Search found 49 matches
- Sun Mar 17, 2019 1:51 am
- Forum: Testing and Simulation
- Topic: Single Stock Futures
- Replies: 2
- Views: 3274
Re: Single Stock Futures
I’ve looked into it. Never traded SSF at One Chicago, but I came to the same conclusion you did: anemic volume (which also appears to be declining year over year too). A few questions: Why SSF and not the underlying securities? Do you need leverage above and beyond what a margin account offers? Do y...
- Fri Apr 27, 2012 5:49 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Beta 120
- Replies: 11
- Views: 14375
Re: CSI Beta 120
2) The custom roll editor is a powerful feature which now allows us to set ROLL BY DATE to a high level of accuracy, based on TRADING DAYS and based on any day of the month we choose to roll on. One example being now able to roll 'x' days before FIRST NOTICE DAY. You define when FND is, based on th...
- Thu Jan 19, 2012 12:19 am
- Forum: Futures Markets
- Topic: Suspicious data
- Replies: 51
- Views: 51430
- Wed Sep 29, 2010 2:01 am
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37624
- Tue Aug 17, 2010 3:23 pm
- Forum: Trend Indicators and Signals
- Topic: Least Squares But For Equal Area Above/Below the Line?
- Replies: 2
- Views: 5613
Least Squares But For Equal Area Above/Below the Line?
Least Squares analysis returns the coefficients for the Nth degree polynomial that has the least amount of total distance between each of the data points in a set of data. Does anybody know of an elegant mathematical way to solve for a linear expression that results in the most equal amount of area ...
- Fri Aug 06, 2010 3:24 pm
- Forum: Testing and Simulation
- Topic: LME Lead prices
- Replies: 15
- Views: 12677
For these markets, trading system code multiplies position size by zero. Thus position size for these markets is always zero. You don't trade them. For these markets, trading system code multiplies position size by a fixed constant number C, which is greater than zero but less than one. You take po...
- Mon Jul 26, 2010 8:04 pm
- Forum: Futures Markets
- Topic: Do any of you guys trade these instruments?
- Replies: 1
- Views: 2933
Do any of you guys trade these instruments?
Here's an email I sent to Mr. Wisdom at Wisdom Financial. I thought I'd post it here to get some additional input. Hey Shane, I had another quick question for you. Do you guys trade CSI symbols: CFC, DI2, IND, BGI, DIJ, DOL ? It appears they trade at an exchange in Brazil. If you do trade them, what...
- Fri Jul 16, 2010 2:24 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
Or is it because of your distrust of CSI data for liquidity figures?... Early in the data mining process, I realized there were a lot of subtle issues with CSI's data. Some, not so subtle. I emailed them a list of some of my concerns and asked for them to look into things. They looked into some and...
- Thu Jul 15, 2010 5:17 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
- Thu Jul 15, 2010 3:38 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
- Wed Jul 14, 2010 9:25 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
I revised the report and ran it for CSI symbol US (picture attached). I created a Latest Roll Date (get out by this date no matter what) statistic by reading in the expiration/fnd structures and calculating the oldest of the 2 dates for each active delivery month from 1900 to 1999 (100 years worth o...
- Mon Jul 12, 2010 5:25 pm
- Forum: Testing and Simulation
- Topic: How do YOU handle full size and mini contracts?
- Replies: 6
- Views: 5535
How do YOU handle full size and mini contracts?
Now that the bulk of my data mining is done, I'm building my portfolio in CSI and I've run across the decision of having to choose between using both the full size and mini contracts in my portfolio or choosing one or the other. Knowing that I plan to start with a relatively small account size ($75k...
- Mon Jul 12, 2010 3:41 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
I was thinking the same thing about prioritizing the time distance from exp/fnd as well, but for some of the instruments volume seems to roll pretty close to exp/fnd and the volume is pretty thin in the forward contract relative to the current contract. I think I'm going to add a field that lists th...
- Sun Jul 11, 2010 11:47 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
- Fri May 21, 2010 12:35 pm
- Forum: Data Providers and other non testing software
- Topic: First Notice, Expiration, Settlement Type and CSI
- Replies: 6
- Views: 5673
- Fri May 21, 2010 11:47 am
- Forum: Data Providers and other non testing software
- Topic: First Notice, Expiration, Settlement Type and CSI
- Replies: 6
- Views: 5673
You were right, AFJ, it has been a massive endeavor. Seems like questions abound and every time I attempt to answer one of the questions, it spawns several others. For example, I notice you have HKNVZ as the active months for CT2. Well, I wrote a script that calculates active months for me using the...
- Fri Apr 30, 2010 11:51 am
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
- Sun Apr 25, 2010 11:07 pm
- Forum: Testing and Simulation
- Topic: How did you go about picking rollover timing triggers?
- Replies: 40
- Views: 32153
How did you go about picking rollover timing triggers?
From what I've read, a lot of the traders on this forum use CSI's futures data to backtest and trade with. I'm curious, how did _you_ determine the various rollover timing triggers that must be used in your every day trading?... and why? A few months ago when I decided to finally make a serious effo...
- Sun Apr 25, 2010 10:33 pm
- Forum: Futures Markets
- Topic: CSI Symbol LGO Expiration & Notice/Delivery Question
- Replies: 2
- Views: 3105
Yeah... I had kind of figured that out from the data but I was confused about the delivery method so I decided to include expiration in there as well. The good news is that the Dictionary is almost complete! About 30 more instruments left to look through then troubleshooting the ones I've flagged. T...
- Fri Apr 23, 2010 3:42 pm
- Forum: Futures Markets
- Topic: CSI Symbol NGL -- A bit more confusion
- Replies: 3
- Views: 4053
CSI Symbol NGL -- A bit more confusion
Again, building an extensive futures dictionary. I'm probably getting burnt out dealing with all of the details, but this one is another one that looks slightly confusing to me and I thought I'd ask about it. I come away with: Contract Size: 1000 Therms Currency: GBP Big Point Value: GBP10000 (ten t...