Search found 59 matches
- Fri Oct 08, 2010 11:38 am
- Forum: Testing and Simulation
- Topic: Moving Median: a better indicator than Moving Average?
- Replies: 4
- Views: 7516
I have noticed that moving median takes quite a bit longer to calculate than an EMA. Yes - the median calculation is a fairly bit more computer-intensive, which is not a real issue nowadays, but I suspect it is one of the reasons why Moving Averages have been so much more popular than the Median (i...
- Wed Oct 06, 2010 5:27 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 47598
- Tue Oct 05, 2010 5:55 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 47598
sluggo, First off - thanks for sharing this blox (on other thread) and study. Had some fun with it and it generated quite a few good thoughts... I have to say I would intuitively lean towards your friend's Tommy' opinion (ie that one of Trend Following's main mantra is to let winners run and therefo...
- Fri Oct 01, 2010 6:32 am
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 49958
- Tue Sep 28, 2010 10:54 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 36605
- Mon Aug 09, 2010 3:26 pm
- Forum: Testing and Simulation
- Topic: Independently Non Profitable Systems Enhancing Overall Perfo
- Replies: 7
- Views: 5274
- Wed Aug 04, 2010 4:59 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 11419
Re: ETF's
Quick question relating to ETF's - Been looking at them omline - researching the net - if someone wanted, say, exposure to Germany - why would they buy a German ETF when they could buy the DAX PPP spreadbetting and pay no tax, no commission and no wide bid / offer spread ? I havent researched the m...
- Fri Jul 16, 2010 6:30 am
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10249
Forgot to mention.. I did some further analysis on Crude Oil with volume checking/constraints. I output the volume of chosen contract vs. volume of most liquid contract and did some analysis on these numbers (hoping they would prove liquidity was always good - if the method is good enough for DB, it...
- Fri Jul 16, 2010 5:48 am
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10249
Take a look at DB Optimum Yield version of their commodity indicies Thanks svquant, I was not aware of this index/ETF - and it seems encouraging if a big fund can implement this sort of strategy (ie it means it should be viable for smaller traders...) Indeed, they only have 14 components in their i...
- Thu Jul 15, 2010 4:20 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31013
- Thu Jul 15, 2010 2:02 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 31013
I have to admire the report you created, it really provides a depth of analysis... So... assuming I'm not going to explore other roll timing methods (like OI, volume, etc.), If liquidity is such a concern (and I guess it ought to be), why not use it as an input in the rolling method (ie roll on volu...
- Thu Jul 01, 2010 5:44 pm
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10249
Thanks for the feedback sluggo. I am actually using the CSI API to extract all individual contracts into separate file so I'll try to enhance the code to include liquidity/volume in the export and record the actual volume in further contracts compared to the front-month contract to see if it drops t...
- Thu Jul 01, 2010 9:57 am
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10249
Why not trade Spot Brent or WTI directly? Scroll down to end of http://www.gft.com.au/sheets/cfd/commodities.asp There could be a couple of reasons: - being long (short) a contract in backwardation (contango) should add a positive roll yield to the spot price move - you'd probably want to be able t...
- Thu Jul 01, 2010 8:09 am
- Forum: Testing and Simulation
- Topic: Being clever about which contract to pick? (roll yield)
- Replies: 10
- Views: 10249
Being clever about which contract to pick? (roll yield)
The so-called "roll yield" can sometimes have a strong impact on the return of a future contract. A prime example being how it was impossible to match crude oil spot price performance using futures in 2009. (A) (B) (C) (D) [shameless plug to a blog post with charts illustrating that point ...
- Mon Feb 22, 2010 10:03 am
- Forum: Testing and Simulation
- Topic: Keeping up with the simulation and Spreadbetting?
- Replies: 44
- Views: 23326
GFT are the only true spreadbeting company I've come across who have an API. They're a bit protective of it, I think mainly because they worried about being arbed by scalpers. They seemed quite happy when I talked to them about using it for LTTF-style trades. I never got around to taking it further...
- Sat Feb 13, 2010 10:14 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 96339
- Fri Feb 12, 2010 5:08 pm
- Forum: Testing and Simulation
- Topic: Any profitable users of TB?
- Replies: 18
- Views: 12362
- Tue Feb 09, 2010 5:36 pm
- Forum: Testing and Simulation
- Topic: Warning: Potential CSI Data Problem - March Corn Low
- Replies: 5
- Views: 3841
- Sun Feb 07, 2010 6:40 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 96339
Re: Dead Turtles
I do not wish to post the actual code I used to generate the back test but HotTip will be able to get close if he uses the following Blox all of which come with TB or are available on the Blox Marketplace. Anthony, I am expecting your book on Trend Following with ETF anyday now (Amazon has shipped ...
- Sat Jan 30, 2010 11:45 am
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13822
Hey klatt_attack, it looks like you are making great progress on this. Good idea on the blog too - I find that mine helps me to keep on track too - is yours public or private? Also I was wondering what is your goal in building this compared to using CSI roll algorithms which have a lot of options al...