A couple of interesting articles

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.
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A couple of interesting articles

Post by M20J » Tue May 18, 2010 9:17 pm

I thought others might enjoy these too. The meat from the mechanical traders' point of view is related to contract rolls - none of it earth shattering, but it's always good to be reminded that the standard CSI rolls aren't the only option. There's also some other food for thought in there, along with a good dose of opinion.

Hope these are of interest.

http://www.investorsinsight.com/blogs/j ... s-con.aspx

http://www.sfomag.com/CommentaryTwo/Def ... taryID=181

Moto moto
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Post by Moto moto » Fri May 21, 2010 6:14 am

Good articles - Shows how important it is to understand exactly what it is you are investing in.
A bit like investing in gold mining shares to represent a gold exposure. All well and good so long as any currency appreciation and equity and management risk does not cost you.
If you approach ETFs first and foremost as products designed to give the originators fees.... then after that if they give you the exposure you require then great.
Plus, I hate that retail TV channel called Bloomberg (the rest of its fine) when they report crude up 93% for the year...... really and how or who exactly managed to capture that. The best part is that many, many, many people actually take it as gospel.
Thank god for marketing and spin, otherwise we will have to deal with reality, volatility and bid ask spreads, slippage, no free lunches, irrational human behavior and people motivated by their own self interest....

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