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This article is laughable, check out this quote: "In recent days we have been often asked by mainland regulators not to hold short positions in index futures," said a Chinese derivatives trader at a European bank in Hong Kong." In other words, this mean that the regulators don't want to have a...

Again, I need minute data, not EOD data...

Hi all, I'm looking for historical data for US commodity futures (1-min bars), can anyone recommend any good, affordable data service provider here? Cheers

Yes, it's an on-going effort and lifestyle. I already have a strategy for CSI300 which have rendered 250% annually with Sharpe ratio of 3.67 during paper trading, so I have something to look forward to at least...anyhow thanks for the kind words!

Bummer, there went the $10m investment, anyway HTW cares about money, I'm lucky in love... :-)

Haven't tried other similar instruments like Russell 2000 etc., but in my experience chances are that it will work even worse as even the slightest difference in characteristics often has a negative impact, anyway might be worth trying...

Btw, I agree that money management has to be a lot tighter - as I haven't experience a drawdown of this magnitude I was simply too optimistic for a turnaround at first, instead I should have halted order execution much earlier, at $1,000 below the peak on the equity curve - simulations show that...

Well, currently I actually apply this in two steps (i.e. three levels in total). At the first level, the equity curve is like a roller coaster, at the second level it becomes a kind of upward sloping staircase function (but with the recent drawdown), and at the third level it's identical to the...

Guess you are right here, however, this client (who happens to pool investment from 3,000 HNWIs) explicitly wants this rate of return, what's better to do, deleverage or give the client what he wants?

Not sure if I'm following you here completely...hedging with options here would be rather tricky as I'm shifting between long and short futures positions on a daily basis...?

You plan to start trading the CSI300 future?

Just wait until the talibans and ISIS set up HFT firms, then you'll definitely see the VIX spike! :-/

The interesting thing not mentioned here is why no one is mentioning other stocks who dropped even more sharply, e.g. Accenture that went down to a penny? Who is to blame there? Not a single word!

IB of course, what else...? :-)

As far as I know the real problem was not selling pressure, but withdrawal of liquidity by so called "market makers" that aren't really what they claim to be as they don't have to post liquidity at all times...

In principle I agree with you - the more you try to eliminate drawdowns, the more you lose on the upside. However, after having run extensive simulations, a delicately balanced circuit breaker has in fact proven to maximize long-term return. As far as I've learnt, it only makes sense if it only...

Well, as a matter of fact, in the current version the system attempts to predict how favorable the following trading session will be, and we have recently introduced "circuit breakers" based on daily PnL (i.e. equity curve) where order placement is momentarily halted, in order to ensure the...

Always nice to hear you're not alone, it's just that redemptions now come like amen in church and that it happens to come at a crucial point of time where institutional investors are waiting on the door step...

I wouldn't say there's a long bias by design, but since markets on average tend to rise in the long run, the long bias will follow accordingly. However, the system takes both long and short positions, hence in markets of decline it's supposed o benefit equally. Furthermore, it tends to perform...

In principle I think you are right, but isn't that what everyone tries to do, i.e. identify and exploit different market regimes? By the way, we are already monitoring day-to-day performance so as to identify and differentiate between "favorable" and "unfavorable" trading days - it's been...