Search found 62 matches
- Sun Jul 24, 2011 3:02 pm
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18280
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 ...
- Sat Jul 23, 2011 9:14 am
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18280
- Fri Jul 22, 2011 11:11 pm
- Forum: Testing and Simulation
- Topic: Teach me about trading spreads (futures)
- Replies: 26
- Views: 18280
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...
- Tue Jun 28, 2011 7:39 am
- Forum: Forex
- Topic: Best FX Brokers
- Replies: 19
- Views: 19952
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...
- Mon Jun 27, 2011 10:41 am
- Forum: Testing Software
- Topic: TBB backtesting and intraday FX trading
- Replies: 1
- Views: 4100
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++/...
- Wed Jun 15, 2011 9:09 am
- Forum: Stocks
- Topic: On building a Platform for Very large test
- Replies: 13
- Views: 15276
- Fri May 20, 2011 10:33 pm
- Forum: Testing and Simulation
- Topic: Has anyone tried using Fractal properties for testing?
- Replies: 5
- Views: 4067
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...
- Tue Apr 19, 2011 3:03 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 109837
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...
- Wed Apr 13, 2011 3:03 pm
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 20579
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...
- Tue Apr 12, 2011 9:03 am
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 20579
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. ...
- Mon Apr 11, 2011 8:21 pm
- Forum: Stocks
- Topic: ETF Momentum System
- Replies: 19
- Views: 20579
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...
- Tue Mar 29, 2011 4:38 pm
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 109837
- Mon Mar 28, 2011 3:34 pm
- Forum: Testing and Simulation
- Topic: Things you might do, even though they HURT performance
- Replies: 14
- Views: 11791
- Tue Mar 15, 2011 1:26 pm
- Forum: Testing and Simulation
- Topic: Black swan
- Replies: 43
- Views: 21608
- Wed Feb 16, 2011 10:35 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47333
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...
- Mon Jan 17, 2011 12:44 pm
- Forum: Forex
- Topic: Obtaining forex intraday data
- Replies: 8
- Views: 11205
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...
- Sun Jan 09, 2011 8:49 pm
- Forum: Market Psychology
- Topic: Economist Article on Trendfollowing
- Replies: 4
- Views: 14226
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
Why Newton was wrong
- Wed Jan 05, 2011 11:26 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 48316
- Fri Dec 31, 2010 7:29 pm
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 50445
- Mon Nov 22, 2010 10:22 am
- Forum: Forex
- Topic: How does Swiss relate to Gold?
- Replies: 2
- Views: 4624