Search found 752 matches

by AFJ Garner
Wed Dec 24, 2014 7:09 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 5654

Re: Trend Following Without Rates?

I don't know whether this might help your decision making?
US 10 year.png
US 10 year.png (44.69 KiB) Viewed 5566 times
by AFJ Garner
Tue Dec 23, 2014 11:05 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 5654

Re: Trend Following Without Rates?

The price of a futures contract is determined by the spot price of the underlying asset, adjusted for time plus benefits such as coupon and dividends.
by AFJ Garner
Tue Dec 23, 2014 6:34 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 5654

Re: Trend Following Without Rates?

Take a look at bond futures prices: 1) unadjusted and 2) back adjusted. Take a look at a bond index: 1) price only 2) with coupons reinvested. Take a look at a bond mutual fund: 1) price only and 2) with coupons reinvested. This will tell you where bond returns come from when you operate a constant ...
by AFJ Garner
Wed Nov 12, 2014 4:28 am
Forum: Trend Indicators and Signals
Topic: Trend Following risk factors versus buy and hold
Replies: 1
Views: 4117

Re: Trend Following risk factors versus buy and hold

The really Good News is that you can subscribe to Harry Long's algorithms: Note: Due to the sheer number of requests for bespoke quant strategies, research projects, and quant consulting services, we have instituted the following pricing for the non-exclusive licensing of our algorithms to instituti...
by AFJ Garner
Sat Oct 11, 2014 4:09 am
Forum: Testing and Simulation
Topic: Bond Funds
Replies: 2
Views: 5246

Here is an example. Which of these two series do you want to use to back test a momentum strategy? The same considerations apply to any stock paying large dividends such as a RIET. And for a real laugh of course, try comparing price and total return on a money market fund.
by AFJ Garner
Fri Oct 10, 2014 5:35 pm
Forum: Testing and Simulation
Topic: Bond Funds
Replies: 2
Views: 5246

Bond Funds

For anyone devising an asset allocation solution using bond funds, is anyone generating a mixed portfolio in CSI US of bond and equity funds? It represents a tricky situation in terms of dividends and their treatment. The basic point is there is no point treating dividends on bond funds in the way T...
by AFJ Garner
Tue Aug 19, 2014 11:31 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 5117

My only use for volume figures is (a) to avoid trading low volume stocks in back tests and (b) in real trading avoid trading or holding more than x% of the turnover.

But chopping out parameters sounds like a good idea to me.
by AFJ Garner
Sat Aug 16, 2014 4:28 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 5117

You may find this recent reply from Richard Dale of Norgate Investor services helpful: Hi Anthony, You raise an interesting question… I’ve done some research and presented how our data works below. PRICE DATA UPDATE SCHEDULE Our consolidated tape price data arrives in two batches each day. 1. A ...
by AFJ Garner
Tue Jul 01, 2014 1:17 pm
Forum: Futures Markets
Topic: Which index is more popular on commodities?
Replies: 3
Views: 2623

What is the purpose of your enquiry? Sluggo is talking about trading an index derivative. I have a hunch that you are more interested in following an index in the same way that a stock investor might loosely speaking follow the S&P 500 or at least use it as a benchmark. If so, you want to start look...
by AFJ Garner
Mon Jun 30, 2014 2:47 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 4361

Thanks Tim. Turns out the naughty monkeys hadn't un-encrypted them it seems. Very negligent of me not to have spotted it before. I had been lazily using dividend adjusted files and recently changed to using the cash dividends.......However careful I try to be I still seem to make endless schoolboy e...
by AFJ Garner
Mon Jun 30, 2014 2:37 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 4361

Probably a CSI error.
by AFJ Garner
Mon Jun 30, 2014 2:26 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 4361

CSI Dividend Info

I am authorised at the CSI end to have access to dividends and yet the csv files built by trading blox are blank. Anyone else having this problem?
by AFJ Garner
Thu Jun 19, 2014 12:46 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 4414

abc
by AFJ Garner
Thu Jun 19, 2014 12:46 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 4414

Very eye opening. And sobering. Care to elaborate? Yep - the equity curve went from the top left 45 degrees down to the bottom right of the graph! Not to be recommended. The other "whole " portfolios were a disaster too. You have to apply a filter: using historic index stocks is a market cap filter...
by AFJ Garner
Thu Jun 19, 2014 12:08 pm
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 4414

Thanks Jake, very nice explanation. And the portfolio tests very well. Yes, volume and price: unless we have the rolling number of shares in issue or a list of leavers and joiners in a relevant index we can't pursue the more usual index type market cap route. Which may be no bad thing. I have more o...
by AFJ Garner
Thu Jun 19, 2014 4:29 am
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 4414

Incidentally, just for the sake of clarity, I am NOT recommending Right Edge. I have tried it and do not like it at all.
by AFJ Garner
Thu Jun 19, 2014 4:14 am
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 4414

Trading Blox Equities Portfolio

I would be very interested to hear from Tim, Jake et al just how they devised this portfolio. Would you guys care to comment? Incidentally, see this thread at Traders Place: http://tradersplace.net/forum/thread/380/choosing-a-universe-of-stocks-to-trade/ In particular: I'm too investigating this iss...
by AFJ Garner
Sun Jun 15, 2014 5:00 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 3869

You may also like to ask the Trading Blox staff how they went about choosing the portfolio they provide as part of their equities package.

Which, incidentally, is downloadable direct from CSI.
by AFJ Garner
Sun Jun 15, 2014 4:34 am
Forum: Stocks
Topic: Selecting a Portfolio
Replies: 7
Views: 3869

What I do is to assess what it is I am aiming to achieve. Why should I choose the S&P 500? The S&P 400? The Russell 1000? What am I aiming at? If I want a universe of stocks to trade what should the nature of those stocks be? Does the methodology of the S&P 500 suit my aims? If not, would the Russel...
by AFJ Garner
Sat Jun 14, 2014 6:45 am
Forum: Testing and Simulation
Topic: CSI Stocks: Active/Inactive
Replies: 9
Views: 6469

Ah! Just the sort of problem I'm trying to avoid. Using a combination of Python and mySQL we are building our own database which will only allow updates not retrospective changes. Instead of re-building the stocksinfo.txt file I guess one has to manually adapt for changes - and only for additions, I...