Search found 129 matches
- Sun Nov 04, 2007 3:27 pm
- Forum: Futures Markets
- Topic: Who else got filled in that ELECTRONIC Soybean move....
- Replies: 8
- Views: 8249
- Sun Nov 04, 2007 3:17 pm
- Forum: Futures Markets
- Topic: Who else got filled in that ELECTRONIC Soybean move....
- Replies: 8
- Views: 8249
We to got screwed by the exchange on e-bean oil. Been long for a few days with a stop at 4105. Low in E bean oil was 4104, while the low in floor bean oil was 42.08?? Saw a nice profit turning into a loss. How can they get away with this? Why not bust all trades in e bo below the low in floor bo? Ba...
- Sun Sep 30, 2007 9:12 am
- Forum: Testing and Simulation
- Topic: In your experience as a system trader... 80/40 or 40/40 ?
- Replies: 46
- Views: 50365
Ever tryed to exit 2000 Orange Juice futures when your stop gets triggered, or initiating a new position with 1500 Coffee futures? If you do so you probably appear on National Television later that day!!! Did you take liquidity into account. I see many markets in your test that won't allow for relat...
- Mon Aug 06, 2007 5:50 pm
- Forum: Testing and Simulation
- Topic: A systematic way to portfolio optimzation
- Replies: 6
- Views: 8098
- Mon Aug 06, 2007 5:48 pm
- Forum: Testing and Simulation
- Topic: A systematic way to portfolio optimzation
- Replies: 6
- Views: 8098
- Sun Jun 17, 2007 2:47 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44985
It's from Pinnacle. I'm testing these and other settings on the various products in the portfolio now, altough i'm already confident with the open interest trigger. I like the simplified explanation of the roll over settings (1,2,3,4) as set out by Mr. Garner, but i'm looking into markets that go fr...
- Sun Jun 17, 2007 1:12 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 44985
Here's a list with very workable roll days. DM = Delivery Month, MPDM = Month Prior to DM STARTING DATES AND ROLL OVER DAYS COMMODITY START DATE ROLL DAY Australian $$, Day Session 1988 8th Day of DM Australian $$, Composite Session 1990 8th Day of DM British Pound, Day Session 1976 8th Day of DM Br...
- Sat Jun 16, 2007 5:21 pm
- Forum: Testing and Simulation
- Topic: Anybody using Quad Core Machine for testing
- Replies: 28
- Views: 26195
- Sat Jun 16, 2007 3:27 am
- Forum: Testing and Simulation
- Topic: Roll/order problem
- Replies: 0
- Views: 3202
Roll/order problem
In back testing the Dual Moving average system with the following parameters in EC (Euro currency) 24 long MA 8 short term MA Use and hold ATR FALSE Risk 1% I have noticed there is a problem with the rolls for example run the data from 2007-01-01 to 2007-05-01. When you generate orders you will noti...