http://www.trade2win.com/boards/ Discuss Futures, Warrants and other Derivatives en Fri, 20 Nov 2009 22:41:54 GMT vBulletin 60 http://www.trade2win.com/boards/images/misc/rss.jpg http://www.trade2win.com/boards/ http://www.trade2win.com/boards/futures/79166-algo-trading-cl-nymex.html Wed, 11 Nov 2009 05:26:25 GMT Hey guys



I have tried the ES, YM, NQ, NG, GZ, etc. down the line and I am finding CL is probably the MOST technically traded derivative in existence. Do you think I am correct with this assumption?



I am only able to see the past 10 months or so of the CL chart – does anyone know where to get further backtesting?



For one of my programs I had a COMBINED MAXIMUM ADVERSE POSITION of about $3000 (over those 10 months) and ended up making over $16,000 in one of my programs. I have multiple programs that all yield phenomenal as well.



I know from experience backtesting something like the ES for 3+ years with a lot of my programs there are large variances on how the contract will trade year-to-year and even contract-to-contract. Does anyone here have long term experience with CL?



Also I am worried about what I hear about Saudi's not using CL as their benchmark anymore? Is there any validity to this and will this cause a change in trading patterns/behavior?



I am 100% convinced after countless hours and hours of backtesting all sorts of instruments, the only way to be retail and trade is to use your own prop. algo with tight stops and letting your winners run.. I know easier said than done.. I do not see it that way in CL, I see it as :



1. Quick Stops

2. Perhaps even quicker Sell Limits.



With my benchmark trading program for the CL I mentioned above I think my average hold time was 2-5 hours (trading 1 hour candles) with an average gain of $1,600 trading only 1 contract at a time. I have others that take on more contracts if certain specifications are met.



I would like other's opinions on this matter if you could shed some light, I would appreciate it..



HZ -


EDIT:

Also, wondering about how the certain way the "Z" Contract trades (CLZ9) as opposed to (CLm9)

Im not sure on all the facts, but I believe the "Z" Contracts run further than 1 year in length?.. I am guessing in that regard there are different patterns - I am looking at the "Z" contracts all the way back to the beg. of this year


Hzang12345@gmail.com ]]> Futures xtc_savedmylife http://www.trade2win.com/boards/futures/79166-algo-trading-cl-nymex.html http://www.trade2win.com/boards/futures/79000-what-managed-futures.html Tue, 10 Nov 2009 06:23:37 GMT Managed futures (http://www.managedfuturesbroker.com) describes futures trading accounts that give discretionary trading control to a professional money manager known as a Commodity Trading Advisor (CTA). Managed Futures and the Diversified Portfolio Managed futures money under management... Managed futures describes futures trading accounts that give discretionary trading control to a professional money manager known as a Commodity Trading Advisor (CTA).

Managed Futures and the Diversified Portfolio

Managed futures money under management during the 1st quarter 2009 was $198.6 billion. Why are so many investors utilizing managed futures?

Managed Futures may potentially:

* reduce the risk of your portfolio,
* enhance your portfolio's return,
* provide profit opportunities in both rising and falling markets,
* provide an opportunity to participate in global markets.

Numerous studies have been conducted which have concluded that adding managed futures to a portfolio comprised of only stocks and bonds can reduce risk and yield higher returns. Please be advised that there is no guarantee that adding managed futures to one's portfolio will result in less risk or higher returns. These include studies by:

Dr. Harry Markowitz of The University of Chicago - winner of the Nobel Prize
Dr. John Litner of Harvard University
CME
CBOT
Yale University
University of Massachusetts
University of Pennsylvania: Wharton School of Business
Goldman Sachs

More and more people are utilizing managed futures. The main reason may be the abundance of academic and institutional studies which make clear the fact that managed futures may provide investors with vital risk management. Numerous studies indicate that a portfolio which includes managed futures can yield appreciably higher and more stable returns over time than a portfolio comprised of only stocks and bonds. Most importantly, the same evidence indicates that higher portfolio returns may potentially be achieved while at the same time reducing portfolio risk.

To View the $25 Modern Portfolio Theory Report for Free, Click Here.

