Traders' Roundtable

One cheap-and-cheerful solution - Yahoo finance provide pretty good stock histories for a good cross section of the European market. If you look at the prettified data, they split the dividends out for you, eg:

http://finance.yahoo.com/q/hp?s=BBVA.MC+Historical+Prices

You can also directly request ...

A couple of interesting articles on the Knight debacle:

Why Knight lost $440 million in 45 minutes

What Really Happened, or How to Test Your New Market Making Software and Avoid Detection and Losing a Pile of Money, Fast

I always find it strange when people plot currencies on a linear scale and then draw trend lines on them. Surely, if the trend line has any validity, it must give exactly the same signal on the inverse of the currency? So they should only ever work on log-scaled graphs.

Spread betting? Sounds to me like a good way to run through 10k. Not legal in the US afaik, but in the UK the main outfits (IG Index, Capital Spreads, etc) are infamous for moving the market against high rollers to stop them out. Might as well just go to a casino.

I used to be extremely sceptical ...

Trading Leech wrote:I thought many systems traders still preferred not to trade while markets are open...

For sure, there are times my systems' performance would be improved if I tried to trade only when the markets are closed.

I'm pretty sure ZB is the equivalent code for the ECBOT long bond futures and ZN for the ten-year.

Given the very tight bid-offer spreads, you may find the cheapest solution to buy another $9k so that you've got $10k to sell.

Although recent days in the Swiss Franc have been a slightly painful end to a great trend, I don't see the recent announcement as heralding a great change. Currency intervention and shadowing was a frequent feature of the heyday of trend following strategies.

Although while the shadowing is ...

I have to admit to being sorely tempted to attend the Singularity Summit, which looks to have a really interesting program this year. I'm sometimes a bit tight-fisted with discretionary spending on myself though, so I haven't quite committed myself to it yet.

In a finance-related aside, one of the ...

They do not create more pain - they create more work

Although to be fair, stop orders can on occasion be very successful at creating more pain too.

I don't trade stocks myself, so these are just a few random thoughts to throw into the mix...

- Market capitalization - possibly it works best with companies that are neither penny stocks at one end, nor big cyclical stocks at the other. Is there a sweet spot or range to aim for?

- Realized ...

It's been a while since I looked at it, but Automated Trader Magazine had a sister website called Alphability which produced a range of similar statistics.

http://www.automatedtrader.net/articles/alphability/

From what I remember, you can see quite a lot of the website just by registering. I ...

A recent copy of the CME Daily Livestock Report gave a good explanation:

http://www.dailylivestockreport.com/doc ... 0-2010.pdf

Many apologies for defending investment professionals, but very many of them trade ETFs not through choice but because their hands are tied by their company's dealing rules. It's not at all uncommon for there to be a blanket ban on trading futures and options. Even though there are restrictions ...

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 ...

AND most importantly (to me): with a retail API access (which would allow for a program to be written and not skip any SL orders)...

GFT are the only true spreadbeting company I've come across who have an API. They're a bit protective of it, I think mainly because they worried about being arbed ...

Many thanks to everyone for their thoughts.

Regards,
David

Darran - I'm not sure where you're coming from with the deflation comment - perhaps you could explain. In a deflationary environment it seems to me you'd be much better off short commodities than long Eurodollars.

Sluggo - they're only cousins, rather than brothers, but both contracts do suffer ...

Here's a question I'm not sure how to backtest.

It's somewhat difficult for the Eurodollar futures to now develop a meaningful long-term uptrend. You could theoretically squeeze another point out of them, but that's it. With the downside risk now so significant relative to the potential upside ...