I'm developing some strategies right now that test fine on paper, but when backtesting, introducing 1 point of slippage per transaction...
I enjoy writing this blog... Please chip in and read the other articles if you so feel. Basically, the jist: Maybe 100 pts of downside....
i have a system i'm designing and would like to know what a desireable sharpe ratio is considering: I only get a .6 sharpe ratio from the...
http://scriabinop23.blogspot.com/2008/01/yield-curve-inversion-recession.html take a look. basically, I went through all the past yield curve...
What is the best/cheapest place for historic data going back from here to a few yrs on tick -> 5 minute bar resolution on CBOT 10yr note / 30...
http://www.nytimes.com/2007/12/18/technology/18solar.html?ei=5088&en=091b06819623f9d0&ex=1355634000&adxnnl=1&partner=rssnyt&emc=rss&adxnnlx=1198011...
Want to start a little discussion... I think this is the perfect entry for a long duration entry into the treasury market. 10 yr at 4.24%,...
just for fun ... I'll stick my head out and say this 1480 close was a headfake. Unless we get some solid negative newsflow tommorow, this...
A close below 1490 and now it will be short the open everyday? I am having a hard time believing things are that simple.
Can someone explain this? -4.5% rate? what's the story?
Challenge this one: Have all the banks holding risky CDOs, SIVs, and home equity loan assets find the end users of this debt and incentivize...
A simple question for bankers or the more informed. Banks have reserve requirements for customer deposits of cash, etc. What are the rules...
http://www.sec.gov/Archives/edgar/data/886982/000095012307013636/y40224e10vq.htm...
This market is getting interesting. It seems there isn't much of a bullish sentiment, obviously. But more interestingly, these CDO writedowns...
I have to say, not doing so bad.
I knocked him back in the day, but boy did he nail BIDU... Where is this private plane pic?
OK. We are under support in the S&P. Now its resistance. The obvious trade is to sell the rallies. Who's a buyer? Seems like a bear trap...
put a chart together that shows S&P in nominal terms, and S&P in real terms divided by crude price. This show's the dollar's (and its buying...
yes, another shameless brog promotion. But seriously, I'm very happy with this and wanted to share it with anyone interested. Feel free to visit...
Hmmm... Testing 1490... Its either going to end up at 1530 today or down at 1460 ... god, the data was even pretty solid. It never...
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