Traders' Roundtable

Our Firm has been beta testing Portara for the past two years or so and I can honestly say that it is the most versatile price data management solution for futures data that we have come across. The ability to create daily bars based on custom start and end times is a game changer. The decision to ...

Good point AFJ. A while back, I had written an alternate version of the "instrument.tradingInstruments" property which eliminates the "have price information for the current test date" condition. As a result, markets that are closed due to a Holiday (or weekend) are not excluded from the calculation ...

Sluggo's idea is a good one. Dynamically adjusting position size according to the number of markets available for trading can aid in keeping heat within a narrow range over long periods of time.

In order to test the "Closing Bid" to the raw contract close, I created about 1300 unadjusted price data files and combined them into one large CSV file. Thanks to Excel 2007, I was able to compare over half a million records in a snap.

Out of 1333 price files, only 6 of them had at least one ...

I have yet to receive a reply from CSI. To be quite honest, I have not attempted to contact them a second time.
After completing numerous comparison tests, I am confident that the "Closing Bid" can indeed be used as a proxy for the "unadjusted close".

Thank you Sluggo. I will contact CSI tech support and inform them of the problem.

I recently started scrutinizing the unadjusted close data generated by CSI UA ASCII field layout option "U" (Futures data only). Assuming that there are no specific issues with the versions of UA I tried (i.e. 2.9.3 and 2.10.3), there appears to be a serious problem with the unadjusted close data ...

Rentec is short for Renaissance Technologies ( http://www.rentec.com ). Their expertise is believed to be high frequency trading. The following is from Wikipedia:

Renaissance represents a validation of the quantitative trading model and trades with such high-frequency that it (the Nova fund ...

Barli: http://en.wikipedia.org/wiki/Renaissance_Technologies

jankiraly - I never meant to imply that one should always trade on the open.

Hiring traders or purchasing/outsourcing to/leasing an Algorithmic trading solution to minimize market impact costs is easier said than done. It is akin to allocating a portion of your capital to a high frequency trading ...

Thanks TK - one of the few threads on the forums that I must have missed.

The reason I brought up the topic of slippage determination for MOO/MOC orders is that some traders compare their fills for these types of orders to the actual open/close of the day. I contend that this approach is incorrect - especially when trading in size and/or in illiquid markets.

When a ...

Ted,

What's your approach to measuring slippage on MOO and MOC orders?

AFJ - assuming that you have an exposure cap by sector or sub-sector (e.g. max x% to equity index futures or max y% cap to European equity index futures), it probably makes sense to allocate to as many markets as possible within each sector/sub-sector subject to account size constraints (i.e. an ...

Great contribution Sluggo!! Sorta like a stress test for your entry logic.

The folks over at the RiskMetrics Group have thought long and hard about this subject: http://www.riskmetrics.com/stressovv.html

The full article can be found starting on page 61 of the following document: http://www.gloriamundi.org/picsresources/jkcf.pdf

Interesting approach but not trivial to ...

Lessons learned over the years:

1 - For Trend-followers, high negative correlation is as dangerous as high positive correlation

2 - Correlations during stress events are much more important than long-run correlations

Here's a system inspired by this discussion:

System 1 Rules:
1 - Pick a random number X between 20 and 200
2 - Wait X trading days
3 - Pick another random number Y between 20 and 200
4 - Flip a coin. If it is heads, enter a Long position and hold for Y trading days. If it is tails, enter a Short ...

Excellent modification Jake - makes sense to allow for unequal sector weightings (e.g. less exposure to the meats). It may also be worthwhile exploring modest random sector underweightings/overweightings.

TradingBlox Builder makes these types of tools easy to implement. Kudos to c.f. and Tim.

How about the use of randomized portfolios instead of synthetic data as a means of testing system robustness?

About a year ago, I wrote a Portfolio Manager blox which generates random portfolios based on specific sector constraints (see attached). The sector names must be in a specific format and ...