Traders' Roundtable

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...

Exactly!

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...

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 ...

Forum Mgmnt,

Why don't you post your above contribution to this thread also in the 'How to Use these Forums - REQUIRED READING' section of the forum?

Cheers,

Old European

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...

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...

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...

Forum Mgmnt,

I couldn't agree more with what you say. MC, although theoretically flawed, can indeed help remind us of the intrinsic unstability of mechanical trading systems (despite all the effort we put into improving their robustness).

Cheers,

Old European

Indeed

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...

Forum Moderator,

There used to be a forum section called something like 'the bottom of the barrel'. This thread is becoming a good candidate for transfer to that section. I always try to read all new messages, but I'm beginning to loose my time ...

Cheers,

Old European

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...

Not a big surprise:

http://today.reuters.com/stocks/QuoteCo ... -2005+RTRS

Cheers,

Old European

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

... because of recent strong demand for cane-based ethanol in top cane-grower Brazil because of high energy prices you mean? Short term correlation has indeed increased, but long term correlation has changed only marginally.

Cheers,

Old European

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...

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...

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...

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 ...