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Sounds like a "Zen-like" approach :)

thanks, interesting point of view

Mav, out of curiosity: Do you also track the GDX etf?

ES is pausing at your A down...

Okay thanks, makes sense. I also track VXX and SPY in addition to VX and ES

Hi Mav, is there a specific reason that you follow TBT in addition to the bond futures (i.e. ZB, ZN, ZF) themselves? I'd guess the latter contain all relevant information. Is it because of possibly different A up/down levels due to the different trading hours of TBT (ETF) vs. bonds (futures)?

It's an awfully boring year so far. While there are nice short term moves, lasting a few days, there's not enough follow through for such a long term trend-following strategy to generate decent profits. Compared to other CTAs it's okay, but of course that doesn't help us much... Short-term...

Hi All, attached my monthly levels for 6 currencies against the USD (EUR, GBP, JPY, CAD, AUD, MXN). Except JPY all had a confirmed A up/down last month, will be interesting to see if the action continues this month.

If you happen to have Matlab, I'd recommend this one, lots of code examples and programming exercises: Intuitive Probability and Random Processes using MATLAB http://www.amazon.com/Intuitive-Probability-Random-Processes-MATLAB/dp/0387241574

Hi, sorry, can't help you on this. But I would be interested if you were able to find a solution?

Sorry for the late reply, chimera. I'm not aware of that option in CSI, so I guess you would have to build that on your own

Thanks for the explanation! Must have been great years back then for these groups :)

thanks!

Hi Mav, can you expand on what "bullets" means? Haven't heard of that before in the trading context. Are you referring to decimalization? thx

For daily data I'm also using CSI data (which is a very reliable data source for daily data btw...). So you have two possibilities right now: 1) You could download all single contracts for each future. Up to now you've probably only used their backadjusted data where you have 1 time...

You could split it up: Financials (equity indices, bonds, currency futures) always roll into the next contract (and not to a more distant contract) and the OI/Vol typically shifts to the next contract on the same day (e.g. 2 days before expiry). So you could use a fixed rule here. For...

Hi Mav and Shan, I'm back home from my Chicago trip, even survived the South of Chicago… :) Was nice meeting you last week!

okay interesting, thanks

Hi Tcl, where do you have this info from that iqfeed should run on Linux via wine? At least it's not listed here: http://appdb.winehq.org thx for the info!

Do you have a link to the video? :)