Traders' Roundtable

Hi,

I'm trading Bond Futures using trend following and I'm trying to figure if there is a futures contract price that implies a negative yield for the underlying bond.

This is obviously a "soft" top since bonds can (and recently we've seen it in German Bonds) trade at negative yields but I still ...

I do that. The main point at the time of the decision was that I could get more data on things like first notice dates, etc... From Bloomberg, so I could setup my own rolling criteria. Or so I thought.

The other thing was that it was easier at the time to just use the Bloomberg Excel adding instead ...

Hi guys. I want to get detailed information about how margin works when you use IB's Universal Account for trading non base currency futures. I thought some of you know about it and can share pointers to/or information about it, cause I wasn't able to find much on my own.

I was not able to find ...

Hey Ratio. How's your project going? I'm looking forward to hear from it.
Cheers, Cord

Thanks for the Seykotaesque repy Sluggo :-)

BTW and changing subjects, what are you gonna do with your orders on US Exchanges today? Are you gonna recalculate them after the 1030-1200 CT close, or are you gonna use the ones you generated on friday, given that a) there are no settlement prices today ...

Hey guys. Igenerated my orders last Friday. This Sunday the Globex is open, and trading will be halted on Monday between 1030 and 1200 cst, depending on the product. Trading will resume at 1700. So I have two questions:

Will you generate orders for Tuesday on Monday night or keep Friday's?
Will it ...

Hey guys. Here's a link to the full analysis

http://online.barrons.com/article/SB50001424052970203523604576188781715729822.html#articleTabs_panel_article%3D1

Attached is the final table. Cheers, Cord
PS: Tradestation as being n1 surprised me. Not so much IB not being n1, since as good as it is ...

Excuse my ignorante, which contract was 17% up? I coannot find it.

Edit: excuse my typos too, I sometimes forget to switch languages on this spelling checker.

Sugar was pretty mean yesterday...again. I wonder what's the cause of this.

I guess you're right. I was at the telephone with them all the time, but we concentrated on fixing the issue instead of doing it in an alternative way. I also guess that they are too automated to have a good reliable human execution.

BTW Sluggo, do you have any way of finding out realtime if there ...

Today I couldn't execute with my broker. The error said that the price was outside the limits, even for market orders. So it looked like a glitch. But watching the chart it looks like a lock/limit.
How do you confirm if the market was locked or not? Check the strange Soybean Meal chart (SMH1):

I don't know if you read this old stuff about Eckhardt:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=75851&perpage=6&pagenumber=1
He said they only use price, they don't use summary stats like moving averages, and that things like breakout levels take into account just two pie es of data ...

The chart is from Bloomberg. I am pretty sure that you can roll your own with something like eSignal, Tradestation, and I am 90% sure I saw it on the free Quotetracker, at least for stocks, and in Stockcharts.com.

The bars count the amount of contracts (y axis) traded at the days' prices (x axis ...

I think it was real, and the lower prices attracted a lot of volume.

Happy new year.

Thanks for the clarification, Sluggo. I guess it could be a matter of getting anticorrelation by trading/timing versus by asset allocation, which is supposed to bring anticorrelation by itself.

I think that depending on the "client" (be it yourself or another person), comparing to the benchmark can ...

Thanks everybody for the thoughts. Since then I've been tryng stuff. On a breakout system with stocks, shorting stocks takes the MAR from 0.6 to 1, and it makes both the CAGR and the maxDD bigger.
I also tried using half the risk per trade and the stop distance with shorts, and the MAR improved ...

Hey guys. What's your opinion on using a different % risk on equity with long versus short trades? Any practicioner?
Let's assume that shorts are faster than longs (a test on emerging markets showed me that for the decade short movements are 2/3 bigs than longs, and they last half of the time). If ...

Hi,
I'm trying to expand on the sample historical data provided by downloading the series from bloomberg. However I haven't been able to find in the User's Guide how the rollover on the data provided is performed so as to be able to match it.
Does anybody know where I can find out?
Thank you!