Search found 49 matches
- Sun Jun 04, 2006 12:51 pm
- Forum: Brokers
- Topic: Costly Robobroker Errors
- Replies: 21
- Views: 28580
I agree that a thread on robo-broker errors definitively can be useful for system traders. No question about it. mike 168, why do you make your life so complicated by choosing a roll-over procedure that is so difficult to implement correctly? Personally I don't trust a trading system when its edge l...
- Mon May 15, 2006 7:09 am
- Forum: Testing and Simulation
- Topic: Slip and Commission
- Replies: 23
- Views: 27899
- Mon May 15, 2006 6:10 am
- Forum: Testing and Simulation
- Topic: Slip and Commission
- Replies: 23
- Views: 27899
What I find quite remarkable is that illiquidity does not necessarily lead to large slippage. Lumber is a good example. The typical daily volume in the front month is only about 500 lots. It has many lock-limit days. You can hardly call it a liquid market. ... but the slippage on my MOO lumber order...
- Sun May 14, 2006 11:12 am
- Forum: Testing and Simulation
- Topic: contango/backwardation
- Replies: 16
- Views: 15724
SPW, If I understand you correctly, you are talking about taking fully collateralized long positions in commodity futures. I'm afraid that I don't agree with you that systematically rolling these positions doesn't contribute (positively or negatively) to the return. In fact the so-called roll yield ...
- Thu May 11, 2006 4:28 pm
- Forum: Trend Indicators and Signals
- Topic: people on this forum were rude and are fake traders
- Replies: 34
- Views: 37403
- Wed May 10, 2006 12:48 am
- Forum: Futures Markets
- Topic: Futures Market Data Pitfalls - Newbies Beware
- Replies: 18
- Views: 14670
AFJ, Yes, I paid a lot of attention to backup procedures. I have hardware and internet connection backups (internet went down last night because of heavy weather and thunderstorms!). I can count on a friend of mine for backup. I'm spending some time at the moment on writing down all contingency proc...
- Tue May 09, 2006 12:35 pm
- Forum: Futures Markets
- Topic: Futures Market Data Pitfalls - Newbies Beware
- Replies: 18
- Views: 14670
It is my experience that doing one's homework properly is more than worthwhile. Before I started trading my system two years ago I spent a great deal of time checking all CSI data settings and files and choosing very realistic assumptions for slippage etc. I don't use a robobroker, but place all the...
- Sun Apr 09, 2006 4:57 pm
- Forum: Testing and Simulation
- Topic: Slip and Commission
- Replies: 23
- Views: 27899
I have been systematically tracking the slippage on my futures transactions over the last two years. About 45% are electronic and 55% are pit traded contracts. And I am also active in some less liquid markets like DX, RR and LB. The slippage figure I come up with is about 9% and very much in line wi...
- Sun Mar 26, 2006 10:23 am
- Forum: Testing and Simulation
- Topic: Is Monte Carlo Analysis Useful?
- Replies: 6
- Views: 7466
- Wed Mar 08, 2006 11:21 am
- Forum: Testing and Simulation
- Topic: Risk Reward Ratios
- Replies: 6
- Views: 6560
- Fri Jan 06, 2006 7:56 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30465
Austrian, The margin-to-equity ratio I personally feel comfortable with is somewhere between 10% and 20%. I however have to admit that from a theoretical risk management point of view this ratio doesn't make a lot of sense. I still don't understand why consultants are still attaching so much importa...
- Fri Dec 30, 2005 6:40 am
- Forum: Testing and Simulation
- Topic: Trading Solutions Software
- Replies: 24
- Views: 18973
- Wed Nov 16, 2005 6:14 am
- Forum: Data Providers and other non testing software
- Topic: Google Data
- Replies: 21
- Views: 23549
Damian, CSI's data quality is indeed outstanding, but their Unfair Advantage software, although very powerful, is not really state-of-the-art. Among other weaknesses it is very user-unfriendly and poorly documented. There definitively is room for a competitor as you pointed out. CSI will then at lea...
Anthony,
Indeed an incredible and very sad story.
I hope CME's press release can give you some comfort if you hold a Refco futures account.
http://www.cme.com/about/press/cn/05-13 ... 16261.html
Cheers,
Old European
Indeed an incredible and very sad story.
I hope CME's press release can give you some comfort if you hold a Refco futures account.
http://www.cme.com/about/press/cn/05-13 ... 16261.html
Cheers,
Old European
- Thu Oct 06, 2005 10:58 am
- Forum: Futures Markets
- Topic: Correlation
- Replies: 4
- Views: 4437
- Fri Aug 19, 2005 5:53 am
- Forum: Data Providers and other non testing software
- Topic: CSI Eurodollar data
- Replies: 11
- Views: 12476
Sluggo, I still think that rolling-over on open interest cross-overs is a very acceptable thing to do. 1. It does a very good job as far as timing wrt first notice day is concerned 2. The higher the volume the lower the slippage usually is. But I have noticed that cross-over on volume most of the ti...
- Thu Jul 14, 2005 12:54 pm
- Forum: Testing and Simulation
- Topic: Requirements before buying backtester software
- Replies: 10
- Views: 9011
I think stancramer's message is pretty clear. And he definitively has a point. Although I'm convinced that the Trading Blox team is very genuine in its effort to come up with a state-of-the-art product, I can't help having the feeling that the release of TBB version one has been a bit premature. Min...
- Thu Mar 17, 2005 5:47 am
- Forum: Testing and Simulation
- Topic: Has Trend Following Really Gotten Harder?
- Replies: 10
- Views: 13708
Frank, I completely agree with your conclusion. I have been doing numerous tests with multiple moving average cross-over type of systems over almost 30 years of historical data and on a generic market portfolio of about 50 futures markets. Time and time again I was surprised to see that out-of-sampl...
- Sat Mar 12, 2005 4:22 pm
- Forum: Trader Psychology
- Topic: Overcoming bad habits acquired from day trading
- Replies: 17
- Views: 23836
Once you have chosen to go the long-term trend following route, being obsessed by the tape does not add any value to your trading. It only may give you completely unnecessary adrenaline shots, generate strong emotions and lead to bad quality of life. As others already said, what is really important ...