Search found 83 matches
- Thu Sep 17, 2009 8:18 pm
- Forum: Testing and Simulation
- Topic: up or down bias in back adjust continuous data?
- Replies: 2
- Views: 2759
the bias comes from adjusting a back-adjusted contract up or down to close the gap from one active month to the next. if the adjustment is always the same direction far out data can look cheap representing a bullish bias on a chart and in the data. in may of 1984 the june 30yr US bond was actually t...
- Thu Aug 13, 2009 12:51 pm
- Forum: Testing Software
- Topic: Which TB upgrade?
- Replies: 2
- Views: 6154
- Wed Jul 08, 2009 11:44 am
- Forum: Data Providers and other non testing software
- Topic: Trouble with csi #956 or csi O3 (OMX 30)
- Replies: 12
- Views: 8123
- Wed Jul 08, 2009 2:14 am
- Forum: Data Providers and other non testing software
- Topic: Trouble with csi #956 or csi O3 (OMX 30)
- Replies: 12
- Views: 8123
all my foreign indexes(and bonds) roll on a specific date to get around this problem. I have to look ahead and change the dates every 6 months or so and sometimes I might roll 2-5 days too early but I figure that's better than having IB just liquidate the position. if you want to stick to OE you mig...
- Wed Jun 10, 2009 10:37 am
- Forum: Futures Markets
- Topic: Maintenance margin in foreign markets?
- Replies: 4
- Views: 4535
here is IB's list of initial and maintenance margin and the currency required.
http://www.interactivebrokers.com/en/p. ... entity=llc
http://www.interactivebrokers.com/en/p. ... entity=llc
- Mon Apr 27, 2009 10:35 am
- Forum: Brokers
- Topic: IB's accumulate/distribute
- Replies: 2
- Views: 6881
IB's accumulate/distribute
IB added a couple new(to me) tools in the last update. I used the accumulate/distribute for a futures and options order today, an impressive function. lots of variables available, my favorite on the options side being an implied volatility condition. for a simple futures order in a thin market, you ...
- Thu Apr 09, 2009 10:56 am
- Forum: Futures Markets
- Topic: LTTF and the Eurodollar Futures
- Replies: 7
- Views: 7188
you could roll out to 2011 or 12 and give your system a couple more points to the upside, june 2012 trades 96.905. during the crazy times a few months ago when nobody could guess how low rates would go, the cme listed strikes above 100, I think all the way to 105. so somebody somewhere doesn't think...
- Sat Mar 07, 2009 10:50 am
- Forum: Data Providers and other non testing software
- Topic: CSI Download Problems UA 2.9.3
- Replies: 18
- Views: 13051
version 2.9.3 build 11 no problems all week. but of course when I tried to download now to test I got the same error. maybe its a special weekend thing, server maintenance or something. I was able to perform other functions like database integrity search and refresh database price history for indivi...
- Wed Feb 25, 2009 9:09 pm
- Forum: Testing and Simulation
- Topic: Filtering Trade Signals
- Replies: 3
- Views: 3303
for me the tradeoff between risk and return with total and correlated units comes down to being in the game for the long term. I like to test a system against shock moves when everything becomes correlated and tighten the positions taken so that I think I could have handled the big drawdown. it migh...
- Wed Feb 25, 2009 2:26 pm
- Forum: Data Providers and other non testing software
- Topic: CSI roll by days before expiration
- Replies: 0
- Views: 2922
CSI roll by days before expiration
I couldn't find this so I thought I would post it for future reference and searches. when using CSI the 'roll by days before expiration' option under edit file in portfolio does not work for real time trading. csi does not know the actual date of expiration, say 3rd friday of month or 3 business day...
- Sun Jan 18, 2009 7:37 pm
- Forum: Testing and Simulation
- Topic: CSI and number of markets
- Replies: 5
- Views: 4081
I purchased 11 more for my use, it wasn't very much money to add. but you don't need to pay extra and it was the csi guy that told me how to do it. update your 69 markets, delete 10(or 50), add the 10(or 50) you want and update them. your files will now have 79(or 119) markets with updated data for ...
- Thu Jan 08, 2009 10:04 am
- Forum: Futures Markets
- Topic: London coffee contract size just doubled
- Replies: 13
- Views: 11938
- Tue Jan 06, 2009 1:31 pm
- Forum: Futures Markets
- Topic: London coffee contract size just doubled
- Replies: 13
- Views: 11938
- Tue Jan 06, 2009 11:22 am
- Forum: Futures Markets
- Topic: London coffee contract size just doubled
- Replies: 13
- Views: 11938
- Fri Dec 19, 2008 8:11 pm
- Forum: Brokers
- Topic: Interactive Brokers Trading Foreign Markets
- Replies: 2
- Views: 7852
I only trade futures and options, no stocks. my experience has been positive since I switched to IB(from MF) in 2002. with the universal account they get a piece of the action every time they rebalance your margin using their own forex quotes. not a big deal and frees up any worries about paying att...
- Mon Dec 15, 2008 11:59 pm
- Forum: Data Providers and other non testing software
- Topic: euro shatz data
- Replies: 2
- Views: 3280
- Mon Dec 15, 2008 9:07 pm
- Forum: Data Providers and other non testing software
- Topic: euro shatz data
- Replies: 2
- Views: 3280
euro shatz data
could someone with a data supplier other than csi please check out the euro shatz data for 19980907? open and low of 98.395 looks very out of place. it is possible since the US 2 year was closed that day but there was no action in the bobl that corresponds. I've emailed csi about it but no response ...
- Fri Dec 12, 2008 7:25 pm
- Forum: Money Management
- Topic: Quant/Quant-Discretionary Trading Dilemma
- Replies: 14
- Views: 12585
my problem with increasing leverage is I've never had 100% confidence in any system, especially during a drawdown. if you have near 100% confidence in your system you are really protected on the downside by your system's worst case scenario, so why not ratchet up the risk and swing for the fences? y...
- Fri Dec 12, 2008 11:41 am
- Forum: Futures Markets
- Topic: London coffee contract size just doubled
- Replies: 13
- Views: 11938
- Mon Nov 24, 2008 8:36 pm
- Forum: Testing and Simulation
- Topic: portfolio cherry picking
- Replies: 8
- Views: 6709
so I finally got around to doing the obvious with this question. I pretended it was late 2000 and I was getting ready to trade. I tossed out any market that had not performed over the last 16 years or so(14 of 62 were tossed) and retested getting better CAGR, MAR and other stats. at this point it wa...