Search found 30 matches

by michaelt
Tue Nov 16, 2010 8:39 am
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 9393

UPDATE TO THE BELOW: I heard from CSI and they say it's a database refresh issue. If I hadn't visually inspected the file I wouldn't have found the error (although my trading account would be impacted nonetheless). If the refresh doesn't repair this issue I'll update this post. Update: That fixed th...
by michaelt
Tue Nov 16, 2010 8:13 am
Forum: Testing and Simulation
Topic: trades changing due to continuous contracts
Replies: 6
Views: 4176

Copper missing data; CSI individual & continuous contrac

UPDATE TO THE BELOW: I heard from CSI and they say it's a database refresh issue. If I hadn't visually inspected the file I wouldn't have found the error (although my trading account would be impacted nonetheless). If the refresh doesn't repair this issue I'll update this post. Update: That fixed th...
by michaelt
Fri Nov 12, 2010 7:20 am
Forum: Testing and Simulation
Topic: trades changing due to continuous contracts
Replies: 6
Views: 4176

Thanks Sluggo. I have found what I think are errors in the CSI continuous contracts. I have found some occurrences (not many) where there is a different day to day movement compared to the (underlying) individual contracts. It's happened in the T-Bond and Crude. I have found one period where there i...
by michaelt
Wed Nov 10, 2010 4:08 pm
Forum: Testing and Simulation
Topic: trades changing due to continuous contracts
Replies: 6
Views: 4176

trades changing due to continuous contracts

Has anyone seen something similar with their testing? I can get a different history of trades with a CSI continuous contract after it rolls to the next forward. The trading system is unchanged. The measurements in the system are standardized -- i.e. dollar value trma (as opposed to % trma). So the a...
by michaelt
Wed Jun 16, 2010 1:12 pm
Forum: Brokers
Topic: What brokerage company do you use?
Replies: 10
Views: 8168

Interactive Brokers and FX

Hi RedRock, Appreciate your post re: IB. Do you, or does anyone, have experience with IB trading FX? I trade sending stops via an API -- naturally with FX there is no 'official' price so it's different from the exchange. I used to trade with Goldman and MSDW -- and was a small potato, so found their...
by michaelt
Thu Apr 29, 2010 2:15 am
Forum: Testing and Simulation
Topic: looking for fx cross rate historical data
Replies: 2
Views: 1606

thanks gunter!
by michaelt
Thu Apr 29, 2010 1:44 am
Forum: Testing and Simulation
Topic: Systems weights
Replies: 4
Views: 2755

Systems weights

Hi Sluggo, Please excuse the late response-- I am a recent member and found your interesting post. I came across your post regarding matching different systems to a criteria. Some of the criteria, such as matching the drawdowns, I understand as a way to have commensurate risk (given the known data) ...
by michaelt
Tue Apr 13, 2010 5:07 pm
Forum: Testing and Simulation
Topic: looking for fx cross rate historical data
Replies: 2
Views: 1606

looking for fx cross rate historical data

Hello Traders: I am looking for historical FX cross rates (cash). CSI's data for many crosses, such as the Euro-Yen, Sterling Yen, Euro-CD, etc., for the most part only go back to 1998 or 1999. In some cases (Aussie-Yen) the data goes back to 1986 -- but the data is different in it's character prior...
by michaelt
Fri Feb 12, 2010 5:01 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 78535

Dead Turtles

I saw the magazine article too, thanks for updating the test here.

Great work.

Is it possible to see some calendar granularity for the results, i.e. an annual breakdown?
by michaelt
Fri Feb 12, 2010 10:29 am
Forum: Testing and Simulation
Topic: historical stock data: PE, earnings
Replies: 4
Views: 2869

historical stock data: PE, earnings

Anyone know where I can obtain historical stock PE data, and earnings and price data? (already checked CSI -- they don't have it).

thanks.
-Michael