Search found 203 matches

by rhc
Sun Feb 12, 2012 10:33 pm
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 9809

Re: Complimentary system to Trend following

Actually i mean more "Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems" Hmmm, I thought that question was answered !!?? Your question now asks; "Does anyone know of a system that makes money during periods of ...
by rhc
Fri Feb 10, 2012 9:22 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 9809

Re: Complimentary system to Trend following

Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc) Rearranging that question; “Does anyone know of a system that makes money during periods of non-trending market action.â€
by rhc
Sun Feb 05, 2012 10:40 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 30986

The afore-mentioned trading system returns 295% CAGR The unfunded US debt figure is approx. 60 Trillion dollars (i.e. $60,000,000,000,000) A bionic man costs 6 million dollars (i.e. $6,000,000) If the US government is willing to forgo the manufacture of only one such bionic man and use those funds a...
by rhc
Fri Feb 03, 2012 6:55 am
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 10588

The exact same markets that we are discussing in this post and the exact same markets that prompted you to reply with “who wants to deal with IB anywayâ€
by rhc
Fri Feb 03, 2012 6:27 am
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 10588

Chelonia wrote:Who wants to deal through IB anyway :roll:
Can you list some alternatives?
by rhc
Mon Jan 30, 2012 8:22 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 30986

Dean thanks for sharing your thoughts in your blog (as linked above) I’m wondering if I am reading the tables and graphs correctly since the 2007-2011 values differ from table to graph For Emory Partners; The table ‘says’ 2002-2006 sharpe ratio = 1.48 and the 2007-2011 sharpe ratio = -0.02 The...
by rhc
Mon Jan 30, 2012 8:04 pm
Forum: Futures Markets
Topic: Eurodollar (ED) - limited upside - PART 2
Replies: 8
Views: 3779

I imagine these T-bills were purchased due to some financial concern . . .during the 2008 crisis perhaps? (i.e. return OF capital as opposed to return ON capital)
The T-bill option can be a good strategy for those that sleep on futons :wink:
by rhc
Sun Jan 29, 2012 10:07 pm
Forum: Futures Markets
Topic: Eurodollar (ED) - limited upside - PART 2
Replies: 8
Views: 3779

. . . you are more concerned with getting 99 cents on the dollar rather than any return so you are willing to park money in eurodollars rather than risk losing 10% on any investment. That's interesting. So if the world is going badly to hell & you have a stackload of money you will naturally opt fo...
by rhc
Sun Jan 29, 2012 6:56 am
Forum: Futures Markets
Topic: Eurodollar (ED) - limited upside - PART 2
Replies: 8
Views: 3779

Eurodollar (ED) - limited upside - PART 2

June Eurodollar (ED) futures close Fri 27 Jan 2012 at 99.5150 ‘System1b’ says go long these futures. My understanding is that ED’s are capped at 100 (which implies a nominal interest rate of zero percent) They cannot trade above 100. (or so says conventional wisdom) A calculation reveals that ...
by rhc
Sun Jan 29, 2012 6:40 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 7086

However, I have a hard time understanding how this can possibly work. So you have your contract A at 50, and contract B at 60. These are two different contracts on the marketplace. B is more expensive than A. You want to sell A and buy B. How can you possibly avoid having to pay the difference of 1...
by rhc
Thu Jan 26, 2012 4:57 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 7086

Why would anyone want to create some artificial back-adjusted data with jumps removed, if this is not how the actual trades are placed? I don't see this properly explained anywhere... This link might help; http://www.premiumdata.net/support/futurescontinuous.php For additional information you could...
by rhc
Wed Jan 25, 2012 9:43 pm
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 7086

This link might help
viewtopic.php?t=7978
by rhc
Wed Jan 25, 2012 7:40 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 8360

To be clear, I do not trade like this since this is not what I have tested. If I can’t afford the trade I either pass it up or I might look to a mini-contract or perhaps an ETF/ETN. I thought it might be interesting to bring this topic up because intuitively it seems a good tactic. I have noticed ...
by rhc
Tue Jan 24, 2012 6:01 am
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 8360

Re: Following your system . . . . with a delay

stopsareforwimps wrote:I am currently coding up this very test. . . .
No idea at all how it will turn out.
Do make sure to post the results of this test on this forum.
Could be interesting.
by rhc
Tue Jan 24, 2012 5:57 am
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 8360

surely the odds of this beinga winning trade have now changed That is an interesting comment. However I don’t entirely see it this way. If you had enough money in the first place you would have taken the original trade. No problems. Now if you are in the original trade and it moves against you th...
by rhc
Mon Jan 23, 2012 10:03 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 8360

Yes, this is true which is why I was careful to include the proviso that you only get to enter within the next "couple of weeks (or so)" after the initial signal that you could not afford. This of course only applies to long term trend following systems that have an average hold time of around about...
by rhc
Mon Jan 23, 2012 8:43 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 8360

Following your system . . . . with a delay

You have made it your goal to take every single signal that your Long term trend following system offers relative to your risk parameters. Your system issues a sell short signal in a particular instrument. Upon review of the risk-to-stop (relative to your account size) you find, unfortunately, that ...
by rhc
Wed Jan 18, 2012 8:10 pm
Forum: Data Providers and other non testing software
Topic: erroneous prices 1/17/11
Replies: 2
Views: 3408

Yes, apparently this error was due issues at CME.
My data provider sent this message below
by rhc
Tue Jan 17, 2012 6:03 am
Forum: Data Providers and other non testing software
Topic: Gold Hourly Data
Replies: 14
Views: 10098

Chelonia wrote:Going HF Chris :lol:
Chris67 wrote:HEHE - Not on your life !!!!
Music Composer Tom Hamilton “used his unique compositional system to convert fluctuations in spot gold price charts into streams of electronic sound. . . . . . . . the musical result mirrors the ebb and flow of the marketâ€