Traders' Roundtable

Sluggo, Thank you very much for the explanation. Yes, the CSI format is a bit odd, but does make sense. The 'lowest denominator price format' method is clever, but not how most trading software works, so it threw me. L p.s. my apologies for the slow reply and thanks. My internet provider had major e...

What is the correct interpretation of CSI “price formatâ€

Hi Dean, "It also depends on what you define as countertrend. For example, I have found you can add to your expectancy by buying dips during up trends with quick exits. Some would call this buying against the immediate momentum countertrend, others would still call it trend following..." Y...

Hi Rod, "Why do you note the percent wins rather than returns and drawdowns for your systems? Percent wins is not very meaningful. Put a 0.5% profit target on anything and you will get about 80-90% wins but not high returns. " Percent wins is and easy to understand measure, but more to it....

Combined (pit + electronic) does give you longer history BUT availability of electronic sessions changed even pit behavior! If you can, develop your strategy using a mix of inactive markets. CSI has a huge selection of inactive markets. Make a separate portfolio "dead" markets during the e...

"Does the Octave program have any conversion scripts that are remotely better than Scilab in your opinion? "

Octave is basically free Matlab with minor syntax differences.

Do you exchange data with TBB? Do you use them both in daily trading or one is research, other operations?

L

Hi Qsquare, "However, there are a few things that Python tends to have some libraries for that R does not as yet (GAs for example)." Yes, Python has HUGE collection of AI stuff. Almost anything to do with AIhas been re-implemented from Lisp or wrapped and runs 'in' Python. (Well, really, C...

Hi Blueberrycake, Since you write your strategies in R & graph in SierraCharts, what and how do you use TBB? Is R for trying out concepts and TBB for day to day operations? Some guesses: Do you recode everything in TBB? If so, how do you handle scientific library, or lack thereof, issues? Possib...

Sluggo,

Thank you very much for your help.
My broker is helpful but does not seem to have FOW Trade Database.
Since I need to switch, I'll keep this in mind.

L

Might save you some time by noting that the Numerical Recipes Nelder-Mead algorithm tends to get stuck in local maxima/minima. User Satisfaction with Numerical Recipes implementation: Given a sufficiently bumpy surface, every 3rd or 4th solution returned by of Nelder-Mead is hopeless junk. Speed: Nu...

If you use margin reqs and been trading for a while, most likely you have a way of keeping them up to date. Since I am a new TBB use and looked into FuturesInfo.txt, some of the margin numbers seemed off. Finding this is not so easy, except in case of CME group. (Thankfully, someone is organized.) P...

Bubba, Most TY activity does take place (at least for now) during traditional day session hours. Contract: since IB is set up for electronic markets that is your only practical choice. CSI: combined contract has 'pit' session close but carries the max(pit, electronic) and min(pit,electronic) for Hig...

Hi babelproofreader! Great name :-) Have you read George Steiner's After Babel? More on the topic. Do you use R & Octave for modeling or for writing trading systems? GnuPlot: use it for visualization, for trading charts or both? Connection to TBB: do you in any way move data between them? How? T...

Any regular users out there?

L

Question from Rob@everTrend: "Do good counter trend systems have a relatively high accuracy rate?" Hard to give a general answer. You will not find published counter trend systems. All info on subject is anecdotal. From the what its worth department: I know a NYMEX market maker with a seve...

You are welcome.

L

Hi Eric, You have two separate postings, the second clearly shows the structural mechanism the Japanese use to guarantee themselves a profit. 1st Question: "If I'm understanding you correctly, you are suggesting that Japanese traders are somehow participating in the interest rate differential b...

Sluggo, Thank you very much. Excellent suggestion. I do have a Python program to manipulate back adjusted contract by splicing the Nth data Close into place of Total OI field. (That is the only way of inserting the real close into TradeStation compatible data file.) Since I am just learning TBB, I'v...

Hi AFJ Yes, you are missing the point. Rolling: if this is what you are really after, roll on VOLUME 1st trigger and check published schedule. Carry trade and Spreads: The topic is way to complex to cover in few lines. If you'd really like to know about these topics, locate a book specializing in Ag...

Chris, I did and that is why the question. Unless I misunderstand the actual contract spec, YBA, etc. does NOT have a fixed Big Point Value. Should that be the case, trading the Bankers notes, 3 Yr, 10 Yr ought to present special issue when using FuturesInfo.txt data. Have I misunderstood the contra...