Recent content by autocorr

I think the spread is highly correlated with the US/EUR Movement. Means if EUR is going up Bund outperforms and if EUR falls bund underperforms. Question is if it makes more sense to trade directly fx or the EURODOLLAR Futures to trade interest spreads .

what you are searching for is much VAR for low costs concerning commissions and slippage. Best deal is the dax concerning this . EUR is also quite fine if you have lowered cme fees . If you handle limit orders( slippage not a topic) google is fine, because almost no costs and you are...

hello cashmonster hedging a long position is nothing else than going flat.

Writing macros in Tradestation is very easy. That is why they call the programming language easylanguage. Quantdeveloper is great but more for real nerds. For easy minded people like me TS is good enough.

Hello DB is the last version of dynaorder compatible with pats ? regards

I have a statistical arb model in the field of LONG/SHORT Equity with sharpes averaging above 3 and max dd for the last five years was 15 % of the average annual return. Not a result of curve fitting or optimization. So means depending on leverage the required return would have been possible...

The question about trends ist if the markets have any kind of positive autoregression. The question about every kind of technical analyses is if there is any kind of autotocorrelatation positive or negative . The first poster is right ,you can not find positive autocorrelation since mid of 60s...

that is not stupid for a fund manager. Take some assymtric risk like writing options far ut of money and you will be most times a small winner versus your benchmark and receive honour and money. If you are unlucky the strategy will make you search a new job :-)

to be honest i did not loose hope yet that the market is not random driven. I am favoring quant styles in the field of statistical arbitrage. For my own fun I am trading futures and did not loose hope to beat the market.

beating the s&P saystematically is almost impossible. In may case it is the Eurostoxx50R. Hedge funds were able to generate alpha in the past. But even this is coming to an end as more and more money is playing the same strategies. The only reason why some small traders think they would...

I am working as a fund manager in europe. The reason is easy : Most things are random driven... So it is hard to generate systematical alpha. For private gamblers it would be maybe even harder if it wouldn't be random, because they just would not have the resources to compete with...

scalping exists and is not a joke. I scalp automatically and I have seen others scalping manual( One with 200 000 Bund RTs a month). With usual conditions you should forget ! IB + regular Exchange fees + worst: Spreads you pay when you are doing marketorders. Nobody is able to survive...