Traders' Roundtable

Hi Josh, Wow, thank you for the answer. Alas, you are describing a very dangerous piece of software! Essentially you are saying there are two separate semantics. First, historic data IGNORES the "...Rolling Overrides" setting. Most unwise, but let us continue. Second, for each day, the &qu...

Hi Demon, Yes, good point, this is why I set Advanced >> Contract Expiry >> "Contact Expiration Rules" manually and set Roll by days before expiry=10 1 Month Prior to 15th day of month MINUS the 10 days should have triggered roll on 1 Month Prior to on the 5th day of the Month. It did not....

Sluggo, Yes, Exchange could have reported bad data. All exchanges make erroneous reports. Data providers know that and have front end data edit programs to identify potential problems. CSI has a data validation department where the staff does catch and correct a lot of errors. In this case, the data...

This is a general roll trigger bug. BL2 Milling Wheat is just an easy to follow example, but you can look for your own. Nature of bug: Contract Expiry override does not work consistently. Wheat settings: Roll Tigger=Open Int Confirmation=Roll on 1st Trigger Roll by Days Before Expiry=10 Contract Exp...

Bad Open Interes data for Wheat (Milling) causes rolling problems. Using CSI UA 2.7.10.119 Beta On April 14, the 2004-May contract has Open Int=3,681 On April 15th, OpenInt=5,781 On April 16th, OpenInt=3,707 See below... The only trouble is that the day open interest INCREASED by 2,100 contract alth...

Levi wrote: "For me, the conflict is that getting out of 99% of the position at 1R (leaving 1% in so the system doesnt jump back in the trade) is better than letting it ride. Again, this goes against all the theory of why LTTF works: returns arent normally distributed - you need to capture the ...

Sluggo,

Thank you.
And thanks to Shane also.

L

Hi Bollinger,

Thank you for posting.
Interesting.

Does Newedge offer accounts to private traders?
Anyone using them?

L

Hm, One has to wonder what such models do... Any possibility of rethinking the trading heuristic so compute intensive parts could be implemented as pre-processes? Some traders have implemented speed critical Easy Language components with ADE (All Data Everywhere) and could show 1,000 for speed up fo...

RTS index shows Contract Volume of 410,712 on 2008-05-28. On 2008-5-30, volume is 19 contracts. CSI Name = RIX CSI # = 1049 This is not just a bad roll, contract does not look right after May 28, 2008. See image. According to the Futures Industry Association, the RTS Index has experienced > 60% grow...

Is anyone back testing or trading S&P CNX Nifty 50 Futures? Looking at CSI #742, NIF0@iob.txt wo bars seem suspect, 2004-09-20 2004-11-24 The Nov 24th bar Open is some 300 points from Close. Makes me wonder about data error... I am not suggesting that such price moves are not possible, but I cou...

Hi Chris,

Thank you for posting.
You confirmed my suspicion that
Minimum Tick should be 1 and not "25".

With so many markets, confirming every detail is grunt work.

L

Sluggo Thank you indeed. You are quite correct. In fact, I was going to delay the test trade 'till after I finish going through every desired market in the FuturesInfo file. Given you suggesting, a very useful one, I shall do just that. Data administration is such a dull task. It can tire one quickl...

Sluggo, Thank you. Yes, messing up BPV is one of the costliest mistakes one can make. Thank you for the suggestion. I'll follow up & make a test trade with the specific broker-datafeed combination. At moment, I am configuring, back testing, & coding, so just need to have setting verified. So...

Has anyone made a trade FTSE/ASE 20 Athens Index with following FuturesInfo settings? CSI #659, Symbol "ATF" _Big Point Value=5 _Decimal=2 _Tick Unit=0.01 _Minimum Tick=25 Are these the correct settings? Does expected round turn profit (loss) match BROKER statement? The exchange fact sheet...

Please IGNORE ! I had a look at the chart data and raw data in Excel. When the Excel file looked normal, I notice CSI chart label "Converted from USD to EUR per Contract" Setting ought to be mouse-R > Display in Currency :: "In Trading Units" Reinstalled UA. Restored few days old...

Enclosed please find zipped up EuroDollar, two files
26th day 1 MPDM
26th day 10 MPDM

image corresponds to 10 MPDM, but 1MPDM looks just as bad.

I've reported the issue to CSI.

Prior to placing trades, it would be wise to chart data and looking at each market, one at a time.

L

Hi, Some of the short interest data looks very strange. My version of UA is 2.7.10.118 Problem: price data seems to have almost no Highs and Lows. Chart looks like dots. Occurrence: tonight, it is Eurodollar, ED, CSI #141. Two days ago: EBL, EBM, EBS, Euro German Bund, Bobl, Schatz. These are the mo...

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math is a wonderful thing...

Thanks sluggo, you are correct.
L

Hi James, If "testing Donchian system on weekly data" you wish to convert 20 days to 4 weeks, 50 days to 10 weeks, that can be accomplished by changing either your data feed setting or using weekly H, L, C setting with strategy code. Your results will be somewhat different, but do not expe...