Search found 62 matches

by drm7
Sun Jul 24, 2011 3:02 pm
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9937

Another interesting place to use spreads is trade management. There was an interesting discussion on this forum back when Cotton went parabolic and everybody was debating whether or not to take profits, since the price was WAY above most people's stops. I was reading Joe Ross's book TRADING SPREADS ...
by drm7
Sat Jul 23, 2011 9:14 am
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9937

where are you seeing these spreads traded with volume of some desription or are you synthetocally designing your own ? c Here is a link to the CME site which shows the activity in light crude calendar spreads for Friday's trading day: http://www.cmegroup.com/popup/SpreadPopup.html?sym=CL&venue=e&gg...
by drm7
Fri Jul 22, 2011 11:11 pm
Forum: Testing and Simulation
Topic: Teach me about trading spreads (futures)
Replies: 26
Views: 9937

Teach me about trading spreads (futures)

Moderator's note: Split off from parent to eradicate the scourge of the meandering thread. Going on a different tack here, but does anyone on here trade spreads (futures not options)? Nothing exotic, but calendars, crack spreads in energy, etc. The liquidity (especially in energy) is pretty good, a...
by drm7
Tue Jun 28, 2011 7:39 am
Forum: Forex
Topic: Best FX Brokers
Replies: 19
Views: 10439

If you read through their forums, you can find the information on their commissions. Can't remember the exact details, but it worked to something like 1-2 pips round trip at the maximum rate. I wasn't too fussed about this as I trade longer term. Dukascopy charges commissions on a volume-based slid...
by drm7
Mon Jun 27, 2011 10:41 am
Forum: Testing Software
Topic: TBB backtesting and intraday FX trading
Replies: 1
Views: 2019

I'm just scratching the surface on this topic myself, but I would look for a trading platform that allows for a lot of custom coding in a high-level language. For example, Dukascopy's JForex automated platform runs on Java. I assume that you could write a sufficiently robust program in Java (or C++/...
by drm7
Wed Jun 15, 2011 9:09 am
Forum: Stocks
Topic: On building a Platform for Very large test
Replies: 13
Views: 9168

Eric Crittenden (ecritt) has done a lot of large-scale testing on stocks (maybe even larger than your test), so he may have some useful advice on the logistics of it all.
by drm7
Fri May 20, 2011 10:33 pm
Forum: Testing and Simulation
Topic: Has anyone tried using Fractal properties for testing?
Replies: 5
Views: 2408

Finding consistent tradeable patterns/indicators using intraday data would be very profitable, since a) you could trade a system with much less capital (initial risk even for a system with wide stops would be 10-50 ticks instead of 10-50 points for a system using daily data.) Also, the gains for a p...
by drm7
Tue Apr 19, 2011 3:03 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78099

I have tested on the 200 european large cap stocks from the DJ 200 LCXP index (on bloomberg) a LTTF (long only) from TB. Thanks for your contribution! Not to be nit-picky (or maybe I am :P ) I had a few clarifying questions: 1. What is the buy and hold return (with dividends invested) for the index...
by drm7
Wed Apr 13, 2011 3:03 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13067

Re: ETF Momentum System

You should search for a paper by AQR Capital. They do a study of monthly rotation based off of previous 12month return and I believe Book Value. They test them seperately and together. They test it over stocks within an index, stock indexes, commodities, and I think some fixed income. It is a prett...
by drm7
Tue Apr 12, 2011 9:03 am
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13067

Thanks for the quick feedback, Anthony and rgd! I think you both have excellent points. @rgd - You have a great point, and my (limited) test shows that it may be more cost-effective just to run a straight trend-following system on a broad market index rather than mess with sector ETFs and rankings. ...
by drm7
Mon Apr 11, 2011 8:21 pm
Forum: Stocks
Topic: ETF Momentum System
Replies: 19
Views: 13067

ETF Momentum System

I spent a lot of time on here and have "taken" a lot of great info from some very generous people. This is my humble effort to "give" a little bit, even though this isn't a huge breakthrough. The excel 2004 attachment runs a "ranking" momentum system on the sector SDPRs. It's simple. Take the top x ...
by drm7
Tue Mar 29, 2011 4:38 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78099

I was wondering if there are other, "semi-fundamental" filters that can also be used to rationalize the stock universe for a long-only trend-following system. For example: Industry/SIC Code - Tech companies, retailers, resource (oil, mining) companies may have more "fuel" to drive those really long ...
by drm7
Mon Mar 28, 2011 3:34 pm
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 7639

>Jens Looks like your "blunt instrument" (to quote Eckhardt) seems to work for you. How has the actual performance and R-squared of the equity curve matched your backtest? On a similar note: your 2007 test set commissions at zero - does commissions and slippage noticably hurt your "live" performance...
by drm7
Tue Mar 15, 2011 1:26 pm
Forum: Testing and Simulation
Topic: Black swan
Replies: 43
Views: 12110

I would think that, for an automated system developer, I would be less worried about what's going on now , since my stops would take me out of "the wrong side of the market." I would be more concerned about my system's ability to stay reasonably solvent after multiple, significant gaps through my st...
by drm7
Wed Feb 16, 2011 10:35 am
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 30050

This is great work Sluggo! My concern with the conclusions lies more with the practical outcome of this analysis rather than the theory. First of all, correlations aren't stationary, and second, the original systems behind the original two (or three or four) equity curves may break down anyway, rend...
by drm7
Mon Jan 17, 2011 12:44 pm
Forum: Forex
Topic: Obtaining forex intraday data
Replies: 8
Views: 6006

Dukascopy provides free intraday day on its website. You have to download it day by day, but you may be able to find a script to automate it. Both the bid and ask data are provided - you need to average it yourself. The other quirk with the data is that it is in OCHL format, not OHLC. You may be abl...
by drm7
Sun Jan 09, 2011 8:49 pm
Forum: Market Psychology
Topic: Economist Article on Trendfollowing
Replies: 4
Views: 9267

Economist Article on Trendfollowing

Just read an interesting article in The Economist which talked about trend-following - and the possible reasons why it has worked over the past, oh, 100 years.

Why Newton was wrong
by drm7
Wed Jan 05, 2011 11:26 am
Forum: Testing and Simulation
Topic: Profit Target exits improve this system's performance
Replies: 63
Views: 30604

Great thread on a great forum! Levi, While it may be tedious to do so with 20 different markets, take a look at the overarching "regime" of the backtest period by staring at the appropriate charts. The multi-year blockbuster trends of the late 70's and early 80's may have shortened up a bit or have ...
by drm7
Fri Dec 31, 2010 7:29 pm
Forum: Futures Markets
Topic: Suspicious data
Replies: 51
Views: 27191

@Eventhorizon: Google "market profile" for information about trading this type of information.

Looks like Cocoa took out all the Turtles who had stops at the 10-day low on September 30th. Poor guys!
by drm7
Mon Nov 22, 2010 10:22 am
Forum: Forex
Topic: How does Swiss relate to Gold?
Replies: 2
Views: 2454

Both CHF and EUR are currently correlated with Gold as an "anti-dollar" trade, although, paradoxically, EUR is a proxy for risk-taking and CHF is a proxy for safety. This relationship implies that EUR may decouple from gold as the macro concerns around Ireland, Spain, Greece, etc., put pressure on t...