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Ya know, there are futures contracts that trade in countries who don't even celebrate US Presidents Day. Such asDAX index futures, traded in Germany (EUREX) 90 day Bank Bill (interest rate) futures, traded in Sydney (ASX) EURUSD (currency) futures, traded in Amsterdam (Euronext.Am) MSCI...

Your best source of advice is: YOUR INVESTORS Ask them. Be completely honest. Tell them: "I have no bloody idea how to invest this $50 million, what do YOU think I should do?" They will admire you for your honesty and humility. They will also surprise you with the sagacity of their...

Send him an email or a comment through his blog which Ask dot com will gladly find for you.

I assume you trade currencies (FX). If so you can construct the 60 by 60 matrix of correlation coefficients for the 60 most liquid currency pairs, in less than a day. Then it's just a matter of discarding some of them (deleting both row "j" and column "j" from the correlation matrix) until you...

I trade them quite a few different ways. Perhaps the one which might be least-unobvious, is to trade the LME metalsusing mechanical systems using systems whose calculations employ the "Close" price only, i.e., they don't use the Open or the High or the Low; and which trade at prices defined...

I'm interested in second best backtesting. I figure that "best backtesting" has got a lot of followers and new devotees and hangers-on; but second best is most likely a smaller cult following with less clabber-of-the-ignorant. Do you agree?

Quants are afraid of Mark Jurik because he writes books and sells add-ins for Tradestation. They also fear him because of his large and growing portfolio of US Patents. Have a look at the list, which you can find at the US Patent and Trademark Office website: http://bit.ly/d5WKOn

Please let me know if their has ever been a rogue trader in the US. How about Evan Dooley of Memphis Tennessee (USA)? Shareholders of MF Global are plenty pissed at Mr. Dooley. http://www.topix.com/forum/chicago/TFFMVMM72IR3L6JNG...

I'd suggest you pay the money to purchase "deep history" data going back as far as you can. This will allow you to experiment with In-Sample / Out-Of-Sample optimization. You begin by assuming: Today is 31 December 1993 (or any other day you select). You optimize your trading system on all...

Have a look at these: - - - - http://bit.ly/am7N5x - - - - http://bit.ly/dnLyzU - - - - http://bit.ly/PZR4p Hope they help

Perhaps you can "convince yourself" of its truth or falsehood (rather than "prove" it), through repeated experimentation. Use a random number generator to produce N different equity curves; initially, N=2. Measure the smoothness of each one. Now combine the N equity curves into one...

Consider the STIR (short term interest rate) futures at Euronext-LIFFE. For example the EuroSwiss contract ( http://bit.ly/azpzXk ) has a minimum tick of 25 Swiss Francs, approx USD 26.12, and over the last twelve months its high-low range has been less than fifty ticks. It moves slowly and...

http://bit.ly/am7N5x http://bit.ly/dnLyzU You will enjoy them.

Eckhardt Trading uses a proprietary position sizing (a/k/a "Money Management") algorithm which attempts to maximize Expected Utility, rather than the more conventional Fixed Fractional position sizing approach (which does not). They consider this part of their "edge". Link below...

And I suggest O.P. look up the definition of "Hobson's choice".

Divide your order into 12 equal sized pieces and execute one piece every ten seconds. Voila, an approximation of the VWAP over the final 120 seconds (2 minutes) of trading.

Even though it seems absurd, most dealers that offer unleveraged "buy and hold" commodity funds, consider the risk of a 1-lot Eurodollar position to be $1 million. They use the phrase "fully collateralized long position" to describe this situation -- see chapter 4 of the attached paper for a...

Found this on the web, see if you can find it too

I executed the plan below with SWMBO (She Who Must Be Obeyed) and it worked quite well, for the two of us. Whether it will work well for the two of you, needs to be determined by experiment. Set aside D dollars for SWMBO's trading ventures. Using (D/2) dollars, open an account in SWMBO's name...

Good tutorial: http://www.vanderbilt.edu/econ/conference/gped-conference-06/papers/s-ketkar.pdf Suhas L. Ketkar writes