Search found 15 matches

by wonkabar
Mon Mar 14, 2005 8:55 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 13776

JAM, The same argument holds for going short, only in reverse. I am not talking about forgoing trades based on backwardation or contango. What I am looking at is if using other months may be better in certain market environments. Also, what is the true cost of trading after paying or receiveing roll...
by wonkabar
Sun Mar 13, 2005 4:26 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 13776

Jake, Thanks for the response. What I mean is say right now if you are long April CL and it is .60 contango to May. When it comes time to roll your long you are paying .60 to keep your long. If the market were in backwardation then then you would be rolling your longs at a lower price. Some markets ...
by wonkabar
Sun Mar 13, 2005 6:39 am
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 13776

contango/backwardation

Has anyone explored the impact of rolling (roll yields) on long term systems? For example now CL is in contango and everyone is likley long and when it comes time to roll will pay .60 (at these levels). This market is ususally backwarded and during the same situtation a long would make on the roll. ...
by wonkabar
Mon Jan 17, 2005 4:27 pm
Forum: Trend Indicators and Signals
Topic: filtering idea
Replies: 3
Views: 5982

filtering idea

Has anyone ever explored filtering trade signals based on the price of the commodity? Say for example the government starts to buy corn from farmers at 195 to "protect them." Entering a short trade just above such a level would have a much different risk reward profile. I am sure there are othe exmp...
by wonkabar
Thu Jan 06, 2005 8:40 am
Forum: Testing Software
Topic: remote access to your main pc
Replies: 2
Views: 5078

remote access to your main pc

Instead of loading my trading software onto a laptop when traveling, I am looking into www.gotomypc.com . Has anyone used this or are there other products that let you remotely run applications on another pc?
by wonkabar
Fri Nov 05, 2004 2:03 pm
Forum: Forex
Topic: basic question about the value of pairs traded
Replies: 1
Views: 4786

basic question about the value of pairs traded

I am new to forex (though with decent amount of futures, options and equities experience) and have a basic question. Say I have an account denominated in usd and I want to trade $10k per pair. Do I need to convert the non usd pairs into usd or does it happen automatically by the broker? Say for exam...
by wonkabar
Tue Sep 28, 2004 6:24 pm
Forum: Money Management
Topic: VaR
Replies: 21
Views: 20605

My interest in VaR is along the lines of being curious to what the number would be. I know banks and funds tend to use things like this and think it would be interesting to see what the numbers say. It is just a tool like anything else and people who over rely on the number generated and lose focus ...
by wonkabar
Tue Sep 28, 2004 12:15 pm
Forum: Money Management
Topic: VaR
Replies: 21
Views: 20605

VaR

I have never looked at this but someone recently asked me what the VaR would be for a diversified LTTF system. Obviously it depends on the markets traded and the risk taken but if someone is trading, say, 20 diverse markets and averages 15% margin:equity is there any way to approximate a VaR number?...
by wonkabar
Tue Sep 28, 2004 11:29 am
Forum: Money Management
Topic: Position Sizing in Options
Replies: 19
Views: 17745

Kianti, you are correct that buying/selling options makes you long/short vega and gamma but I am talking about just the delta or directional market exposure which i thought you were to since you mention futures. simply buying a put is getting you short the market. Gherkin, selling options is no more...
by wonkabar
Mon Sep 27, 2004 6:29 pm
Forum: Money Management
Topic: Position Sizing in Options
Replies: 19
Views: 17745

thanks Kianti but I was not looking for a delta neutral strategy but rather a short premium strategy. Somethink like,say, selling 10% out of the money calls and puts on the SPX. How best to position size and manage exposure? Ron, your example is confusing to me. If an at the money put is -50 delta t...
by wonkabar
Mon Sep 20, 2004 3:36 pm
Forum: Money Management
Topic: Position Sizing in Options
Replies: 19
Views: 17745

that's not right at all. selling a put is the same as selling a call and buying the underlying and selling a call is the same as selling a put and selling the underlying. The trick is the optionality. If i am short puts and the market goes down I get longer and if i am short calls as the market goes...
by wonkabar
Mon Sep 20, 2004 7:35 am
Forum: Money Management
Topic: Position Sizing in Options
Replies: 19
Views: 17745

I think the position sizing for buying options is relatively easy since the max risk is predefined as the price of the option. It is then up to the trader to determine how much they want to risk which can be based off of several well known methods. What about when selling options though? What is the...
by wonkabar
Sun Sep 19, 2004 10:24 am
Forum: Testing and Simulation
Topic: Hidden Markov Models
Replies: 2
Views: 3878

I am also interested in finding out more about HMM. I know Rentec uses them but had no idea about Grinham. Is it rumor Grinham uses them or do you know for sure? The only things I can find are academic papers and not much on real applications.
by wonkabar
Fri Sep 03, 2004 11:03 am
Forum: Trend Indicators and Signals
Topic: Filtering trade entry signals
Replies: 11
Views: 19783

That certainly does sound interesting and I will try it myself. How are you defining intermediate and longterm in days for these? thanks
by wonkabar
Thu Sep 02, 2004 11:48 am
Forum: Trend Indicators and Signals
Topic: Filtering trade entry signals
Replies: 11
Views: 19783

Filtering trade entry signals

I have been toying with ideas on how to improve my trend following system entries. Part of this has got me thinking about various ways to filter trade signals so as to have a higher probablity of catching a "good" trend. What i have found is some people use rules such as only take longs if we are tr...