cfd's

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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ES
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cfd's

Post by ES » Wed Dec 24, 2008 1:13 pm

has anybody backtested a trend following/turtle system trading cfd's ?
any suggestions for a data provider?

sluggo
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Post by sluggo » Wed Dec 24, 2008 2:37 pm

When doing a Search for "CFD" here on the Blox Trader's Roundtable, two CFD broker firms pop up again and again.

Visiting their homepages, one of them says "(Our firm) is represented in the UK, Australia, Germany, New Zealand, Singapore, Spain, Hong Kong, Ireland, Japan, China, Sweden, Norway, Austria and Canada.

The other lets you Select Country from a menu of Australia, Deutschland, Espan~a, France, Ireland, Italia, Portugal, Singapore, Sveridge, UK, USA, Russia. But when you click the USA link, that site only shows FX and not CFD. To see CFDs you need to click a non-USA country.

(There are quite a few CFD posts here on the Blox Trader's Roundtable, some of them discuss trendfollowing).

ES
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Post by ES » Wed Dec 24, 2008 5:22 pm

I'm talking to CMC and ODL. I was inquiring whether anyone has backtested this data. you indicated that you're trading a live futures portfolio. have you not considered cfd's ? they offer greater leverage. l

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Post by rhc » Fri Dec 26, 2008 7:40 am

have you not considered cfd's ? they offer greater leverage.
I may way wrong here, but CFD trading reminds me of trading in the old ‘bucket shop’ days as described in “Reminiscences of a stock operatorâ€

Mats
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Trade CFD's

Post by Mats » Mon Dec 29, 2008 4:37 am

I trade CFD's in one system. I trade CFD's on future contracts but i have backtested with real futures data.

It works quite well if you have a system that not trades to much, in that case the commissions will eat you up.

I use CMC markets, for the trading.

Sluggo, this is not as the old bucket shops, but i think there are differences, my experience is the you never get those fills on the boundarys on CFD's that you can have on future markets that are electronic now.

CFD' on future contracts is open for trading mainly when the old outcry sessions were open so actually on some instruments i think the fills are more predictable.

The spreads are much wider and BP values are less and you can not choose the roll dates at all.

ES
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cfd's

Post by ES » Tue Dec 30, 2008 4:19 pm

thanks mats.

Sluggo,

Can I enter a series of trades into trading blox and compute all of the stats?
I have approximately one thousand trades to analyze to determine the efficacy of a particular trading methodology?
thks again.
ps Tim appears to be absent until jan 9th ?

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Re: cfd's

Post by LeviF » Tue Dec 30, 2008 4:36 pm

babyturtle wrote:
Can I enter a series of trades into trading blox and compute all of the stats?
I have approximately one thousand trades to analyze to determine the efficacy of a particular trading methodology?
I havent tried it, but you could try to import your trades into the Broker Positions file.

ES
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levy

Post by ES » Tue Dec 30, 2008 5:48 pm

thks

ES
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counter party risk

Post by ES » Sun May 17, 2009 7:37 pm

Matts,
rhc raises the issue of counter party risk (here). have you experienced any issues? next odl offers a coding platform. have you tried automating any processes?
thanks for the feedback.

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Post by Chris67 » Mon May 18, 2009 2:23 am

Ive been using CMC for 10 years - although now i use ADM on our fund - i still have some currency hedges with them
A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases

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Post by Asamat » Mon May 18, 2009 5:03 pm

Chris67 wrote:A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases
Why? Could you tell us more about what you mean with that sentence?

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Post by Chris67 » Wed May 20, 2009 1:24 am

Asamat
The sentence is quite easy to understand ... surely the last 12 months has taught us that large financial institutions havent got a clue what there doing ... many funds and traders used lehman as a broker - didn't really get them too far ?
Given that the entire u.s banking industry has now been given a huge dose of crack cocaine with which to go out and make all the mistakes again - do you honestlt think they are asafe bet
My comparison is simply that in my opinion CMC are as safe if not a safer bet to use as a broker than any other financial institution or broker ?

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Conterpart risk and automation

Post by Mats » Thu May 21, 2009 3:28 am

Babyturtle.

I can not tell anything about counter party risk, Lehman went bankrupt so anything can happen and will happen!

It is not possible to automate trading with CMC Markets, they do not have any API or tools that i am aware about. To trade with CMC you must buy quotes from anythere else for testing. Their CFD's on futures contract maps exactly to the real thing (except for boundary fills) and some trading hours.

I trade one system with real futures and one system with CFD's. They have the same strategy except the roll dates. I get fewer fills with CMC markets.

Good luck :D /Mats

ES
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mats' reply

Post by ES » Thu May 21, 2009 8:46 pm

thank you.

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Post by Asamat » Fri Sep 25, 2009 10:28 am

I'm using WHS selfinvest, a Luxemburg based CFD broker, for a few months now. I find them a serious business, and perfectly suited for trendfollowing (or other long-term strategies). They answered all my mails on the same or the next business day with good answers. WHS selfinvest is IB for GFT-UK.

Commish is a fixed amount per trade (3 EUR per halfturn). Plus a fixed spread, which is known in advance. You find the size of the spreads on their website. It is for example 0.7 for Gold, 0.4 for Life Cattle, 0.06 for Sugar and 0.7 for the S&P. With current volas (measured as ATR10) being 15.4, 1.01, 0.98 and 14.3 for these instruments, respectively, this amounts to spreads of 4.5%, 40%, 6% and 4.9% of the daily range.

I had no strange fills so far, everything is synch with TB. I find this very suitable for being able to do a feasible positions sizing for high-valued, high-vola futures. For example, you can trade the S&P down to a size of 1 / 250 part of the big futures size. (Future size is 25$ per 0.1 index point, mini size is 5$ per 0.1 index points, CFD size is 1$ per 0.1 index points). Gold goes down to 1/10 future size, for Copper the CFD size is 1/12.5 of the size of the future.

What these "bucket shops" don't like (and there you find many stories on the web of aggreviated users), if you are trying to take advantage of them. That mean, if you trade directly against them, for example like trying to arbitrage between several CFD vendors, or by trying to use their fixed stop guarantee during times of major currency news. For intraday trading they are inferior to IAB, for example, due to the larger spread. But for long term trading I find them usefull, as decribed.

For a growing number of instruments they also offer CFDs based on the cash market instead of the future. There you dispense with rolling entirely. On the other hand you have to pay a daily amount for the credit you receive (which is already build into the future), but their charge is of course above the market rate (upon which the future is based).

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Post by Chelonia » Thu Nov 22, 2012 8:50 am

Could you say that CFD´s are well suited for smaller accounts aiming to achieve required diversification? How are margins set? Could you run a portfolio of 40/50 financial/commodity CFD´s with 10k due to lower big point value. Thanks

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