Traders' Roundtable

ADMP,

Retail investors don't have easy access to the FX forwards market. But they can trade the FX spot market at several retail forex shops. Open positions are automatically rolled forward on a daily basis (the positive or negative carry is taken into account). This is exactly the same as trading ...

I think this is a discussion about semantics.

What is simple and what is complicated?

A simple concept like 'risk-adjusted return' may look complicated to many, while a scholar with a degree in statistics and applying for a job with Renaissance Technologies may be surprised to find out that Jim ...

Slave,

I'm afraid that one month after the last update your CSI database gets locked. See CSI documentation.

http://www.csidata.com/custserv/onlinehelp/index.html

Cheers,

Old European

RedRock,

I've never used IB so I can't compare the two. But it is very difficult to find reliable information on their quote spreads. And as far as high-frequency algorithmic forex trading for example is concerned, the spread is by far the largest cost.

Old European

RayC,

Have a look at Oanda (https://fxtrade.oanda.com/).

Strictly speaking, they are not a broker but a market maker. Extremely professional, very tight spreads and 1 USD minimum position size (I'm not joking!).

They allow the small retail trader to play on a level playing field with the large ...

Although I am well aware that simple ultra-long-term trend following systems worked remarkably well over the last few years, one has to bear in mind that, once the markets change again, it will take a very very long time to come to the conclusion that these systems stopped working (since it takes a ...

AFJ,

I found out by accident that something was happening with the HU contract a few months ago, when I was looking at the miNY gasoline contract (QU). I discovered that the QU contract was no longer a mini version of the HU contract, but of the Reformulated gasoline contract (RB).

Why did I have ...

Steve,

By far the most problematic characteristic of LTTF systems is their intrinsic instability. And by far the most challenging parameter is the composition of the portfolio.

Since writing the above mentioned 2004 post I have continued to further research portfolio selection, but I failed to ...

Neural networks indeed grew out of Artificial Intelligence research in the 80s. It was a not entirely unsuccessful attempt to simulate the working of the human brain and in particular its self-learning capability. This technique has since also been applied to other scientific disciplines. It however ...

Indeed, it is curve-fitting in its most most extreme form.

What contracts I'm holding? Curious?

I'm long Wheat and KC Wheat!

And furthermore:

long positions:

British Pound
T-bond, 10- and 5-yr T-note
Nasdaq
Nikkei
Rough Rice

short positions:

Japanese Yen
Swiss Franc
Crude Oil
Natural Gas
Lean Hogs
Lumber (since many many months)
Cotton ...

Looks to me as if 'survivorship bias' is much larger than generally accepted ...

Dean and Forum Mgmnt, thanks for your excellent contributions to this interesting thread.

Dean, your message was good food for thought and opened the discussion. It's a pity that you were attacked immediately. Don't take it personally. I'm sure many forum members really appreciated your post ...

Man Financial. Not the cheapest player, but good fill quality and very reliable.

Avoid them. They have a reputation of being very unreliable.

Just import both time series in Excel and calculate the correlation or, if you have a CSI data subscription, use the CSI correlation tool.

1. I think that Dean Hoffman's contribution to this thread is a very interesting one

2. I guess that c.f. and Tim are sufficiently open-minded and won't have any problem with a forum member praising a competing product

3. I'm personally also convinced that the Trading Blox Monte Carlo methodology ...

Great post, Jason! Very true!

Although I don't agree 100% with c.f.' market classification, I nevertheless agree completely that all markets (in the same category) should be treated the same way.

By doing so, one is better protected when the character of markets changes. And it is better for long term trend following to have a ...

AFJ,

What you say is very very true.

The problem is that there is no real alternative for backtesting. It's the only thing one can do when researching a system. But indeed one better doesn't take the backtest results too literally (even after having invested lots of time and effort in research ...