Hi Josh
I can only retrieve data going back to 1996 for the Nasdaq futures contract, are you saying that I should just use the cash contract history in order to go back as far as 1985 ?
Search found 44 matches
- Wed Mar 23, 2011 4:03 pm
- Forum: Data Providers and other non testing software
- Topic: Linking historical DM spot to current Euro spot now possible
- Replies: 14
- Views: 15317
- Wed Mar 23, 2011 7:02 am
- Forum: Data Providers and other non testing software
- Topic: Linking historical DM spot to current Euro spot now possible
- Replies: 14
- Views: 15317
- Wed Mar 23, 2011 4:39 am
- Forum: Data Providers and other non testing software
- Topic: Linking historical DM spot to current Euro spot now possible
- Replies: 14
- Views: 15317
- Tue Mar 01, 2011 2:36 am
- Forum: Data Providers and other non testing software
- Topic: More CSI problems
- Replies: 12
- Views: 7307
I have to shamefully admit to not having done the most basic of checks when setting up a fresh install of UA with TradingBlox, it was the ASCII Field Layout tab in UA that was wrong (it was at default setting). A reminder:
http://www.tradingblox.com/tradingblox/ ... market.htm
http://www.tradingblox.com/tradingblox/ ... market.htm
- Thu Feb 24, 2011 5:43 am
- Forum: Data Providers and other non testing software
- Topic: More CSI problems
- Replies: 12
- Views: 7307
- Thu Jan 27, 2011 12:39 pm
- Forum: Futures Markets
- Topic: Short Sterling
- Replies: 2
- Views: 2933
- Tue Jan 11, 2011 12:50 am
- Forum: Futures Markets
- Topic: What was your performance in 2010, and year to date?
- Replies: 5
- Views: 4166
- Mon Jan 10, 2011 3:36 am
- Forum: Market Psychology
- Topic: Economist Article on Trendfollowing
- Replies: 4
- Views: 14093
For those interested in momentum in equities in particular, there is a good annual publication by the London Business School called the GIRY , 2008 had a decent section on momentum in stocks. Here is the summary version: http://www.london.edu/assets/documents/facultyandresearch/786_GIRY2008_synopsis...
- Wed Sep 29, 2010 3:27 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36708
- Sat Jul 24, 2010 10:13 am
- Forum: Futures Markets
- Topic: CSI running l a t e
- Replies: 25
- Views: 16543
- Wed May 26, 2010 5:57 am
- Forum: Money Management
- Topic: VaR
- Replies: 21
- Views: 22930
Although I'm not a big fan of VaR (I certainly wouldn't rely on it for my own trading) it is often quoted in the big, bad world of hedge funds including those that use LTTF. With this in mind, is it possible to get an estimation of % equity risked (or AUM) if I just had monthly and yearly returns fo...
- Wed Mar 03, 2010 5:51 am
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9204
- Tue Mar 02, 2010 4:16 am
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9204
Eric Some people consider that there is no better prediction of future interest rates than the bond markets themselves as this is the net opinion of many thousands of traders, speculators, hedgers etc . Short-term rates will have an affect on long-term to some degree of course , although the actual ...
- Mon Mar 01, 2010 11:54 am
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9204
- Mon Mar 01, 2010 8:41 am
- Forum: Futures Markets
- Topic: Bond current yield - short term is higher than long term
- Replies: 13
- Views: 9204
- Wed Sep 09, 2009 10:36 am
- Forum: Testing and Simulation
- Topic: Excel as a position/money manager
- Replies: 3
- Views: 3156
- Wed Sep 09, 2009 5:59 am
- Forum: Testing and Simulation
- Topic: Excel as a position/money manager
- Replies: 3
- Views: 3156
Excel as a position/money manager
I've managed to put together something reasonable in Excel so that I have a live snapshot of open positions, risk and margins etc (linked to eSignal data manager) , all basic stuff so far but I've come to a bit of a problem and could do with help from someone more knowledgeable. The live p&l is ...
- Sat Aug 29, 2009 1:31 am
- Forum: Testing and Simulation
- Topic: Crash protection
- Replies: 2
- Views: 2855
The difficulty with hedging risk with options is that you have the cost of time premium.....Sluggo's post shows a reasonable enough example but assuming that it's an at-the-money option then you have paid maximum time value. If the market doesnt move then you will bleed cash. We currently are replac...
- Mon May 25, 2009 3:19 am
- Forum: Futures Markets
- Topic: calender spreads
- Replies: 2
- Views: 3244
- Sun May 24, 2009 2:04 am
- Forum: Futures Markets
- Topic: calender spreads
- Replies: 2
- Views: 3244
calender spreads
I am building a database of calender spreads using Esignal and Qcollector . This works fine but is somewhat longwinded and there is the requirement to create the backadjusted files manually. I appreciate that the exchanges themselves offer this data but it is pretty expensive ! Can anyone recommend ...