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Are you trading futures or options spreads (or both)? What platform do you use? (Xtrader, CQG, etc.)

I think that you can improve risk-adjusted performance greatly by accounting for correlations. RB, CL and HG are correlated with ES. EUR/USD is correlated with AUD/USD. CAD/USD is correlated with ES. However, correlations do change with macro conditions, so I'll be interested to see how you...

Velocity Futures has a plan where you pay for X-Trader via a mark-up to the commission, rather than the monthly fee. I don't know if there any minimum account sizes, though. There is a similar plan for CQG Trader as well.

Current curve is on the cme site. http://www.cmegroup.com/trading/interest-rates/ I'm not sure how to get the historical curve in a cost-effective way. You can chart the individual calendar spreads on barchart.com. Type "GEZ11-GEZ12" into the chart window and you will get a close-only...

I would do two things, just to start the verification process. Heiken-Ashi charts confuse me, so I can't tell you how to exactly verify your system. 1. Does ThinkOrSwim have market replay? This may be tedious, but replay your system with Heiken-Ashi in one window, and a more conventional...

Have you considered using volatility-based position sizing? It may have helped in this situation, while maintaining your "edge." e.g., define "n" units of risk as a 14 day average true range. Use some multiplier (i've seen anywhere from 2 to 5) and base your ~1.5% risk on that range. Just...

Samsara, One thing to keep in mind when looking at longer-term commodity charts is the "roll effect." See those big gaps in the cattle chart? They don't really exist as that represents the difference between the expiring contract and the next contract. To get a true long-term picture, you can...

The problem with this analysis is that the WTI crack spread does not represent the actual margins of VLO. East Coast refineries buy their oil priced closer to Brent Crude, which is much more expensive than WTI. The brent/RBOB/HO crack is still pretty good, but not nearly as wide as WTI. Look...

Interesting journal. Usually I see daytraders and stat arb guys. How do you size your positions? Risk % per trade? Looks like you are risking about 2% per trade. What platform did you use to backtest your system?

+1 Cracks move a lot during the day. Look at Gasoil/Brent as well as RB/HO/CL.

+10000

palladium

Dollar Index, Crude (CL), Copper

Advantage. Not a customer (yet), but have never heard anything bad about them.

The CME site has carry charges on the individual commodity pages. You have to dig a little, but they are there. It even has a spreadsheet to calculate the current wheat carry charge (which is a variable charge based on the previous spread's carry charge.)...

Look at your simulator trades closely. You said you use limit orders. How does Strategy Runner fill limit orders in sim? Some simulators don't simulate your actual position in the order book and fill you if the price touches your price limit. You need to assume that the price trades THROUGH...

I'm only a rank beginner in ACD (and its close cousin, Tony Crabel's opening range breakout), but I'll take a swing at this: The entire foundation of any opening range breakout strategy is a mathematical analysis - there are an unnaturally high number of days where the open is either the high or...

Barchart seems to do pretty well for end of day spread quotes. (They don't show exchange-supported intraday quotes, though, only the synthetic equivalent.) You can customize the weightings as well.

That's an interesting observation. However, I think that the this thread is mixing two different but related ideas. There is a difference between SPREADS mean-reverting and EQUITY CURVES mean-reverting. So, Bone, if you took your or a typical client's equity curve and de-trended it, would it...

Any opinion on CBOT wheat vs. corn snapping back? It seems to have consolidated. Sep-Dec looks like the trend has changed as well.