Search found 129 matches
- Wed Sep 29, 2010 5:04 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36543
- Mon Sep 27, 2010 3:49 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36543
What do we really know about the underlying managers in any (benchmark) systematic trend following index. Did they always lived to the system, or was there a directional overlay at times. How much alpha do we need to account for if any? The only way of finding out is to compare system output with br...
- Sat Sep 25, 2010 6:33 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36543
Great idea Sluggo. Why don´t we all put down our Correlation number between the system you (currently) use and the BSTI. Our´s is 0.58, which is in line with most other (large) CTA´s. The mean runs around 0.60 Running this number down is possible but in most cases the correlation between the prog...
- Sun Apr 25, 2010 11:24 am
- Forum: Futures Markets
- Topic: How does Gov. control the interest rate?
- Replies: 1
- Views: 2363
- Wed Apr 21, 2010 10:44 am
- Forum: Testing and Simulation
- Topic: MOC order in E futures. Backtesting vs reality...
- Replies: 13
- Views: 6655
The time with the highest volume and therefore the narrowest bid/ask spread, and less slippage. We avoid night sessions for less liquid stuff, and typically trade around the old open outcry floor hours. Stop width allows that. On top of that we scale in and out on large MOC and MOO orders. Instead o...
- Wed Apr 21, 2010 8:17 am
- Forum: Testing and Simulation
- Topic: MOC order in E futures. Backtesting vs reality...
- Replies: 13
- Views: 6655
- Fri Jan 22, 2010 10:00 am
- Forum: Testing and Simulation
- Topic: Global Exchange Traded Funds (ETF´s), End of Day data vendor
- Replies: 6
- Views: 4925
- Thu Jan 21, 2010 12:28 pm
- Forum: Testing and Simulation
- Topic: Global Exchange Traded Funds (ETF´s), End of Day data vendor
- Replies: 6
- Views: 4925
- Thu Jan 21, 2010 9:19 am
- Forum: Testing and Simulation
- Topic: Global Exchange Traded Funds (ETF´s), End of Day data vendor
- Replies: 6
- Views: 4925
- Thu Jan 21, 2010 3:21 am
- Forum: Testing and Simulation
- Topic: Global Exchange Traded Funds (ETF´s), End of Day data vendor
- Replies: 6
- Views: 4925
Global Exchange Traded Funds (ETF´s), End of Day data vendor
Hi All,
Does anyone has expereince trend following ETF´s. Which datavendor is offering EoD Global ETF data.
Thanks
C
Does anyone has expereince trend following ETF´s. Which datavendor is offering EoD Global ETF data.
Thanks
C
- Fri Nov 20, 2009 4:55 am
- Forum: Testing and Simulation
- Topic: CTA performance excell formulas for 13 column table
- Replies: 8
- Views: 7988
- Thu Nov 19, 2009 2:30 pm
- Forum: Testing and Simulation
- Topic: CTA performance excell formulas for 13 column table
- Replies: 8
- Views: 7988
- Sun Sep 27, 2009 6:59 am
- Forum: Testing and Simulation
- Topic: CTA performance excell formulas for 13 column table
- Replies: 8
- Views: 7988
- Sun Sep 27, 2009 4:20 am
- Forum: Testing and Simulation
- Topic: CTA performance excell formulas for 13 column table
- Replies: 8
- Views: 7988
- Sun Sep 27, 2009 4:14 am
- Forum: Testing and Simulation
- Topic: CTA performance excell formulas for 13 column table
- Replies: 8
- Views: 7988
CTA performance excell formulas for 13 column table
If you have ever seen a trading advisor's or fund's disclosure document, you have seen the standard 13-column table showing CTA performance. The last two columns, 12 and 13, contain monthly rates of return as a percentage and the $1,000 Value Added Monthly Index (VAMI). The spreadsheet uses monthly ...
- Sat Jul 25, 2009 3:18 pm
- Forum: Testing and Simulation
- Topic: The short side and trend following
- Replies: 41
- Views: 29749
If you want to trade a turtle type system with a portfolio long only including currencies then include the US$ Index futures. Long US$ Index = short basket of currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc). Strength/weakness of most commodities is high...
- Thu Jul 03, 2008 1:11 pm
- Forum: Testing and Simulation
- Topic: Most liquid futures contracts
- Replies: 5
- Views: 9503
Thanks for your information. Over the last year liquidity in many futures markets became a real issue with floors closing down. Where are the days you could just run a 100 lot stop order in cocoa with discretion through the floor guys?! Over the last 6 months we had to take many contracts out of the...
- Wed Jun 25, 2008 12:39 pm
- Forum: Testing and Simulation
- Topic: Most liquid futures contracts
- Replies: 5
- Views: 9503
Most liquid futures contracts
Hi,
Does anyone know where to find information on what the most liquid futures contracts are (globally).
Many thanks
Does anyone know where to find information on what the most liquid futures contracts are (globally).
Many thanks
- Sat Feb 23, 2008 2:30 am
- Forum: Trend Indicators and Signals
- Topic: Jim Simons
- Replies: 15
- Views: 44836
Leading indicators can be used for all markets. For example; when a commodity index breaks out to the upside you put your long/neutral commodity system to work, when it breaks out to the downside you put your short/neutral commodity system to work, when a stock index breaks out to the upside you put...
- Tue Nov 06, 2007 8:01 am
- Forum: Futures Markets
- Topic: Who else got filled in that ELECTRONIC Soybean move....
- Replies: 8
- Views: 8229
Then the exchange shouldn't offer e-bean oil or any other commodity to the public when the volume doesn't allow fair trade especially when it trades side by side with the floor. I thought the US was the country where the public is highly protected from this sort if mis management by reckless compani...