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Hi. Thanks for your answers. @Fonz : I did not really find the "right solution" for now. I have still to try Hypertrader, the RTSoft looks promising, and Ninjatrader seems to be another efficient solution even if it is the most expensive one. Will let you know when I eventually find the...

Thanks for your answer. I cannot see the link between "Doctors Without Borders" and a bridge between TS and IB but hey, maybe one or two guys there thought they had time to play on the markets during leisure time... As for the second one, huge flaws like this are pretty dangerous, which...

Dear all, We have used Tradestation for both backtesting and as broker for years. We have used Interactivebrokers as broker for even longer (almost 15 years!) Interactivebrokers is probably the best broker out there for most people, from beginners to small hedge funds, because of...

Please excuse me for this "up": no one has any piece of info? :confused:

Hi all. I am interested in downloading technical data from free website(s) for many stocks at a time. For instance I would like to be able to see the 20-Moving Average for each stock in the US, the 10 and 20 days stochastics and other technical data. I would like to easily download these...

Hi. I concede I was rather confused when I tried to quote future bonds at that time. Now things are much clearer. And what explains most of the difference is not what you said, but the real maturities of futures. For instance, the 30Y futures is related to the delivery of a bond which is...

Hi. Some other guys already posted the details, published there: http://www.interactivebrokers.com/en/general/about/mediaRelations/05-03-07.php?ib_entity=llc The following lines are the most important (especially the first and the last) * THE AUCTION CLEARING PRICE was $33.00. *...

Maverick1, thanks for the link. I found it previously, but unfortunately, we only have the graph and not the precise statistics of the ZCM/MAR Trend Follower Advisors Index. I would need the monthly returns... I think I will have to contact ZCM directly to get the figures. Thanks for...

I will not try to 'prove' the Trend Followers are poor managers as a whole. I fully understand the results are biased. However, I would want to study these 'biased' results to be able to confirm my mind. No one ever see stastitics figures of a group of Trend Followers?

Thanks for your answers. I understand you do not want me to invest on Trend Following strategies. Good news: I do not want to :D I would like to find statistics on Trend Following indices to confirm that their risk-adjusted return ratio is pool over the long run... (even if some did...

Thanks JTanko. I was on his website, but I was not able to find the statistics I would like. I saw some graphs that do not have the lastest statistics. Did you remember if you saw the exact data he used? (I am loking for the numerical data to make my own statistics on these)

Dear all, I am looking for some data / results of Trend Following Strategies as a whole. I found there are several well-known indices, such as the ZCM/MAR Trend-Follower Advisors Index, the S&P TFI, or the CISDM Trend Follower sub-index. However, I am not able to find these data on...

You have to pass the Series 3 first, then to register with the CFTC and to become member of the NFA ($750/year), and to draft your first disclosure documents describing your strategies/investments to be a legit CTA in the US, trading futures, options and FX on behalf of clients. You may...

Thanks fecal. I come to the same conclusion: the main issue is in the yields! I was told that from the close of 10/10/06 to the close of 11/24/06, the real yield (the CTD yields) have moved about 0.05%, not 0.10%! So it was the main reason for the high difference between my theorical...

That may have been the issue. I do not receive real time Bloomberg data of the CTD, so I follow easily the "gross basis", but not the "net basis". However, I doubt this could have been the real issue, as the 30y is the future that did not move as forecasted, and the CTD of the 30y have not...

Fecal_tdr, I used the following formula: CASH DV01 = 0.01 * ((0.01 * modified duration of the Cash bond (CTD)) * full price of the Cash bond (CTD)) Then I divided this CASH DV01 by the conversion factor related to the December futures to get the future DV01. Do you have another way to...

FullyArticulate, Thanks for your new answer. This one is more helpful. 1. Please excuse-me, I made a COPY error: the close of the US future was 113+21/32, not 112+21/32!!! 2. Even if we change the price (now that is 2.40625 or $2,046.25), the difference remain with the theoric...

FullyArticulate, thanks for your answer, but that cannot be the difference. The DV01 difference between the 2 treasury futures HAS to be compensated, that is the reason why I had to invest in 2.91 FV contracts for each US contract (117.10/40.20 = 2.91...) So in my spread, the 5Y futures...

Ok so your "carry" is the difference between cash bonds and futures on bonds. To my mind, this difference was given by the current forward rate. (forward rate - YTM = "yield difference" = "your carry", which is applied to the exact number of days from the open to the close of the spread)...

Thanks for your reply. Hum, ok, the difference is the "carry", but "carry" is a word that is used for different purposes. For instance, the "yield differences" (the difference between Forward rate and the Treasury rate) is in the global "carry" of the spread. Or the "carry" could be the...