I think there are two answers to this question. Firstly why do most people do it, and secondly why do I do it? For most people; trading is seen...
I guess its down to where you come from. Many people I used to work with were rocket scientists or particle physicists, toting phds in maths and...
I'd never heard of that performance metric until just now. Googling it seems to be defined as gross profits over gross losses. Since I don't track...
I'm trading fully systematically so my context will be different to many. It's about 20% for the money, and 80% for the fact I find 'it'...
Todays trades Trades take 1 code contractid filled_datetime filledtrade filledprice 2892 ASX 201503 2015-03-09 02:14:43...
Trades code contractid filled_datetime filledtrade filledprice 2884 AEX 201503 2015-03-06 08:02:31 -1...
About 33% of capital. Yes, 1983 is the biggest; though there are only 4 markets with data then. The first interesting drawdown is 1994 (Fed...
Here you go. Although its .txt extension, its actually csv (ET won't let me upload .csv files). Missing data is blank. Each return is based on...
Yesterdays trades: Trades take 1 code contractid filled_datetime filledtrade filledprice 2851 AEX 201503 2015-03-05...
Don't you think this is a form of overfitting / curvefitting?
Yes, no problem, but it might take me a couple of days to organise myself.
1) The EURUSD IMM future is the thing that worries me the least about the Euro breakup. Nearly all the volume is in the nearest contract. I assume...
I've finally got round to producing a new backtest which can be found here The bottom line is that the last year has indeed been exceptionally...
code contractid filled_datetime filledtrade filledprice 2849 AEX 201503 2015-03-04 08:02:38 -1 481.250000 2848 AUSSTIR...
To add a slightly different spin on this fascinating issue, I think there are several key questions. First question is, are you trying to predict...
Trades yesteday code contractid filled_datetime filledtrade filledprice 2846 BTP 201506 2015-03-03 07:32:43 1...
Yesterdays trades code contractid filled_datetime filledtrade filledprice 2838 BOBL 201506 2015-03-02 07:32:43 3...
Some contracts are highly correlated to the front month. There is no need to trade anything else. When that doesn't happen other months are more...
A relative newcomer should be trading with little money and so getting the lowest cash risk is the most important factor I think. I'd suggest the...
Change in delivery basket http://www.cmegroup.com/trading/interest-rates/files/mar-15-jun-15-roll-analysis.pdf
Separate names with a comma.