Traders' Roundtable

Hi rajivm,

I believe my reply was providing a useful source of information. That being said, I admit that it is highly tilted towards trend following.

I do believe that trend following is currently facing a difficult environment, facts are facts, but I have yet to conclude that it stopped working ...

Hi oem7110,

This is the latest best source of ideas I've come across recently.

Mr. Clenow offers a one month free trial to this gem of technical analysis for the futures markets.

Clenow Futures Intelligence

Mr. Clenow also has a great book on systematic trend following on futures.

Enjoy the ...

Hi All,

I have recently been confronted with a problem upon rolling my positions on JSE / SAFEX contracts. The broker I use no longer supports spread orders on these contracts which has left me with about 4 solutions:
1) Go with markets orders on each legs ahead of the open.
2) Go with limit orders ...

Hi chimera123,

Although I do agree with your comment that in the long-term it will "probably" net out, I also keep in mind Murphy's Law and the adage "Test what you trade, trade what you test."

That being said, my monitoring of the slippage arising from this very issue has indeed been very close ...

Hi Dwooten70,

Here's my solution to this problem. My motivations for a solution revolved around not being too late into the electronic session and not extending my workday too late in the evening. I use day limit orders and participate in all trading sessions except in Asian markets where the ...

Thanks for that note Shane. Much appreciated.

Hi domingoa,

I haven't gone around to doing this but you could do so using R in a "relatively" simple fashion.

When i'll get to that, I will:
- Use R and xts package
- Load Trade Log.csv in R object
- Sort by symbol
- Loop through each trade
- Load price data from TB price files if symbol is a new ...

Hi CSI Users,

This actually seems to be standard procedure as per the link below. It represents the VWAP from 13:59:30-14:00:00. A more representative settlement price than the globex close which sees less volume.

http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf ...

Hi CSI Users,

Looking at the charts on the CME website under the fx section, the settlement price on CHFUSD & EURUSD seem to spike down to pit close levels and resume back up to electronic close level on the next electronic open.

Any other user find this odd, normal, occasional?

Thanks,

Pierre

Hi trader20,

This document seems to provide a rather thorough explanation of the workings of EFPs.

EFP Document

I'm curious to know how many TB members use EFP for illiquid CME/FINEX cross-pairs. Also, I wonder if all the EFP activity is actually reflected in the reported volume numbers. I ...

Hi tradingleech,

I find the following offering hard to beat for security prices. For fundamentals, they have a product that joins on the "Compustat" database that sluggo referred to.

[url=http://www.crsp.com/products/stocks.htm]Center for Research in Security Prices[\url]

However, be prepared to ...

Hello everyone,

I was wondering how some of you handle CSI's combined electronic and pit traded markets. CSI completes its data update around 20:15PM at best but some electronic markets start trading earlier. Thus, the open for the combined contracts occur before we process the data and submit ...

Hello LeapFrog,

Maybe you could try this little piece of software to alleviate you frustrations.

AutoIt

It's a windows automation scripting language. The two ways that it could potentially help you is by:

1 - Create a script that launches CSI and sends the appropriate key strokes to CSI to ...

Hi all,

The best way to extract any significant amount of data from bloomberg has to be done through the API in C, C#, .NET or Java. I've done it in C and it works very well. You'll probably get around to learning one of these ways once you get tired of dabbling in EXCEL VBA to extract bloomberg ...

Hi all,

I added 2 blox in the blox marketplace that builds on sluggo's TMA with Profit Target. I achieve similar results with a portfolio of 134 markets. These blox allow for many profit targets to be tested (maximum of 5 for now). They also incorporate a volume cap.

Below are 2 samples. One ...

Good point, your example couldn't be any clearer and fresh to mind.

Have you done such research on historical JOINT distribution of daily returns?

I'm not sure how one would go about creating synthetic price series that could reflect both each market's daily return distribution and the ...

Hi everyone,

I was wondering if anyone tried to create synthetic price series for the markets they trade based on the historical distribution of daily returns. I guess one could do so in a similar way to Monte Carlo simulations in Trading Blox where daily returns of historical simulations are ...