Search found 102 matches
- Fri Apr 30, 2010 10:28 am
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31860
Emptor, if I had to use continuous contracts I'd probably do like Sluggo. But, I'd keep in mind (for further analysis at a later date) that futures contracts change over time. Point values, contract sizes, notice dates, etc. are not static. What's valid today may not have been so ten years ago. Anot...
- Fri Apr 30, 2010 6:00 am
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31860
- Thu Apr 29, 2010 8:29 am
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31860
- Mon Apr 26, 2010 8:47 am
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31860
Personally, I don't think there is any standard roll methodology that is universally applicable to all futures contracts. For certain markets, like currency futures and stock index futures nearly all the liquidity resides in only one contract at a time. For other markets like corn, nat gas, eurodoll...
- Fri Apr 23, 2010 1:13 am
- Forum: Market Psychology
- Topic: How to change trader's mind set?
- Replies: 5
- Views: 10168
Re: How to change trader's mind set?
When trader is on losing position, he is willing to take more risk in order to cover the original equity, so he will invest more on average. When trader is on winning position, he is afraid to lose his existing profit and not willing to take more risk, so he will take profit quickly. Trader should ...
- Sat Apr 10, 2010 12:42 am
- Forum: Testing and Simulation
- Topic: New goodness function
- Replies: 14
- Views: 8025
- Fri Mar 12, 2010 5:13 pm
- Forum: Testing and Simulation
- Topic: London Metals Exchange data & backtesting
- Replies: 15
- Views: 13943
You can trade whichever prompt dates you like (I happen to prefer the 3rd Wednesday of the month) and you can roll them whenever you like. One thing you could do, if you wished, is to initiate new a position in a prompt date 4 months away. When a month passes (making it now a 3 month forward), roll...
- Fri Mar 12, 2010 4:46 pm
- Forum: Testing and Simulation
- Topic: London Metals Exchange data & backtesting
- Replies: 15
- Views: 13943
Because as with COMEX copper, they are normal futures contracts, often in contango, and by comparing the spot chart with the back adjusted chart you can see the effect of contango in the same way as you can with Eric's charts above. Without constructing the synthetic 3 month contract (putting LME m...
- Fri Mar 12, 2010 4:41 pm
- Forum: Testing and Simulation
- Topic: London Metals Exchange data & backtesting
- Replies: 15
- Views: 13943
- Thu Mar 11, 2010 6:44 pm
- Forum: Testing and Simulation
- Topic: London Metals Exchange data & backtesting
- Replies: 15
- Views: 13943
London Metals Exchange data & backtesting
I've been studying the LME contracts for a couple of months now. I'm convinced that backtesting on the LME data that comes out of CSI (or any other data source I've seen) is not realistic. The data are price quotes for a new 3 month forward. The day after you purchase a forward contract it ceases to...
- Tue Mar 02, 2010 8:32 pm
- Forum: Testing and Simulation
- Topic: Platform to Trade Foreign Markets
- Replies: 11
- Views: 7282
Rightly or wrongly, I base my signals off the rolling 3 month prompt price available in CSI even though after entry, my position will be in a progressively shorter dated prompt date. Intuitively it seems to me that one could create a synthetic that reflects the cumulative impact of real-life contan...
- Mon Feb 22, 2010 7:57 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 114189
I've been following your research ecritt and it seems sound. Thanks for making your work public. I would like to implement something like this myself on a long-short basis, but it doesn't seem feasible holding over a thousand positions in accounts under 500k or so. Interactive Brokers's $1 minimum ...
- Mon Aug 03, 2009 2:57 pm
- Forum: Stocks
- Topic: Historical NYSE open prices
- Replies: 6
- Views: 10146
- Sun Aug 02, 2009 3:18 pm
- Forum: Stocks
- Topic: Historical NYSE open prices
- Replies: 6
- Views: 10146
I've been using market on open orders for 6 years now. I've done over 10,000 stock trades using Interactive Brokers. I compare my fill price to the opening price reported by CSI. It's very rare that these two prices disagree in any kind of material way. In other words, the relationship between the &...
- Tue Jul 14, 2009 7:39 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
- Mon Jul 13, 2009 9:35 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
- Mon Jul 13, 2009 9:22 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
- Fri Jul 10, 2009 2:52 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
You are absolutely correct. I'm not making a case for technical analysis. In over 10 years of full time effort the only edge I've found that's consistent across decades and continents has to do with the fact that the vast majority of a market's gains have come from a small minority of stocks. Likewi...
- Wed Jul 08, 2009 11:19 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
- Wed Jul 08, 2009 7:22 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52458
Question: Why would you think this stock's price doesn't already reflect all of this stuff? Because I would be thinking that, for a variety of reasons, markets aren't terribly efficient? Couldn't we ask the same question of e.g. trend following? In fact, could some trends be related to periods of p...