Traders' Roundtable

Hi All,

Can anyone suggest a service that will track simulated contemporaneous trades?
i.e. they take uploaded trades each day (or whichever period).

Then track the trade, do the mark to market and PnL.
For a portfolio (all markets in the portfolio).

The intent is to develop a paper trading ...

Thanks for your reply.

"That the data isn't updated until after the open kind of makes that a moot point."

You discuss when to trade (i.e. Open, Close, etc.); and that is fine to investigate.

I believe this is a different issue. It's a structural problem due to the time availability of data - the ...

Systematic Trading of CME Globex Contracts

I'm interested in how others are implementing systematic trading of CME currency futures and getting their data from CSI Data.

My question is about getting the price data in time to process and place orders. The contracts trade until 4PM, start at 5PM ...

My apologies if this topic has been covered.

Does anyone use the CSI FOREX data in their trading? According to CSI ( link below is their web site) the CSI FOREX data OPEN is between 0 and 30 minutes after the CLOSE.

Those open-close times affect data collection, running the trading systems, order ...

I tested our systems on ETF's. I used approximately 20 ETF's to represent every market in our futures portfolio for which an ETF was available, or what seemed a reasonable proxy.

There was a significant trading performance deviation. At the time (about 18 months ago) one could see the price ...

I found, for my systems, that using ETF's (the actual buying and selling) as the trading instrument for trading system signals created from futures markets data vastly underperformed compared to the futures results.

Perhaps this is time frame dependent.

I found there is enough difference in the ...

"michaelt, your advice of volatility measurement definitely makes logical sense, however using current market volatility (VIX) alone is something i probably would not be inclined to use. The reason i say that is I'd need to determine the correlation between the current market volatility (VIX) and ...

trending3029,

Another possibility is to judge the environment with a volatility measurement. You could look at current market volatility - whatever you want current to mean, versus a longer-term volatility. When the ratio fits what you think it should be - say, high enough for break-out systems to ...

Hi, may I ask where you get your info for results of traders performance, such as Chesapeake?

Hi AFJ, I'm interested in this discussion and your and Tim's suggestions - I see the confusing impact of CSI historical adjustments. You posted a link but for me it's empty.

Moderator's note: that link points into the Trading Blox Customers Only area of the website. It is not accessible unless you ...

On Russell's web page , they have the current symbol list for the Russell 1000 and Russell 3000 (in pdf format).

Each list changes annually.

I am looking for the lists for the years 1991 - 1999. Any help most appreciated.

Thanks very much Sluggo. I downloaded the files.

I am working on an approach to guesstimate margin on an historical basis based on contract value and volatility.

I haven't worked out the details, so I have yet to see where idea meets problem.

I might be not fully understanding the question's intention. I interpret the question to be how to compare systems that have different nominal values for PnL, drawdrown, etc.

The way I compare systems: Each system is capitalized with a multiple of it's drawdown. (Say, 5X). Then the metrics such as ...

I tried that... but will try again.
Thanks for the tip.

Hello group,

I want to know how much portfolio margin is used over the life of the test.

Margin, contract volatility and contract value change through time. This makes the position size for any market possibly change over time.

To be accurate the margin needs to be that when the historical trade ...

Hi,

You wrote:

"Similarly, what is the problem with closing out the current contract and then waiting a few days before switching to the next contract that has both a higher volume and open interest? "

Under what basis would you exit? Why exit? Wait how long? And why that length of time?

I think ...

It is my experience (and I defer to better and more experienced traders and analysts) that stock and futures require different trading approaches. They are two separate asset classes and have different economic roles and functions. It's not surprising that their price behavior is different.

re: building continuous contracts:

What is the problem with switching to the next contract that has both a higher volume and open interest, and on the day that both occur?

Thank you. It looks interesting.

-Michael

Thanks Sluggo,
Yes, that did it (I had done that earlier) and indeed the voodoo rituals (a great term) did the job. Thanks so much for going though the data as you did. I am going to move my comment at the top of my post - or should I delete the post? - so no one is confused. perhaps this issue ...