) [shameless plug to a blog post with charts illustrating that point :wink: ] I...
by Jez Liberty
Mon Feb 22, 2010 10:03 am
Forum: Testing and Simulation
Topic: Keeping up with the simulation and Spreadbetting?
Replies: 44
Views: 14078

GFT are the only true spreadbeting company I've come across who have an API. They're a bit protective of it, I think mainly because they worried about being arbed by scalpers. They seemed quite happy when I talked to them about using it for LTTF-style trades. I never got around to taking it further...
by Jez Liberty
Sat Feb 13, 2010 10:14 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70151

Anybody know if Active Trader is sold anywhere in London.
I'd fancy reading that article.. but I tried WH Smith, Foyles, and Waterstones (and Borders is gone). Nobody's got it and it's not avaliable online on the activetrader site (yet?)
by Jez Liberty
Fri Feb 12, 2010 5:08 pm
Forum: Testing and Simulation
Topic: Any profitable users of TB?
Replies: 18
Views: 8027

Sluggo, I think you're probably talking about Amibroker, which I've researched, along with TradersStudio & Wealth-Lab Pro. I've noticed that Amibroker is very cheap and has great reviews, but that the drawback is the programming learning curve, which I'm not sure is worth the money saved, consideri...
by Jez Liberty
Tue Feb 09, 2010 5:36 pm
Forum: Testing and Simulation
Topic: Warning: Potential CSI Data Problem - March Corn Low
Replies: 5
Views: 2211

mmmmh - I have different values in "my" CSI:

Corn #9 Low: 354.60
Corn #412 Low: 353.40

both values for 08/02

I just downloaded data 30 mins ago
by Jez Liberty
Sun Feb 07, 2010 6:40 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70151

Re: Dead Turtles

I do not wish to post the actual code I used to generate the back test but HotTip will be able to get close if he uses the following Blox all of which come with TB or are available on the Blox Marketplace. Anthony, I am expecting your book on Trend Following with ETF anyday now (Amazon has shipped ...
by Jez Liberty
Sat Jan 30, 2010 11:45 am
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7867

Hey klatt_attack, it looks like you are making great progress on this. Good idea on the blog too - I find that mine helps me to keep on track too - is yours public or private? Also I was wondering what is your goal in building this compared to using CSI roll algorithms which have a lot of options al...