Search found 25 matches
- Wed Nov 03, 2004 9:44 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103729
- Thu Sep 02, 2004 2:53 am
- Forum: Forex
- Topic: Backtesting a forex portfolio
- Replies: 17
- Views: 21659
- Mon Aug 30, 2004 3:48 am
- Forum: Forex
- Topic: Backtesting a forex portfolio
- Replies: 17
- Views: 21659
Frank, Yes, that's the idea. Except that I would consider 1 month libor rates (in Bloomberg, us0001m index, bp0001m index....) and would test the system with a monthly rebalancing of the portfolio. I have my own backtester in Vba that works well for testing futures; but it gets more complicated when...
- Sat Aug 28, 2004 10:20 am
- Forum: Forex
- Topic: Backtesting a forex portfolio
- Replies: 17
- Views: 21659
- Tue Jan 13, 2004 8:13 am
- Forum: Testing and Simulation
- Topic: Historical Data
- Replies: 31
- Views: 33712
- Tue Jan 13, 2004 4:11 am
- Forum: Testing and Simulation
- Topic: Historical Data
- Replies: 31
- Views: 33712
- Wed Jul 09, 2003 3:34 am
- Forum: Forex
- Topic: Backtesting and Accounting for Carry
- Replies: 17
- Views: 24945
- Thu Jun 12, 2003 3:35 am
- Forum: Futures Markets
- Topic: Historical End of Day Price Data?
- Replies: 8
- Views: 11404
I use Bloomberg for EOD data. Bloomberg lets you chose between settlement price and laste trade. For example, on EURIBOR contracts, the settlement price is at 16:12 and the close at 18:00 (http://www.liffe.com/trade/hours.htm) . I have tested a short term system on EURIBOR and have found a great div...
- Tue Jun 03, 2003 4:30 am
- Forum: Forex
- Topic: Forex Basics
- Replies: 21
- Views: 25464
June 2 (Bloomberg) -- The hedge fund of Paul Tudor Jones, which manages $8 billion of assets, views gold as effectively another currency, following moves in foreign exchange markets rather than supply and demand of bullion. Gold can be understood best when compared with currencies such as the euro, ...
- Fri May 16, 2003 9:38 am
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29904
- Fri May 16, 2003 5:23 am
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29904
Bollinger. Suppose you want to buy a 5 year bond (dvo1=D5) versus a 10 year bond(dvo1=D10). The 2 most popular methods to structure the trade are the following : - Dvo1 method : buy (1) 5year bond/ sell (D5/D10) 10 year bond. Roughly said, your PL will not move if each bond yield moves by the same s...
- Thu May 15, 2003 4:27 am
- Forum: Money Management
- Topic: Research papers
- Replies: 5
- Views: 7492
the best papers I've found come from the "gambling" literature. A pioneer in the field is Ed Thorp. Take a look at www.bjmath.com great site.
- Tue May 13, 2003 3:57 am
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29904
- Thu May 01, 2003 4:58 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103729
I have played around with the concept of Sharpe Ratio and posted this some time ago on another forum. Suppose you have System1 with an annualized rate of return over riskless rate m1, and with an annualized standard deviation of s1. Then, your Sharpe Ratio is SR1 = m1/s1. Now, you also have System2 ...
- Thu May 01, 2003 4:29 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 116932
- Wed Apr 23, 2003 7:14 am
- Forum: Stocks
- Topic: ilYzyPKPwhICaq
- Replies: 88
- Views: 116932
I have done some stock research in the past but have never pulled the trigger. There is one website that has very interesting information on the subject. http://www.fordinv.com/html/rs_specialStudies.htm I suggest you read the studies, starting with the oldest one. I have been doing some basic resea...
- Tue Apr 22, 2003 12:20 pm
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29904
Chuck Interest rate curve spreads likely aren't mean reverting I agree. That's why I was wondering if trend following systems worked on them. My testing has been mixed, so I was wondering if anyone had obtained clearer results. On the other hand, 4 leg trades like -Long EDM3 -Short EDM4 -Short EDZ3 ...
- Tue Apr 22, 2003 11:27 am
- Forum: Futures Markets
- Topic: Spreads
- Replies: 22
- Views: 29904
- Tue Apr 22, 2003 7:13 am
- Forum: Forex
- Topic: Forex Basics
- Replies: 21
- Views: 25464
Sounds a lot like what I was saying So I misunderstood what you were saying. Good luck with the easy money carry strategy. Did I say it was an easy money strategy? In the context of the above quote, what would you call it if you were very bearish USDJPY and sold rather than bought USDJPY? I usually...
- Tue Apr 22, 2003 3:54 am
- Forum: Forex
- Topic: Forex Basics
- Replies: 21
- Views: 25464