Traders' Roundtable

michaelt,

I do not know if there is an issue or not. If there is an issue it would be with price. There is chatter on the web about rolling and contango. ETF's tracking commodities have to roll at some point. The CL contract has also been sighted as being sensitive to contango.

Creating ...

Excellent ideas Sluggo,

In addition, I would also like a metric that measures the sensitivity of an instrument that is subjected to an adjustable roll trigger/strategy. Another project to put on the books.

I ran into this post on http://www.bigmiketrading.com. This is the link:
http://www.bigmiketrading.com/commodities-futures-trading/5213-accurate-cl-crude-oil-futures-contract-continuous-back-adjusted-chart.html#post77686

This is the content of the post:

This is an article showing the real problem ...

I was wondering if anyone has tried to construct a portfolio using pairs?

For example:
Say System A has optimal parameters X
and
Say System B has optimal parameters Y

To keep things simple let System A, System B be single instrument systems. Combine both systems A and B into one system AB a (two ...

I have both CRB and CSI feeds.
I did not like Unfair Advantage when I first started using it, but
have been able to tolerate it. It works OK, has some extra functions.
CRB is more to my liking but does not have all the bells and whistles as CSI.
Using CSI's Unfair Advantage I manage to shoot ...

Hi,

I am just starting out in generating continuous contracts.
I am writing in C++ and QT. So far, I have
reversed engineered a few of CSI's back adjusting methods.
I am using CRB and CSI data. I can replicate one of ED's
methods. Ed's continuous gold contract is a bit strange in the
way it ...

ecritt

How many days lag are there in CSI data when they adjust for dividends?

You raise a good point!! HMMM I may be acting on a few false sell siganls when dividends are being paid out.

I use R for visualization. Let the simulator spit out the data and load it into R. R also has very good data manipulation capabilities and a quant lib.

http://www.r-project.org/

I noticed that most of the stocks the simulator picks are in the IBD 100 or end up in the IBD 100. The IBD 100 are the best stocks according William O'Niel's picking criteria.

I was wondering if anyone is using R for testing mechanical systems?

http://www.r-project.org/


Lawrence

One industry source said: "There have been rumours for several years about a device that could compute the rate at which the speed of a roulette wheel and the ball degrade.


Black Swan or fat tail !?!

best regards, as ever


I think Edward Thorpe developed the first wearable computer to do this ...

Thanks Hiramhon,

your spreadsheet cleared things up for me.

Eck,

I do not see why Hiramhon's example would not work for short or longs. If one looks at his spread sheet, it considers returns from an equity regardless of position. From this perspective longs and shorts trend in the same direction ...

After shooting my self in the foot, Kevin eloquently described what I would a call desirable objective function for correlation:

In other words, adding equal slope to a negative correlated series resulted in a highly correlated pair.

Wait, but I actually want a portfolio behavior that's smooth ...

Omit this is message , it is erroeneous beyond repair!!!




I looking for comments on alternative objective functions of correlation and diversification.

Here is some of my reasoning. (Omit this is faliciuos)
Take two instruments A and B.
such that correlation(A, B) = 0
We now have zero risk and ...

I am not sure if it would be that simple if you look at a portfolio. I am thinking in terms of combinations of n distinct instruments of one unit.

C(n,r) = n!/(r!(n-r)!

For arbitrary r the combinations increase and increase more if one allows pyramiding of instrument units. In addition, the ...

I have been kicking the can around about correlation. My concern is that correlation is backward looking and thus is use for trading in the “now “is limited. Any type of diversification is a good thing.

Say we have two time series A and B.

Then we construct a table

<table ALIGN=â€

Does anyone have Wavelet experience. I am wanting to reproduce a wavelt filter, specifically Symlet4, level 5. I have the specicifcation from Matlab but wish to reproduce this filter outside the Matlab environment.
Has anyone worked on this type of issue before.


Bruce you might want to look at ...

Kevin

What leads me to say this is that markets (i.e. unique symbols) trade differently.
...
assigning a fixed stop amount to different markets



Do the original turtle rules distinguish stops and entries for different markets?

I am also puzzling over this idea. A stock like MU trades at lower ...

This is not a completely mechanical trend following approach. I am talking about something that can be backtested. If you choose your signals at random, how can you backtest this? How do you know your results will be the same in the future? How do you know that buying 52 week highs with loose stops ...

trendguy,

Try using larger time frames for moving averages and breakouts. Trade small portions -- diversify. Separate longs from shorts. Long side usually does better. When you get multiple signals choose siganls at random and create a baseline. Then implement a chooser later. Trends are hard to ...