Traders' Roundtable

A strange contract this, with prices sort of 'discrete' rather than 'continuous'. Volume/OI figures look very sparse.

In testing I discovered that, due to the flat nature of the prices, you can end up with some interesting position sizes when using past (recent) volatility to set the betsize. I've ...

Levi wrote:What does your run #1 look like w/half the bet size? Probably a lot like run #3...

Not so good unfortunately: MAR of 1.3, Max DD of 40%. That led me down the path of increasing the bet size but then trying to take out some of the heat via other means.

causal links between markets come and go. you know better than a stat tool when things are linked or not.

Perhaps. But is causation the main issue? To my mind, if we use correlation measures as a tool to control risk, for example, it doesn't matter whether a price move in one instrument causes a ...

Here's the Hang Seng.

http://www.hsi.com.hk/HSI-Net/HSI-Net

The others should be fairly quick to google. Cheers