I don't know whether this might help your decision making?
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- Wed Dec 24, 2014 7:09 am
- Forum: Testing and Simulation
- Topic: Trend Following Without Rates?
- Replies: 7
- Views: 9942
- Tue Dec 23, 2014 11:05 am
- Forum: Testing and Simulation
- Topic: Trend Following Without Rates?
- Replies: 7
- Views: 9942
Re: Trend Following Without Rates?
The price of a futures contract is determined by the spot price of the underlying asset, adjusted for time plus benefits such as coupon and dividends.
- Tue Dec 23, 2014 6:34 am
- Forum: Testing and Simulation
- Topic: Trend Following Without Rates?
- Replies: 7
- Views: 9942
Re: Trend Following Without Rates?
Take a look at bond futures prices: 1) unadjusted and 2) back adjusted. Take a look at a bond index: 1) price only 2) with coupons reinvested. Take a look at a bond mutual fund: 1) price only and 2) with coupons reinvested. This will tell you where bond returns come from when you operate a constant ...
- Wed Nov 12, 2014 4:28 am
- Forum: Trend Indicators and Signals
- Topic: Trend Following risk factors versus buy and hold
- Replies: 1
- Views: 6566
Re: Trend Following risk factors versus buy and hold
The really Good News is that you can subscribe to Harry Long's algorithms: Note: Due to the sheer number of requests for bespoke quant strategies, research projects, and quant consulting services, we have instituted the following pricing for the non-exclusive licensing of our algorithms to instituti...
- Sat Oct 11, 2014 4:09 am
- Forum: Testing and Simulation
- Topic: Bond Funds
- Replies: 2
- Views: 6439
- Fri Oct 10, 2014 5:35 pm
- Forum: Testing and Simulation
- Topic: Bond Funds
- Replies: 2
- Views: 6439
Bond Funds
For anyone devising an asset allocation solution using bond funds, is anyone generating a mixed portfolio in CSI US of bond and equity funds? It represents a tricky situation in terms of dividends and their treatment. The basic point is there is no point treating dividends on bond funds in the way T...
- Tue Aug 19, 2014 11:31 am
- Forum: Data Providers and other non testing software
- Topic: Volume data in CSI - how stable are the estimates?
- Replies: 10
- Views: 10203
- Sat Aug 16, 2014 4:28 am
- Forum: Data Providers and other non testing software
- Topic: Volume data in CSI - how stable are the estimates?
- Replies: 10
- Views: 10203
You may find this recent reply from Richard Dale of Norgate Investor services helpful: Hi Anthony, You raise an interesting question… I’ve done some research and presented how our data works below. PRICE DATA UPDATE SCHEDULE Our consolidated tape price data arrives in two batches each day. 1. A ...
- Tue Jul 01, 2014 1:17 pm
- Forum: Futures Markets
- Topic: Which index is more popular on commodities?
- Replies: 3
- Views: 5644
- Mon Jun 30, 2014 2:47 pm
- Forum: Stocks
- Topic: CSI Dividend Info
- Replies: 4
- Views: 7529
Thanks Tim. Turns out the naughty monkeys hadn't un-encrypted them it seems. Very negligent of me not to have spotted it before. I had been lazily using dividend adjusted files and recently changed to using the cash dividends.......However careful I try to be I still seem to make endless schoolboy e...
- Mon Jun 30, 2014 2:37 pm
- Forum: Stocks
- Topic: CSI Dividend Info
- Replies: 4
- Views: 7529
- Mon Jun 30, 2014 2:26 pm
- Forum: Stocks
- Topic: CSI Dividend Info
- Replies: 4
- Views: 7529
CSI Dividend Info
I am authorised at the CSI end to have access to dividends and yet the csv files built by trading blox are blank. Anyone else having this problem?
- Thu Jun 19, 2014 12:46 pm
- Forum: Stocks
- Topic: Trading Blox Equities Portfolio
- Replies: 6
- Views: 8409
- Thu Jun 19, 2014 12:46 pm
- Forum: Stocks
- Topic: Trading Blox Equities Portfolio
- Replies: 6
- Views: 8409
- Thu Jun 19, 2014 12:08 pm
- Forum: Stocks
- Topic: Trading Blox Equities Portfolio
- Replies: 6
- Views: 8409
Thanks Jake, very nice explanation. And the portfolio tests very well. Yes, volume and price: unless we have the rolling number of shares in issue or a list of leavers and joiners in a relevant index we can't pursue the more usual index type market cap route. Which may be no bad thing. I have more o...
- Thu Jun 19, 2014 4:29 am
- Forum: Stocks
- Topic: Trading Blox Equities Portfolio
- Replies: 6
- Views: 8409
- Thu Jun 19, 2014 4:14 am
- Forum: Stocks
- Topic: Trading Blox Equities Portfolio
- Replies: 6
- Views: 8409
Trading Blox Equities Portfolio
I would be very interested to hear from Tim, Jake et al just how they devised this portfolio. Would you guys care to comment? Incidentally, see this thread at Traders Place: http://tradersplace.net/forum/thread/380/choosing-a-universe-of-stocks-to-trade/ In particular: I'm too investigating this iss...
- Sun Jun 15, 2014 5:00 am
- Forum: Stocks
- Topic: Selecting a Portfolio
- Replies: 7
- Views: 7762
- Sun Jun 15, 2014 4:34 am
- Forum: Stocks
- Topic: Selecting a Portfolio
- Replies: 7
- Views: 7762
- Sat Jun 14, 2014 6:45 am
- Forum: Testing and Simulation
- Topic: CSI Stocks: Active/Inactive
- Replies: 9
- Views: 8674
Ah! Just the sort of problem I'm trying to avoid. Using a combination of Python and mySQL we are building our own database which will only allow updates not retrospective changes. Instead of re-building the stocksinfo.txt file I guess one has to manually adapt for changes - and only for additions, I...