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  1. Decompose of Euro Currency.

    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...
    Post by: globalarbtrader, Mar 5, 2015 in forum: Financial Futures

  2. Fully automated futures trading

    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...
    Post by: globalarbtrader, Mar 5, 2015 in forum: Journals

  3. Fully automated futures trading

    code contractid filled_datetime filledtrade filledprice 2849 AEX 201503 2015-03-04 08:02:38 -1 481.250000 2848 AUSSTIR...
    Post by: globalarbtrader, Mar 5, 2015 in forum: Journals

  4. Options vs Futures

    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...
    Post by: globalarbtrader, Mar 4, 2015 in forum: Options

  5. Fully automated futures trading

    Trades yesteday code contractid filled_datetime filledtrade filledprice 2846 BTP 201506 2015-03-03 07:32:43 1...
    Post by: globalarbtrader, Mar 4, 2015 in forum: Journals

  6. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2838 BOBL 201506 2015-03-02 07:32:43 3...
    Post by: globalarbtrader, Mar 3, 2015 in forum: Journals

  7. Spread trading currencies

    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...
    Post by: globalarbtrader, Mar 2, 2015 in forum: Financial Futures

  8. Best futures for relative newcomer in futures trading

    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...
    Post by: globalarbtrader, Mar 2, 2015 in forum: Trading

  9. June '15 ZB

    Change in delivery basket http://www.cmegroup.com/trading/interest-rates/files/mar-15-jun-15-roll-analysis.pdf
    Post by: globalarbtrader, Mar 2, 2015 in forum: Financial Futures

  10. Interesting blog on BlueTrend fund and system development

    Yes SR - Sharpe Ratio. And I meant higher in the past. My bad.
    Post by: globalarbtrader, Mar 1, 2015 in forum: Strategy Building

  11. Storing trading strategy logic

    All of this is possible without crunching your logic into a particular format, or weird descriptive language. As you allude to some kind of...
    Post by: globalarbtrader, Feb 28, 2015 in forum: App Development

  12. Interesting blog on BlueTrend fund and system development

    The p-value you get from bootstrapping returns will be a function of how many observations you have and what your realised Sharpe Ratio is. So for...
    Post by: globalarbtrader, Feb 28, 2015 in forum: Strategy Building

  13. Fully automated futures trading

    Todays trades code contractid filled_datetime filledtrade filledprice 2827 ASX 201503 2015-02-27 01:26:43 1...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  14. Fully automated futures trading

    Okay I'll try and be very explicit. I have an average, long run expected risk target (not a threshold): annual risk target = 25% of capital at...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  15. Trend following still works

    No I ran a third (the fixed income part) of a $15bn portfolio. The AUM number is meaningless without a risk target which is why I said that if...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Index Futures

  16. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2816 AEX 201503 2015-02-26 16:37:30...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  17. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2809 AUSSTIR 201606 2015-02-25 06:14:16...
    Post by: globalarbtrader, Feb 26, 2015 in forum: Journals

  18. The fallacy of "continuous Kelly"

    I guess we shouldn't bother continuing the argument since my apparently wrong approach gives exactly the same result as yours, and I think we can...
    Post by: globalarbtrader, Feb 25, 2015 in forum: Risk Management

  19. The fallacy of "continuous Kelly"

    I don't understand where you get the numbers from, or indeed your 'CK' formula. The mean, mu, of this example bet is 11.1%. The sigma is 12.3%....
    Post by: globalarbtrader, Feb 25, 2015 in forum: Risk Management

  20. Trend following still works

    I can say a bit as I'm now retired. I ran a portfolio of fixed income systematic strategies, mostly trend following. To give you an idea of size,...
    Post by: globalarbtrader, Feb 25, 2015 in forum: Index Futures
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