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by kianti
Wed Dec 28, 2011 7:18 am
Forum: Trader Psychology
Topic: Instrument Choice for Year Ahead
Replies: 5
Views: 17350

.... at some point the ECB will engineer a rescue plan

OK they're starting....,

6 months Euribor is 1.65%
Italian 6 months T-bill was 6,504% at previous auction
Italian 6 months T-bill today is 3,521%

free money for fat-cats-bankers :shock: :shock: :shock:
.... plus fat year-end bonus for the ...
by kianti
Fri Dec 23, 2011 4:46 am
Forum: Trader Psychology
Topic: Instrument Choice for Year Ahead
Replies: 5
Views: 17350

BTP futures

At some point the ECB will engineer a rescue plan.
Same story as LTCM and Euro 1996-1998.

LTCM was the fund that was too big to fail, the brightest star in the financial world. Built on genius, by legends of Wall Street and two Nobel laureates, it spiralled to ever greater heights ...
by kianti
Thu May 05, 2011 8:07 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 35975

Silver Investors Dump Futures as Comex Boosts Speculator Trading Costs 84%
[quote]CME raised margins after “unprecedented high levels of volatility,â€
by kianti
Tue Feb 22, 2011 8:30 am
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 13403

Excel could do the job as well.
by kianti
Tue Feb 22, 2011 6:03 am
Forum: Testing and Simulation
Topic: LME Lead prices
Replies: 15
Views: 18101

:shock: :D :lol: :lol: :lol: :D :shock:

Electronic LME metals series updated
It looks like the CSI guys are reading this forum
Well done CSI
by kianti
Sat Feb 19, 2011 4:30 am
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 17031

marriot wrote:Hi Kianti, can you make an example?
thank you

Code: Select all

if Close[-1]>Close[-2] then Long
by kianti
Sat Feb 19, 2011 4:12 am
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 17031

Re: Things you might do, even though they HURT performance

sluggo wrote:Another thing a system trader might do is, deliberately reduce the number of instruments in the portfolio
Would you be kind enough to give us more clues on diversification?
Is trading 5 US grains better than trading 1 US grain with 5 different systems?

Best regards, as ever
by kianti
Sat Feb 19, 2011 4:02 am
Forum: Testing and Simulation
Topic: Things you might do, even though they HURT performance
Replies: 14
Views: 17031

Some classic examples of deliberately sacrificing performance
Use only End-of-Day
Only trade systems that use Market-On-Open and Market-On-Close orders.
Roll the Nymex energy contracts less often
Only trade the markets that your current broker offers
Only trade the systems that come ...
by kianti
Sat Feb 19, 2011 3:53 am
Forum: Futures Markets
Topic: Cotton Lock Limit Day
Replies: 9
Views: 10629

I've always wondered how the option marketmakers off-load their risk in such situations, since they cannot trade the underlying in one direction at all? Just blow out the vol to an insane level?

Option traders trade the greeks, i.e. delta,gama,vega, theta and rho.
You can reduce your delta ...
by kianti
Thu Feb 17, 2011 12:10 pm
Forum: Futures Markets
Topic: Cotton Lock Limit Day
Replies: 9
Views: 10629

Not a special day, at least not in the last few months.
You cannot trade futures.
Options are open, if I'm not mistaken
You could build a very expensive synthetic long or short futures position in options.... if yours Versailles-style mansion is at risk and still have margin :shock: :( :shock:
by kianti
Thu Feb 17, 2011 6:47 am
Forum: Testing and Simulation
Topic: Blending noncorrelated (or anti-correlated) equity curves
Replies: 50
Views: 74167

sluggo wrote:Is that "curve fitting" ? Some would say Yes, others No. Use your own judgement......
I would say no, I use intuitively some of the above ideas.
Thanks for the time and effort to the Pavarotti of testing and simulation.

Best regards, as ever
by kianti
Wed Feb 09, 2011 4:01 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 35975

Its interesting to note how neither of these funds DH has mentioned are trend followers - but they are CTA's - Once again paying homage to the fact that CTA Does nOt equal trend follower and therefore you cannot compare their M/E ratio's with somebody like Abraham as its comparing apples to oranges ...
by kianti
Mon Feb 07, 2011 8:43 am
Forum: Testing and Simulation
Topic: LME Lead prices
Replies: 15
Views: 18101

Update for avid LME metal traders: CSI added electronic metals; unfortunately price series have been updated only since mid November 2010.
31 May 2006
LME Select to Open at 0100hrs from 1 June 2006

The London Metal Exchange (LME) has today confirmed that the Exchange’s electronic trading ...
by kianti
Sat Feb 05, 2011 4:38 am
Forum: Money Management
Topic: Estimating Future Risk…
Replies: 29
Views: 35975

Re: Estimating Future Risk…

It is my opinion that margin usage is a leading indicator of potential risk and drawdowns, but there is one school of thought that thinks using more margin is not necessarily dangerous because it can add to diversification. To some degree I agree with this, but traders quickly reach a point of ...
by kianti
Thu Feb 03, 2011 3:16 pm
Forum: Testing and Simulation
Topic: LME Lead prices
Replies: 15
Views: 18101

CSI has added electronic metals :shock: :) :shock:

CSI Number: 2057
Symbol: MPB9
Name: Lead 3Mth(24hr Electronic)-LME
by kianti
Thu Jan 27, 2011 1:39 pm
Forum: Data Providers and other non testing software
Topic: Refreshing CSI Data
Replies: 1
Views: 3068

It happens when you download and clean. Always clean and then download...I guess.
by kianti
Tue Jan 25, 2011 12:50 pm
Forum: Futures Markets
Topic: Global Markets Biggest Movers (17 Jan-21 Jan 2011)
Replies: 8
Views: 9277

.. Cosmic Teapot (with which I have no doubt you will also be familiar)

I wasn't familiar with the Cosmic Teapot and I appreciate indeed the analogy:it makes me think to the Black Swan.
Just let me close with
Do not confuse the pointing finger with the moon
It is only a finger, not the moon ...
by kianti
Tue Jan 25, 2011 8:25 am
Forum: Futures Markets
Topic: Global Markets Biggest Movers (17 Jan-21 Jan 2011)
Replies: 8
Views: 9277

...and find it well nigh impossible to believe in a benevolent deity or the ancient scribblings of a desert tribe...

Maybe you could consider taking a long position

Pascal's Wager (or Pascal's Gambit) is a suggestion posed by the French philosopher, mathematician and physicist Blaise Pascal ...
by kianti
Thu Jan 13, 2011 5:13 am
Forum: Money Management
Topic: Positive Trade Ratio
Replies: 2
Views: 5096

Positive Trade Ratio

Positive Trade Ratio :shock: :?: :shock:
by kianti
Fri Nov 12, 2010 11:53 am
Forum: Custom C++ or Java Platforms
Topic: What's your favorite programming platform?
Replies: 21
Views: 133579

LeviF wrote:I couldnt do it from the computer lab on my last cruise...
:shock: :D :lol: :shock: :lol: :D

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