Search found 147 matches

by Chuck B
Mon Apr 21, 2003 3:21 pm
Forum: Forex
Topic: Forex and Trendfollowing
Replies: 9
Views: 13501

There were outstanding trends (in my opinion :D ) in all the majors in the recent past: EU, BP, CHF, C$, A$ and EU/JY in particular. Everyone has a different definition of what a "trend" is I would think. If your system had a wide enough exit to follow these markets in the recent past, you had a "tr...
by Chuck B
Mon Apr 21, 2003 6:49 am
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 26580

Dave, TT is what I've found so far to be the best "front end" software out there. Along with many competitors, TT really got going in 1998-9 when the LIFFE decided that was the way to go (having ISV's -- Independent Software Vendors to have traders connect to the up and coming LIFFE Connect system)....
by Chuck B
Sun Apr 20, 2003 4:15 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 26580

Dave, Spread trading on the LIFFE is the way it will be everywhere some day I would hope. The LIFFE engine is designed to excel in trading complicated spreads and combinations in the STIR markets (Short Term Interest Rate futures). The Euribor spread market is unreal -- this is the deepest and most ...
by Chuck B
Thu Apr 17, 2003 8:48 am
Forum: Futures Markets
Topic: How are people executing futures trades?
Replies: 6
Views: 7425

I use Trading Technologies X-trader connected to LIFFE, Eurex, Globex and ACE. It is simply an incredible platform.

http://www.tradingtechnologies.com

Chuck
by Chuck B
Thu Apr 17, 2003 7:21 am
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 59242

I really don't think there is "an answer" to this question. It is the most perplexing part about trading to me (like all the rest was simple :wink: ). Everything is based on assumptions that tend to be grounded in historical data. Things like correlation can and do change such as the recent moves in...
by Chuck B
Thu Apr 17, 2003 7:11 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 9532

Sir G, My problem with attempting to model skid is that if you look at a frequency distribution of real world results it presents bigger tails than trading returns :shock: It is such a massively peaked distribution all centered on zero with a looooong tail out to the right (where x-axis is skid amou...
by Chuck B
Thu Apr 17, 2003 6:56 am
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 15713

Howard, I did a lot of research in MAE a number of years ago; however, I based all my work on initial risk. In other words, instead of using $/contract like the infamous book seller guy, I used what I refer to as R-multiples, initial risk multiples to measure everything by. At that time I was testin...