Traders' Roundtable

I have noticed that moving median takes quite a bit longer to calculate than an EMA. Yes - the median calculation is a fairly bit more computer-intensive, which is not a real issue nowadays, but I suspect it is one of the reasons why Moving Averages have been so much more popular than the Median (i...

After a good night's sleep, I realised that some of my comparison above is somewhat flawed. The linear adjustment used to normalize both system performances (linear calculation of CAGR when setting MaxDD equals) is "theoritically interesting" but does not offer much practical value. Indeed...

sluggo, First off - thanks for sharing this blox (on other thread) and study. Had some fun with it and it generated quite a few good thoughts... I have to say I would intuitively lean towards your friend's Tommy' opinion (ie that one of Trend Following's main mantra is to let winners run and therefo...

Cococa was recently in the news with Anthony "Choc Finger" Ward buying a bulk load of cocoa beans... http://www.telegraph.co.uk/foodanddrink/foodanddrinknews/7897075/British-financier-Anthony-Ward-behind-658m-cocoa-trade.html Could it be his footprints? (you'd think it would not try to off...

Its about to be I have it going back years Im about to post it on my website which will launch in about 1 month I have the index broken down to other sub sectors and groups also It took me years to put this stuff together and I think it gives a good reflection of TF performance as opposed to "...

How about that search facility

cheeky but quite funny...

Quick question relating to ETF's - Been looking at them omline - researching the net - if someone wanted, say, exposure to Germany - why would they buy a German ETF when they could buy the DAX PPP spreadbetting and pay no tax, no commission and no wide bid / offer spread ? I havent researched the m...

Forgot to mention.. I did some further analysis on Crude Oil with volume checking/constraints. I output the volume of chosen contract vs. volume of most liquid contract and did some analysis on these numbers (hoping they would prove liquidity was always good - if the method is good enough for DB, it...

Take a look at DB Optimum Yield version of their commodity indicies Thanks svquant, I was not aware of this index/ETF - and it seems encouraging if a big fund can implement this sort of strategy (ie it means it should be viable for smaller traders...) Indeed, they only have 14 components in their i...

I suppose this could be a "best of both worlds" general approach, in which you would define a rolling-over deadline for each contract (ie buffer before Exp/FND) - but by also tracking the liquidity, you'd have the option to roll over before that deadline with the volume shift. Obviously fo...

I have to admire the report you created, it really provides a depth of analysis... So... assuming I'm not going to explore other roll timing methods (like OI, volume, etc.), If liquidity is such a concern (and I guess it ought to be), why not use it as an input in the rolling method (ie roll on volu...

Thanks for the feedback sluggo. I am actually using the CSI API to extract all individual contracts into separate file so I'll try to enhance the code to include liquidity/volume in the export and record the actual volume in further contracts compared to the front-month contract to see if it drops t...

Why not trade Spot Brent or WTI directly? Scroll down to end of http://www.gft.com.au/sheets/cfd/commodities.asp There could be a couple of reasons: - being long (short) a contract in backwardation (contango) should add a positive roll yield to the spot price move - you'd probably want to be able t...

The so-called "roll yield" can sometimes have a strong impact on the return of a future contract. A prime example being how it was impossible to match crude oil spot price performance using futures in 2009. (A) (B) (C) (D) [shameless plug to a blog post with charts illustrating that point ...

GFT are the only true spreadbeting company I've come across who have an API. They're a bit protective of it, I think mainly because they worried about being arbed by scalpers. They seemed quite happy when I talked to them about using it for LTTF-style trades. I never got around to taking it further...

Anybody know if Active Trader is sold anywhere in London.
I'd fancy reading that article.. but I tried WH Smith, Foyles, and Waterstones (and Borders is gone). Nobody's got it and it's not avaliable online on the activetrader site (yet?)

Sluggo, I think you're probably talking about Amibroker, which I've researched, along with TradersStudio & Wealth-Lab Pro. I've noticed that Amibroker is very cheap and has great reviews, but that the drawback is the programming learning curve, which I'm not sure is worth the money saved, consi...

mmmmh - I have different values in "my" CSI:

Corn #9 Low: 354.60
Corn #412 Low: 353.40

both values for 08/02

I just downloaded data 30 mins ago

I do not wish to post the actual code I used to generate the back test but HotTip will be able to get close if he uses the following Blox all of which come with TB or are available on the Blox Marketplace. Anthony, I am expecting your book on Trend Following with ETF anyday now (Amazon has shipped ...

Hey klatt_attack, it looks like you are making great progress on this. Good idea on the blog too - I find that mine helps me to keep on track too - is yours public or private? Also I was wondering what is your goal in building this compared to using CSI roll algorithms which have a lot of options al...