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You can trade JGB futures and futures options on the TSE via IB TWS. There's also a SGX contract (SGB) for mini-JGBs too but as I recall the options on that weren't tradeable or something. Can't speak for other platforms.

Good point. I know from personal experience that this is correct. Brad Setser seems to be making a closely related point here: http://www.rgemonitor.com/blog/setser/194084

Hi kashirin, If you're saying only that a one-day *unanticipated* cut in demand of 3.5 million barrels would send the market into a nosedive, I'd be a fool to argue. I was just pointing out that in a realistic scenario (although how realistic it is to postulate that America might impose such a...

What would happen if the US cut consumption by 15%? Well, with all other things being equal, and given that the 5% of the world population in the US consumes approximately 25% of the world's production, then the obvious answer is that consumption would be reduced by 0.15*0.25, i.e. 3.75%...

late apex, that's absolutely correct, but it's not quite the full story. With larger leverage offered to me, I can choose to use the same bet size but use less margin. This leaves me with more margin available to implement other, uncorrelated strategies. In theory this is true; in practice...

Multi client will be available in a few weeks according to a post by an OANDANIAN on the forum recently.

I like OANDA too, but I don't like this list. The OP was asking about what makes OANDA different. The answers, as I see them: Effectively infinite granularity of position sizing. This is number 1 by a long way. It is actually revolutionary. The traditional "lot" and "mini lot" is only...

I believe you are missing something. If the two systems' holding period returns are anything less than perfectly positively correlated, it is worthwhile adding some of the lesser system to the better system. Refer to Markowitz, MPT etc. And to common sense too :)

Just a suggestion from someone facing similar issues, but I think you were too lenient with yourself on this point earlier on. It is either a mechanical system or it isn't. As you say, do not touch the bot. Good luck.

I think walter has made a *very* interesting point about overfitting here, and I'd like to pick his brains on it a bit further. Let me give an example: about a year ago I was working with a moving average crossover system with about 4 parameters, as I recall. I had about 2 years of data (on...

I don't know what you mean by ML (your reference to training data reminds me of neural nets, AI?), but if you backtest on all your historical data and then make changes to your parameters, you are in severe danger of optimizing your system on the historical data, giving the possibility of great...

I couldn't disagree more with walter. In my opinion one of the nastiest habits of all is early profit taking. If you think that big news events introduce unacceptable volatility, then introduce a systematic rule to get out (or not get in) at those times. Unfortunately you have to find a way...

Thanks. I don't understand all the details, but if you're confident you haven't overfitted and you've used a good chunk of out of sample then there's nothing to worry about there.

Did you reserve a portion of your backtest data for out of sample testing? How many hardcoded numerical parameters does your system contain? Do we know for sure that your system is not overfitted on your backtest data? This point was raised in a post a couple of pages back, but I don't...

Stop worrying! Make a little table: PnL % of days -$1000 0.01% -$800 0.02% -$600 2% -$400 8% . . . $1000 4% $1200+ 1.3% something like that. When you feel emotional about today's result, refer back to the table and reflect. Great...

If and only if the correlation between the securities is less than one :) . If the securities are significantly positively correlated, the value of diversification can be very limited. If the securities are significantly negatively correlated, the value of diversification can be very...

nitro:
Thanks for the reference. My background is in Maths/Physics (Bachelors Maths, Masters Physics) so I am comfortable with undergrad texts. Though I take your warning about this not being easy.
To those who said I was wrong to claim game theory is not mentioned: OK. I was referring...



Yes, I agree, this is very interesting. There are many (often emotive) discussions of the relevance of academic learning in mathematics and science to trading, but rarely if ever is game theory mentioned. And yet, on the face of it, this has the most obvious applicability.
Any good...

No. According to the above attachment, Z in this case is a "standard normal" variable. It's a random number with a mean of zero and a standard deviation of 1. A "Z score" is obtained by "scaling" a particular measurement, assumed to be drawn from a particular normal distribution. Thus if you...

Monte Carlo does not assume upward drift, nor anything about volatility; it is a method of simulation (using random numbers and iterating over large numbers of trials) that, as has already been pointed out, is used in Physics as well as finance. Maybe you're confusing Monte Carlo with Black...