Search found 109 matches
- Sat Jul 14, 2012 10:55 am
- Forum: Testing and Simulation
- Topic: The usual format of intraday historical data
- Replies: 4
- Views: 3066
- Tue May 08, 2012 4:35 pm
- Forum: Testing and Simulation
- Topic: Triple MA Entry Flaws?
- Replies: 1
- Views: 1927
- Thu Feb 16, 2012 9:44 am
- Forum: Testing and Simulation
- Topic: Sharpe Versus Annual Sharpe
- Replies: 7
- Views: 4677
- Mon Feb 13, 2012 1:31 pm
- Forum: Testing and Simulation
- Topic: Historic Rollover Rates
- Replies: 2
- Views: 2131
You are correct that rollovers are not recorded in the trade log or accounted for as separate trades. Rather, when the value in the contract month field of your data file changes, Blox debits a roll expense if the instrument currently has a long or short position. You can check in scripting for a ro...
- Wed Apr 18, 2007 9:28 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
Hi Paul, Excellent job digging into CSI and experimenting. I always find such expeditions fruitful. However, I see something different on my charts concerning changes in Total Open Interest. Also, though there is certainly a dip in the individual OI around practically any roll date, the shape of tha...
- Sat Mar 31, 2007 7:33 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
Perhaps the fact that the actual contract data performs at the bottom of the pack in the table on page 90 of Chande's book has something to do with his choice of roll date as well as the impact of rollover costs. The screenshot below from CSI is of a continuous backadjusted SF contract that rolls on...
- Sat Mar 31, 2007 7:06 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
- Fri Mar 30, 2007 6:46 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
Angelo, Chande's results from table 3.12 of the book assume that zero rollovers occur with the continuous contract. He also defines a trade as 1 entry plus 1 exit, regardless of whether the trade is a rollover. Thus, a system that trades a continuous contract that enters a position on January 1, and...
- Wed Mar 28, 2007 3:31 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
- Wed Mar 28, 2007 11:26 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
Angelo, I don't mean to appear argumentative, and I have no kind of dogmatic attachement to backadjusted price series. I don't think you are arriving from the moon. It could be that all of us trying to give assistance are missing the point entirely. What will help immensely is if you can go through ...
- Tue Mar 27, 2007 11:59 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44695
Hi Angelo, Perhaps you will find some information here that will help you with your question. If you work a few examples you may come to understand that the gap between the old active contract month and the new active month has no bearing on trading profits within the context of continuous back/forw...
- Thu Mar 01, 2007 11:12 am
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50251
Michael Clarke is a CTA with a long and respectable track record. I find his comments (excerpted from the blurb about his programs on the IASG website) about model development interesting. I find especially interesting his thoughts on out of sample testing, which I have highlighted in bold below. CC...
- Wed Feb 28, 2007 10:35 pm
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50251
Great Work Nickmar! Here is a slightly altered version that allows the user to choose exactly how many markets from each sector to include. For instance, you might want to create a portfolio that always has 4 stock indices, but always has 2 Long Rates. It might be useful for creating random portfoli...
- Fri Dec 08, 2006 10:55 am
- Forum: Testing and Simulation
- Topic: Slippage - Interesting figure
- Replies: 23
- Views: 21736
you should be testing the system for one entry, one exit, and 16 rollovers on that trade, instead of testing the system for one entry and one exit on that trade. Yes, exactly. Trading Blox (and some other programs) allow you to test in this way. In fact, as Sluggo points out, you can even test more...
- Mon Mar 06, 2006 1:35 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
- Replies: 15
- Views: 18746
I have not heard anything from CSI, but this morning I went into the factsheet and altered the price format (per Mr. Garner's above post ) for SXE from 2 to 1 and the point value from EUR .1 to EUR 1.0. My SXE prices now match those of the SXX and the Eurex quote. Funnily enough, the cash price for ...
- Thu Mar 02, 2006 1:15 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
- Replies: 15
- Views: 18746
- Thu Mar 02, 2006 12:13 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
- Replies: 15
- Views: 18746
Hmm? Looks like the way you see price data quoted from CSI varies by individual. Check out how my CSI setup looks for #529 and #530. I just did a history refresh, but nothing changed. Interesting the differences between the backadjusted futures prices and the cash price listed for each market. For t...
- Tue Jan 24, 2006 2:04 am
- Forum: Testing and Simulation
- Topic: Reversion to Mean on Equity Curve - Looking for Demark's
- Replies: 2
- Views: 3717
- Fri Dec 16, 2005 3:30 pm
- Forum: Data Providers and other non testing software
- Topic: Google Data
- Replies: 21
- Views: 23316
you might be interested in virtual machines. This seems like a tool to run multiple operating systems on one machine. What happens if you take your computer case and hit it a few hundred times with a sledge hammer or set it on fire? I don't think this solves the problem. Also, am I right in thinkin...
- Fri Nov 18, 2005 1:17 pm
- Forum: Money Management
- Topic: CAPITAL REQUIREMENT
- Replies: 10
- Views: 13311