Search found 83 matches

by 7432
Thu Sep 17, 2009 8:18 pm
Forum: Testing and Simulation
Topic: up or down bias in back adjust continuous data?
Replies: 2
Views: 2707

the bias comes from adjusting a back-adjusted contract up or down to close the gap from one active month to the next. if the adjustment is always the same direction far out data can look cheap representing a bullish bias on a chart and in the data. in may of 1984 the june 30yr US bond was actually t...
by 7432
Thu Aug 13, 2009 12:51 pm
Forum: Testing Software
Topic: Which TB upgrade?
Replies: 2
Views: 4899

looks like the multi money manager(has volatility adjusted) and a strength and direction filter both came with my pro version of trading blox.
a search of the blox market place should bring up some other money managers and filters, but again I think you'll need the pro version to add blox.
by 7432
Wed Jul 08, 2009 11:44 am
Forum: Data Providers and other non testing software
Topic: Trouble with csi #956 or csi O3 (OMX 30)
Replies: 12
Views: 7837

be careful with csi's roll by days before expiration. last time I checked csi said that it doesn't work real time, only for testing because the system doesn't actually know expiration before it happens.
by 7432
Wed Jul 08, 2009 2:14 am
Forum: Data Providers and other non testing software
Topic: Trouble with csi #956 or csi O3 (OMX 30)
Replies: 12
Views: 7837

all my foreign indexes(and bonds) roll on a specific date to get around this problem. I have to look ahead and change the dates every 6 months or so and sometimes I might roll 2-5 days too early but I figure that's better than having IB just liquidate the position. if you want to stick to OE you mig...
by 7432
Wed Jun 10, 2009 10:37 am
Forum: Futures Markets
Topic: Maintenance margin in foreign markets?
Replies: 4
Views: 4476

here is IB's list of initial and maintenance margin and the currency required.
http://www.interactivebrokers.com/en/p. ... entity=llc
by 7432
Mon Apr 27, 2009 10:35 am
Forum: Brokers
Topic: IB's accumulate/distribute
Replies: 2
Views: 5692

IB's accumulate/distribute

IB added a couple new(to me) tools in the last update. I used the accumulate/distribute for a futures and options order today, an impressive function. lots of variables available, my favorite on the options side being an implied volatility condition. for a simple futures order in a thin market, you ...
by 7432
Thu Apr 09, 2009 10:56 am
Forum: Futures Markets
Topic: LTTF and the Eurodollar Futures
Replies: 7
Views: 6962

you could roll out to 2011 or 12 and give your system a couple more points to the upside, june 2012 trades 96.905. during the crazy times a few months ago when nobody could guess how low rates would go, the cme listed strikes above 100, I think all the way to 105. so somebody somewhere doesn't think...
by 7432
Sat Mar 07, 2009 10:50 am
Forum: Data Providers and other non testing software
Topic: CSI Download Problems UA 2.9.3
Replies: 18
Views: 12693

version 2.9.3 build 11 no problems all week. but of course when I tried to download now to test I got the same error. maybe its a special weekend thing, server maintenance or something. I was able to perform other functions like database integrity search and refresh database price history for indivi...
by 7432
Wed Feb 25, 2009 9:09 pm
Forum: Testing and Simulation
Topic: Filtering Trade Signals
Replies: 3
Views: 3259

for me the tradeoff between risk and return with total and correlated units comes down to being in the game for the long term. I like to test a system against shock moves when everything becomes correlated and tighten the positions taken so that I think I could have handled the big drawdown. it migh...
by 7432
Wed Feb 25, 2009 2:26 pm
Forum: Data Providers and other non testing software
Topic: CSI roll by days before expiration
Replies: 0
Views: 2862

CSI roll by days before expiration

I couldn't find this so I thought I would post it for future reference and searches. when using CSI the 'roll by days before expiration' option under edit file in portfolio does not work for real time trading. csi does not know the actual date of expiration, say 3rd friday of month or 3 business day...
by 7432
Sun Jan 18, 2009 7:37 pm
Forum: Testing and Simulation
Topic: CSI and number of markets
Replies: 5
Views: 4034

I purchased 11 more for my use, it wasn't very much money to add. but you don't need to pay extra and it was the csi guy that told me how to do it. update your 69 markets, delete 10(or 50), add the 10(or 50) you want and update them. your files will now have 79(or 119) markets with updated data for ...
by 7432
Thu Jan 08, 2009 10:04 am
Forum: Futures Markets
Topic: London coffee contract size just doubled
Replies: 13
Views: 11717

pretty funny really.
out of all ib's customers you might be the only one trying to trade london coffee. it might have gone months without someone else asking why orders were not accepted.
by 7432
Tue Jan 06, 2009 1:31 pm
Forum: Futures Markets
Topic: London coffee contract size just doubled
Replies: 13
Views: 11717

IB says this is a CFTC issue.
by 7432
Tue Jan 06, 2009 11:22 am
Forum: Futures Markets
Topic: London coffee contract size just doubled
Replies: 13
Views: 11717

I get the same response.
I've been told by IB that the swiss market index is correct, no cftc approval for US people.
tough to say with coffee. maybe the cftc has not approved the new contract yet. or maybe its just paper work on someone's desk waiting to be stamped.
by 7432
Fri Dec 19, 2008 8:11 pm
Forum: Brokers
Topic: Interactive Brokers Trading Foreign Markets
Replies: 2
Views: 6680

I only trade futures and options, no stocks. my experience has been positive since I switched to IB(from MF) in 2002. with the universal account they get a piece of the action every time they rebalance your margin using their own forex quotes. not a big deal and frees up any worries about paying att...
by 7432
Mon Dec 15, 2008 11:59 pm
Forum: Data Providers and other non testing software
Topic: euro shatz data
Replies: 2
Views: 3228

thanks for that, I was looking at everything but the other tradable shatz contracts.
I have the roll based on when IB starts sending me nasty emails about first notice and forced liquidation.
keeping the contract in sep for a few more days gets rid of the 'bad' dec open/low print.

thank you
by 7432
Mon Dec 15, 2008 9:07 pm
Forum: Data Providers and other non testing software
Topic: euro shatz data
Replies: 2
Views: 3228

euro shatz data

could someone with a data supplier other than csi please check out the euro shatz data for 19980907? open and low of 98.395 looks very out of place. it is possible since the US 2 year was closed that day but there was no action in the bobl that corresponds. I've emailed csi about it but no response ...
by 7432
Fri Dec 12, 2008 7:25 pm
Forum: Money Management
Topic: Quant/Quant-Discretionary Trading Dilemma
Replies: 14
Views: 12243

my problem with increasing leverage is I've never had 100% confidence in any system, especially during a drawdown. if you have near 100% confidence in your system you are really protected on the downside by your system's worst case scenario, so why not ratchet up the risk and swing for the fences? y...
by 7432
Fri Dec 12, 2008 11:41 am
Forum: Futures Markets
Topic: London coffee contract size just doubled
Replies: 13
Views: 11717

For IB, just type in D again.
for jan,you will actually get a choice for the 5 or 10 ton contract. after jan you just get the 10 ton.
by 7432
Mon Nov 24, 2008 8:36 pm
Forum: Testing and Simulation
Topic: portfolio cherry picking
Replies: 8
Views: 6492

so I finally got around to doing the obvious with this question. I pretended it was late 2000 and I was getting ready to trade. I tossed out any market that had not performed over the last 16 years or so(14 of 62 were tossed) and retested getting better CAGR, MAR and other stats. at this point it wa...