Search found 59 matches
- Fri Oct 05, 2012 7:21 am
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Thu Oct 04, 2012 8:02 pm
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Thu Oct 04, 2012 7:33 pm
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Wed Oct 03, 2012 7:35 pm
- Forum: Testing and Simulation
- Topic: Rolling Correlations
- Replies: 3
- Views: 3991
- Wed Oct 03, 2012 7:34 pm
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 33970
- Wed Oct 03, 2012 4:40 pm
- Forum: Testing and Simulation
- Topic: Rolling Correlations
- Replies: 3
- Views: 3991
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...
- Wed Oct 03, 2012 8:33 am
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 33970
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 ...
- Tue Oct 02, 2012 7:59 am
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 33970
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...
- Mon Oct 01, 2012 11:43 am
- Forum: Trader Psychology
- Topic: Seykota's FAQ
- Replies: 38
- Views: 33970
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 ...
- Wed Sep 12, 2012 2:28 pm
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Tue Sep 11, 2012 8:42 am
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Mon Sep 10, 2012 2:36 pm
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
- Mon Sep 10, 2012 1:25 pm
- Forum: Testing and Simulation
- Topic: Issues with CSI
- Replies: 18
- Views: 10406
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 ...
- Mon Sep 10, 2012 1:19 pm
- Forum: Testing and Simulation
- Topic: Traders, learning to write computer programs
- Replies: 20
- Views: 13239
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...
- Fri Jul 03, 2009 10:28 am
- Forum: Testing and Simulation
- Topic: Historical margin data
- Replies: 0
- Views: 4999
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 goe...
- Sat Jun 20, 2009 2:43 pm
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30155
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...
- Wed Jun 17, 2009 3:08 pm
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30155
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...
- Wed Jun 17, 2009 12:16 pm
- Forum: Futures Markets
- Topic: Maintenance margin in foreign markets?
- Replies: 4
- Views: 4481
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...
- Tue Jun 16, 2009 10:09 am
- Forum: Testing and Simulation
- Topic: margin in testing
- Replies: 3
- Views: 4517
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...
- Sun Jun 14, 2009 9:42 am
- Forum: Testing Software
- Topic: Benefits of custom software vs. Trading Blox
- Replies: 18
- Views: 14970
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...