Search found 49 matches

by Old European
Thu Oct 18, 2007 5:02 am
Forum: Forex
Topic: future or forward
Replies: 4
Views: 6177

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 F...
by Old European
Thu Jul 19, 2007 3:01 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16757

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 Simo...
by Old European
Fri Mar 09, 2007 1:23 am
Forum: Data Providers and other non testing software
Topic: CSI Database expiry ...?
Replies: 1
Views: 2742

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
by Old European
Sun Feb 25, 2007 12:17 am
Forum: Forex
Topic: broker
Replies: 4
Views: 6248

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
by Old European
Sat Feb 24, 2007 4:18 am
Forum: Forex
Topic: broker
Replies: 4
Views: 6248

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 banks...
by Old European
Fri Feb 16, 2007 4:44 am
Forum: Testing and Simulation
Topic: Trading using Random Entries (Van Tharp book method)
Replies: 20
Views: 37875

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 ...
by Old European
Sat Nov 25, 2006 1:01 pm
Forum: Futures Markets
Topic: HU Nymex Unleaded Gas
Replies: 5
Views: 4295

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 to...
by Old European
Wed Nov 22, 2006 5:37 am
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 30540

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 come ...
by Old European
Thu Nov 16, 2006 3:57 pm
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9879

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...
by Old European
Sun Nov 12, 2006 3:57 am
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9879

Indeed, it is curve-fitting in its most most extreme form.
by Old European
Tue Oct 10, 2006 9:26 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30189

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 Sugar But I'm not at ...
by Old European
Tue Oct 10, 2006 7:32 am
Forum: Stocks
Topic: Distributions of stocks
Replies: 6
Views: 10704

Looks to me as if 'survivorship bias' is much larger than generally accepted ...
by Old European
Sun Oct 08, 2006 11:06 am
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33191

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. Forum ...
by Old European
Sat Oct 07, 2006 11:33 am
Forum: Brokers
Topic: Synthesis Bank?
Replies: 5
Views: 7325

Man Financial. Not the cheapest player, but good fill quality and very reliable.
by Old European
Fri Oct 06, 2006 5:18 am
Forum: Brokers
Topic: Synthesis Bank?
Replies: 5
Views: 7325

Avoid them. They have a reputation of being very unreliable.
by Old European
Wed Oct 04, 2006 8:57 am
Forum: Futures Markets
Topic: Wool vs Cotton?
Replies: 5
Views: 5250

Just import both time series in Excel and calculate the correlation or, if you have a CSI data subscription, use the CSI correlation tool.
by Old European
Tue Oct 03, 2006 9:44 am
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33191

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 is...
by Old European
Fri Jul 28, 2006 10:01 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33781

Great post, Jason! Very true!
by Old European
Thu Jul 20, 2006 12:24 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33781

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 s...
by Old European
Wed Jul 19, 2006 6:38 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33781

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). And...