cfd's

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

cfd's

Post by ES »

has anybody backtested a trend following/turtle system trading cfd's ?
any suggestions for a data provider?
sluggo
Roundtable Knight
Roundtable Knight
Posts: 2987
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo »

When doing a Search for "CFD" here on the Blox Trader's Roundtable, two CFD broker firms pop up again and again.

Visiting their homepages, one of them says "(Our firm) is represented in the UK, Australia, Germany, New Zealand, Singapore, Spain, Hong Kong, Ireland, Japan, China, Sweden, Norway, Austria and Canada.

The other lets you Select Country from a menu of Australia, Deutschland, Espan~a, France, Ireland, Italia, Portugal, Singapore, Sveridge, UK, USA, Russia. But when you click the USA link, that site only shows FX and not CFD. To see CFDs you need to click a non-USA country.

(There are quite a few CFD posts here on the Blox Trader's Roundtable, some of them discuss trendfollowing).
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

Post by ES »

I'm talking to CMC and ODL. I was inquiring whether anyone has backtested this data. you indicated that you're trading a live futures portfolio. have you not considered cfd's ? they offer greater leverage. l
rhc
Roundtable Knight
Roundtable Knight
Posts: 464
Joined: Tue Nov 18, 2008 8:46 pm
Location: Oz

Post by rhc »

have you not considered cfd's ? they offer greater leverage.
I may way wrong here, but CFD trading reminds me of trading in the old ‘bucket shop’ days as described in “Reminiscences of a stock operatorâ€
Mats
Roundtable Knight
Roundtable Knight
Posts: 145
Joined: Thu Feb 28, 2008 2:59 am
Location: Stockholm

Trade CFD's

Post by Mats »

I trade CFD's in one system. I trade CFD's on future contracts but i have backtested with real futures data.

It works quite well if you have a system that not trades to much, in that case the commissions will eat you up.

I use CMC markets, for the trading.

Sluggo, this is not as the old bucket shops, but i think there are differences, my experience is the you never get those fills on the boundarys on CFD's that you can have on future markets that are electronic now.

CFD' on future contracts is open for trading mainly when the old outcry sessions were open so actually on some instruments i think the fills are more predictable.

The spreads are much wider and BP values are less and you can not choose the roll dates at all.
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

cfd's

Post by ES »

thanks mats.

Sluggo,

Can I enter a series of trades into trading blox and compute all of the stats?
I have approximately one thousand trades to analyze to determine the efficacy of a particular trading methodology?
thks again.
ps Tim appears to be absent until jan 9th ?
LeviF
Roundtable Knight
Roundtable Knight
Posts: 1432
Joined: Mon Dec 22, 2003 12:24 pm
Location: Des Moines, IA
Contact:

Re: cfd's

Post by LeviF »

babyturtle wrote:
Can I enter a series of trades into trading blox and compute all of the stats?
I have approximately one thousand trades to analyze to determine the efficacy of a particular trading methodology?
I havent tried it, but you could try to import your trades into the Broker Positions file.
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

levy

Post by ES »

thks
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

counter party risk

Post by ES »

Matts,
rhc raises the issue of counter party risk (here). have you experienced any issues? next odl offers a coding platform. have you tried automating any processes?
thanks for the feedback.
Chris67
Roundtable Knight
Roundtable Knight
Posts: 1052
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Post by Chris67 »

Ive been using CMC for 10 years - although now i use ADM on our fund - i still have some currency hedges with them
A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases
Asamat
Roundtable Knight
Roundtable Knight
Posts: 175
Joined: Fri Jun 03, 2005 7:50 am
Location: Walldorf, Germany

Post by Asamat »

Chris67 wrote:A bucket shop as opposed to the pristine state of using a bank or the majority of other financial institutions as a broker is imminently preferable in most cases
Why? Could you tell us more about what you mean with that sentence?
Chris67
Roundtable Knight
Roundtable Knight
Posts: 1052
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Post by Chris67 »

Asamat
The sentence is quite easy to understand ... surely the last 12 months has taught us that large financial institutions havent got a clue what there doing ... many funds and traders used lehman as a broker - didn't really get them too far ?
Given that the entire u.s banking industry has now been given a huge dose of crack cocaine with which to go out and make all the mistakes again - do you honestlt think they are asafe bet
My comparison is simply that in my opinion CMC are as safe if not a safer bet to use as a broker than any other financial institution or broker ?
Mats
Roundtable Knight
Roundtable Knight
Posts: 145
Joined: Thu Feb 28, 2008 2:59 am
Location: Stockholm

Conterpart risk and automation

Post by Mats »

Babyturtle.

I can not tell anything about counter party risk, Lehman went bankrupt so anything can happen and will happen!

It is not possible to automate trading with CMC Markets, they do not have any API or tools that i am aware about. To trade with CMC you must buy quotes from anythere else for testing. Their CFD's on futures contract maps exactly to the real thing (except for boundary fills) and some trading hours.

I trade one system with real futures and one system with CFD's. They have the same strategy except the roll dates. I get fewer fills with CMC markets.

Good luck :D /Mats
ES
Roundtable Fellow
Roundtable Fellow
Posts: 97
Joined: Mon May 05, 2003 1:02 am

mats' reply

Post by ES »

thank you.
Asamat
Roundtable Knight
Roundtable Knight
Posts: 175
Joined: Fri Jun 03, 2005 7:50 am
Location: Walldorf, Germany

Post by Asamat »

I'm using WHS selfinvest, a Luxemburg based CFD broker, for a few months now. I find them a serious business, and perfectly suited for trendfollowing (or other long-term strategies). They answered all my mails on the same or the next business day with good answers. WHS selfinvest is IB for GFT-UK.

Commish is a fixed amount per trade (3 EUR per halfturn). Plus a fixed spread, which is known in advance. You find the size of the spreads on their website. It is for example 0.7 for Gold, 0.4 for Life Cattle, 0.06 for Sugar and 0.7 for the S&P. With current volas (measured as ATR10) being 15.4, 1.01, 0.98 and 14.3 for these instruments, respectively, this amounts to spreads of 4.5%, 40%, 6% and 4.9% of the daily range.

I had no strange fills so far, everything is synch with TB. I find this very suitable for being able to do a feasible positions sizing for high-valued, high-vola futures. For example, you can trade the S&P down to a size of 1 / 250 part of the big futures size. (Future size is 25$ per 0.1 index point, mini size is 5$ per 0.1 index points, CFD size is 1$ per 0.1 index points). Gold goes down to 1/10 future size, for Copper the CFD size is 1/12.5 of the size of the future.

What these "bucket shops" don't like (and there you find many stories on the web of aggreviated users), if you are trying to take advantage of them. That mean, if you trade directly against them, for example like trying to arbitrage between several CFD vendors, or by trying to use their fixed stop guarantee during times of major currency news. For intraday trading they are inferior to IAB, for example, due to the larger spread. But for long term trading I find them usefull, as decribed.

For a growing number of instruments they also offer CFDs based on the cash market instead of the future. There you dispense with rolling entirely. On the other hand you have to pay a daily amount for the credit you receive (which is already build into the future), but their charge is of course above the market rate (upon which the future is based).
Chelonia
Roundtable Knight
Roundtable Knight
Posts: 522
Joined: Mon Apr 30, 2007 3:37 pm

Post by Chelonia »

Could you say that CFD´s are well suited for smaller accounts aiming to achieve required diversification? How are margins set? Could you run a portfolio of 40/50 financial/commodity CFD´s with 10k due to lower big point value. Thanks
Post Reply