Traders' Roundtable

Yes, that is my question. I hope it does 'just work'. Thanks for relating your experience, it is encouraging.

King1999 - it seem odd to me, the idea of using an external piece of hardware to share an internet connection between machines that are both running on the same motherboard. Generally speaking though, I agree with you.

Getting off topic, but I use one of those 3G wireless data cards/cell phone ...

The latest OSX version (leopard) is supposedly just around the corner. I might wait for that rather than pay for the upgrade.

Can anyone comment on configuring DSL sharing, eg: OSX is used to connect to DSL and Windows uses that connection.

Thanks for your user review.

This Parallels software has really got my attention: the biggest bonus is it allows file sharing between operating systems, so you can easily email a Blox object using your email client in OSX. Or you can open CSI ASCI files in Excel that is also in OSX. Without such ...

Traveling with the idea a little further (but possibly not arriving anywhere in particular):

System A trades Futures x, y and z. The individual equity curves from each product, derived from the one system, System_A, could be seen as 3 separate investments and you can only be long each equity curve ...

On the topic of system equity curve correlations (not individual instrument correlations):

You can only be long or flat a trading system. You can’t go short the equity curve. You are invested or you are not.

So since we are restricted to long-only system investments, I would want to allocate ...

Well, you might be clever, but you're not much fun. Spoil sport.

And hence the value of calculating correlation of de-trended series.

I very quickly threw the only Excel de-trend addin that I have at the data and detrended one series, correlation 0.10. My results are rubbish

Having extended the chart and plotted progressive correlation in pink (and broken a few rules).

Earlier I just asked three late workers in my office to guess the correlation of the blue and grey equity curves. Two said negatively correlated, one said zero.

Grey and blue equity curves have a correlation of +0.68 even though they never move in the same direction on the same day. And the longer ...

I have found some pairs show low correlation (monthly, last 5 years). An example is SI and HG at 0.34 based on futures or 0.37 based on spot physical. I am using Bloomberg data and function to calculate.

I know intuitively that a system I am researching produces synchronised equity curves for both ...

Now you guys speak up with the bright ideas.

I expect a few hundred dollars from everyone who avoids this costly error as a result of the above advice from Sluggo (at 5:53pm, 13 Oct 06)

Learning experiences though loss are worth money! I should start selling them at a small discount to what it ...

My system rejected an entry a few weeks go on the basis of too much open risk. It was in CSI symbol SXX, as above.

Today I noticed the performance of that symbol and pondered the rejection. It didn't seem right. I looked at it... hang on there's and extra zero in the CSI data. The open risk on the ...

BARLI - I genuinely do not think you understood my post and most certainly not c.f.' enjoyable response and reasoning, which is a slight yet correct variation of my view and irrespective of that, arrives at the same result.

You could have (but certainly didn't) note that I never said "more sellers ...

bill, you seem to be entering the trade when everybody is already getting out of it, make some research on Lumber's seasonal tendancies....
I guess the membership of your class "everybody" are people with long positions, and getting out means selling?? I know that isn't what you meant. You meant ...

Won't your system give you a signal to buy just due to the carry factor (+18.10)?


No. The entire continuous synthetic time series will be (was) back adjusted by the amount 18.1

If I simply chained the contracts together then your concerns would be valid and my time series quite useless.

(was ...

Hi Cliff, I drive very frequently all around certain parts of continental Europe and you do see quite a bit of biodiesel on sale. It was after all 'invented' here by a German fellow quite a long time ago (Herr Diesel, no less).

I trade a whole range of system tenors, but in the context of this ...

AFJ Garner,
Just curious to know if your system has signaled you to trade canola from the long side? It has had a steady run up over the last while.
Ditto for Sluggo.
CliffordG

I am neither AFJ nor Sluggo, but my system is close to, but not yet signalling a long in canola. I added this little guy ...

Mowgli, I have often seen the same thing - data corrections from 3 or 5 or 7 or 10 (!!!) years ago. Such data corrections make little sense and in no way support the gushing claim that CSI are " really committed to achieving accurate data" as PaulZ asserts in his apparently non-affiliated support ...

It's just a matter of time.

http://finance.google.com/finance

Two types of slippage:

1. Really bad fills on normal days. No worry to me as I look to hold Rand contracts for >1 year and take significant profits. If getting a buy filled at the high of the day is a problem then my strategy has a serious shortcoming. For some strategies (the one I am discussing ...