Traders' Roundtable

Just got a good ping back from ua2 and it appears to be up and running again.

I use ez downloader - no issues or error msg, works the same for me now as before Irma.

Are people connecting using ua1 or ua2 as their webservers or something else? FTP was up but that is not my method.

jas - so is CSI deep enough if you have the entire history they offer? I know for newer subscribers they charge a bit extra for this deeper history? For some US rates and series the St Louis Fed in the Fred database has data back to he 1950s.

As I'm sure you are aware of if one uses cash markets ...

Call back IB since what they told you or how the question was asked and answered is not correct for what you are looking for.

That list is just for stock index based products which have always needed to be approved (no action letter) well before Dodd-Frank. Other products like Bunds are available ...

Just an FYI that the 2Yr notes in CSI, symbol TU, appear to be incorrect for Friday. I'm showing 111.0 for high and settle which is way different than the CME is showing. TU2 is okay.

For you breakout traders might want to be aware of this potential issue and difference.

Also check out some of the FX research publications from big banks like JPM, DB etc. They list which FX pairs they trade (or model) in their various FX exotic beta products (like the G10 carry harvest from DB). Most banks list the G10 and EM crosses they consider liquid & important. This might be a ...

Some FCMs have ACH based transfer capabilities so this is a little easier than wires and can be done in your PJs with T+1 settlement or so. I know IB has this now and next year RJO will have this capabilities. So now you need to just find a safe bank with reasonable ACH fee structure. I know some ...

Actually MVO is worse as many people have noted in both academic and industry studies. Due to the noise in financial markets and lack of the ability to give accurate forecasts especially of future returns (mean part) MVO by many is considered an error amplification process, i.e. giGO. So people look ...

ColdFact

There are some papers on this subject of backward/contango that have been written mostly with respect to long only commodity indexes but in long/short portfolios too.

In general if you are long then backwardation is a "tail wind" and contango a "head wind" and vise versa for short ...

You need to understand the term structure for each futures contract in your portfolio as well as if it is in contango or backwardation. In general under some circumstances upto 1/3 of commodity returns are determined by the term structure vs the trend. For some of the commodities you mentioned ...

Babelproof

Thanks for the link and when I read the abstract it struck me as the opposite of what many researchers and traders believe and have observed. But after reading the paper it is clearer what they are saying and a word of warning. The VIX system is counter-trend (at the med to long term ...

...and individual strategies with a high sharpe ratios tend to have very limited capacity while they are good on the shelf or in the market

Don't get me wrong wasn't implying that Winton uses simple MA rules (nor the other funds I was framiliar with) just that simple MA techniques can fit within ...

Chris:

Let me just make a few comments on the technical points you mentioned.

Volatility forecasting is well known and MUCH easier to do in an economically useful manner than return forecasting. Lots of academic and industry papers on this. So forecasting daily volatility in a predictive way is ...

From an older Winton pitchbook - perhaps this helps? May have an even more detailed presentation from back when they had less than $500MM AUM. Note as they have grown the marketing message and details have changed greatly but I have seen version of this slide in presentations as late as 2009.

While ...

Mark:

First welcome to the profession of money management! Now you can begin to understand why it is not as easy as it looks as a business. Client relations and capital raising are by far the hardest parts vs system development and daily operations.

I have not heard of that clause you mentioned ...

I had a while back posted a blox in the marketplace that did compute a good estimate of the %-return on a back adjusted contract without the need for ratio adjustment. There are some slight inaccuracies due to data limitations but it may fit your bill. I also recall AFJG doing something with the ...

rhc - what about on #7 if you use some underwear as a "stop loss"? :shock:

oem - onto your request, one that many have heard of is not to significantly change (or modify at all) your system in the midst of a (large) drawdown. It is a play on that our human emotions get us to do things at exactly ...

Well isn't Newedge closely related to the French Government and (partially) owned by some of the banks that have the short restriction? Guess they don't want to say to the public "don't short us" while allowing clients to effectively short them via the CAC.

"Market Efficiency and the Risks and Returns of Dynamic Trading Strategies with Commodity Futures" by Lorne N. Switzer and Hui Jiang. The January 2010 version is the latest from what I know. Interesting, might have some flaws for the real world, but gets me thinking and doing my own research and ...

Yes sluggo that is a good article and for the Goldman-roll that is the current game, i.e. front running the dumb money (simple front runners) that front running the even dumber money (indexes).

There are a few other spread only traders out there of which a few are fully systematic although most ...