Search found 154 matches
- Fri May 01, 2009 9:20 am
- Forum: Testing and Simulation
- Topic: Mean reversion system
- Replies: 35
- Views: 25689
Keith Fitschen (of Abberation fame) gave a presentation a few years back where he presented a study on trend versus countertrend trading approaches. He used over 7,000 equities from 1980 to 2002 and concluded that trend following worked better on commodites and counter trend worked better on equitie...
- Thu Apr 23, 2009 2:49 pm
- Forum: Testing and Simulation
- Topic: Futures global settings
- Replies: 2
- Views: 2765
- Fri Apr 17, 2009 10:37 am
- Forum: Futures Markets
- Topic: London Sugar?
- Replies: 10
- Views: 8349
I saw that London Sugar down spike too - oh the humanity as Sluggo amusingly put it. Good for Sluggo to still be in his long trades on this one but those stopped out shouldn't feel so bad IMHO (you can always put your positions back on at the market if you believe it is an abberation). As Sluggo has...
- Thu Mar 12, 2009 10:13 am
- Forum: Testing and Simulation
- Topic: Shorter term mean reversion system for ETFs
- Replies: 7
- Views: 6623
Re: Shorter term mean reversion system for ETFs
The system is in the Jan 2009 issue of Stocks and Commodities magazine. The (article) is on their website today; I don't know whether they'll keep it on the site forever, or take it down and urge you to buy a reprint for $9.95. I used to subscribe to this rag some years ago. I stopped and they kept...
- Fri Mar 06, 2009 9:28 am
- Forum: Testing and Simulation
- Topic: Maximizing Margin
- Replies: 17
- Views: 9581
levijean, just saw your post, have you checked out discussions on this topic from a year ago or so? Although that applied to futures, maybe you can glean something from it for FX. I like the way you think on this one since I also believe in maximizing my margin usage - I see no sense in having my ri...
- Thu Feb 26, 2009 11:56 am
- Forum: Testing and Simulation
- Topic: Filtering Trade Signals
- Replies: 3
- Views: 3265
- Tue Feb 24, 2009 12:05 pm
- Forum: Futures Markets
- Topic: List of ~300 Futures contracts retail customers can trade
- Replies: 5
- Views: 5494
- Mon Feb 23, 2009 12:06 pm
- Forum: Data Providers and other non testing software
- Topic: CSI vs Pinnacle data ?
- Replies: 26
- Views: 26762
Just as a follow up to my previous post here, I have since subscribed to CSI data (Fall of 08) and continue to subscribe to Pinnacle Data as well. Have been meaning to do a review and comparison of both but have not found the time. If anyone wants to PM me please do so. In a nutshell, both have pros...
- Sun Jan 25, 2009 12:58 pm
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16609
Keep 'em coming Adamant - I like your choices. May I add this old chestnut from Yale Uni:-
http://papers.ssrn.com/sol3/papers.cfm? ... _id=560042
Jim Rogers was quoting this study for awhile. I'm reminded of it everytime I try to trade equities and fail miserably...I find futures much safer.
http://papers.ssrn.com/sol3/papers.cfm? ... _id=560042
Jim Rogers was quoting this study for awhile. I'm reminded of it everytime I try to trade equities and fail miserably...I find futures much safer.
- Fri Jan 16, 2009 10:45 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16609
Thanks for sharing this link - I hadn't seen that one. Anyone contemplating the idea of winning at trading would do well to read this article to know what we are all up against.adamant wrote:Interview with Jim Simons from 2000.
http://chinese-school.netfirms.com/abac ... imons.html
- Wed Dec 31, 2008 11:17 am
- Forum: Testing and Simulation
- Topic: Testing on Electronic data v Pit data
- Replies: 3
- Views: 3249
We talked about this issue over a year ago...I know I posted about it as well and looked into various solutions along the lines of what Sluggo suggested above. I like the idea of parsing intraday data around volume and creating synthetic daily bars, effectively throwing out thin volume overnight typ...
- Thu Oct 30, 2008 10:21 am
- Forum: Data Providers and other non testing software
- Topic: EOD Data with true electronic close
- Replies: 3
- Views: 4101
- Thu Oct 23, 2008 4:27 pm
- Forum: Futures Markets
- Topic: Trading markets that are electronic & pit
- Replies: 13
- Views: 10937
- Thu Oct 23, 2008 3:13 pm
- Forum: Futures Markets
- Topic: Trading markets that are electronic & pit
- Replies: 13
- Views: 10937
Just thought I'd add my thoughts so far. I've been playing around with Tradestation which I use for intra-day stuff. If any of you have TS you might try this. I brought up the electronic data, but within Pit RTH i.e. day session. I then set the number of minutes in each bar to slightly longer than ...
- Tue Sep 02, 2008 4:03 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Default screen?
- Replies: 11
- Views: 9531
- Mon Aug 25, 2008 3:26 pm
- Forum: Testing and Simulation
- Topic: Robustness vrs New Markets
- Replies: 9
- Views: 8056
Sluggo - Yeah I like the thermal bbo and I like the idea of limiting heat per sector / group but as per my earlier postings I dont have the skills to program that and I cannot understand why the group risk manager is not working - the one that ships with TB Blox Builder - as I said before Ive got m...
- Sat Aug 23, 2008 11:30 am
- Forum: Testing Software
- Topic: Trading system daily reports, an example
- Replies: 2
- Views: 6568
- Sat Aug 16, 2008 8:19 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Default screen?
- Replies: 11
- Views: 9531
Um, Leap, I don't think hedge funds use CSI Unfair Advantage. For two reasons: (1) Hedge funds generally prefer the institutional data providers and can afford to pay the (incredibly higher) price; (2) Unfair Advantage is not offered to professionals, see their license agreement (here) . CSI's prof...
- Sat Aug 16, 2008 1:43 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Default screen?
- Replies: 11
- Views: 9531
Same as Asamat here Tim - UA in its own directory folder under the C: prompt - XP Pro. Isn't it amazing that a product out for so long with presumably the lions share of the data vendor market for retail and probably a bunch of hedge funds, does something so stupid as not to remember the preferred s...
- Fri Aug 15, 2008 1:48 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Default screen?
- Replies: 11
- Views: 9531
Now we're getting somewhere - clearly this is the devil file. Well, I can open it, change DefaultWindowHeight and hey presto, the window height changes...save it, reopen it...same as when last closed...but, the PortfolioPanel width is a different story. When I change that setting manually, open UA, ...