Another factor in the growth of managed futures has been the tremendous broadening of futures markets beyond conventional commodities. This has created entirely new categories of investment opportunities. Today, futures traders can utilize stock indexes, debt instruments, and currencies. The increasingly global composition of today's futures markets has also expanded the realm of investment opportunities and strategies. Please be advised that trading futures and options involves substantial risk of loss and is not suitable for all investors. There are no guarantees of profit no matter who is managing your money.

CTA Information

Before considering a managed futures account, always evaluate the performance and disclosure documents available for each CTA to select one that is in keeping with your particular trading goals and risk tolerance level. Here are a few key areas upon which you should focus when researching CTAs.

Trading Program: Each CTA will have a different methodology for determining which trades to employ and may use technical analysis, fundamental analysis, or both. Many CTAs will focus on one sector of futures & options markets or futures contracts and may specialize in those alone. Others will trade across the spectrum of futures contracts and may even trade markets which are not familiar to you. Be sure that you are comfortable with the markets and techniques that the commodity trading advisors have selected. Many CTA managed futures programs have evolved primarily as option writing techniques, a method which you will want to confirm is appropriate for your account size and risk tolerance level with managed futures.

The large volume of paper that makes up a CTA's disclosure document will contain many important pieces of information for you. Make sure that you read disclosure documents carefully before committing to a managed futures account.

Fees: In addition to the exchange and brokerage fees associated with a futures trading account, you will need to investigate what incentive fees or managed account fees will be levied on your account by the CTA. These fees are included in detail in the disclosure document.

Drawdowns: Among the information in a disclosure document is the maximum peak to valley drawdown or the largest historical loss in the CTA's trading experience.

Annualized Rate of Return: This should be an up to date number representing the CTA's performance, and this number should be net of fees and other trading costs. ]]> Futures traderkenny http://www.trade2win.com/boards/futures/79000-what-managed-futures.html http://www.trade2win.com/boards/futures/78878-resources-support-futures-trading.html Mon, 09 Nov 2009 03:22:56 GMT Futures trading is actually a quite difficult field to trade. We need news, recommendations.... Could you share with us resources supporting our trade? Futures trading is actually a quite difficult field to trade. We need news, recommendations.... Could you share with us resources supporting our trade? ]]> Futures jackfutu18 http://www.trade2win.com/boards/futures/78878-resources-support-futures-trading.html http://www.trade2win.com/boards/futures/77982-what-currency-would-you-put-your-savings-into-following-senerio.html Thu, 29 Oct 2009 05:36:54 GMT You put your money into a high-yield savings account for 10 years. You are not allowed to withdraw any money or close the account and take out the money until the end of the 10 Years. What currency would you prefer having your savings in, keeping in mind that higher inflation could affect the... You put your money into a high-yield savings account for 10 years. You are not allowed to withdraw any money or close the account and take out the money until the end of the 10 Years.

What currency would you prefer having your savings in, keeping in mind that higher inflation could affect the value of your money, Euros, US Dollars, British Pounds, Japanese Yen, Hong KOng Dollars, Swiss Francs, or other and why? ]]> Futures grey007 http://www.trade2win.com/boards/futures/77982-what-currency-would-you-put-your-savings-into-following-senerio.html http://www.trade2win.com/boards/futures/77606-newbie-question-maximum-stop-loss-slippage-experienced.html Mon, 26 Oct 2009 00:22:29 GMT What is the maximum slippage anyone experienced with a stop loss on a heavily traded future such as the DAX (assuming a position of say, 10,000 Euro per point)? Would be great to get a feeling, how many points (percent) one could miss a stop loss order in a mass panic (such as 1987) when... What is the maximum slippage anyone experienced with a stop loss on a heavily traded future such as the DAX (assuming a position of say, 10,000 Euro per point)?

Would be great to get a feeling, how many points (percent) one could miss a stop loss order in a mass panic (such as 1987) when everybody was running to the exit.

Any ideas / experience / pointers would be greatly appreciated.

Cheers,
Hart

:clover:

P.S.
As dcraig said in his reply, 400 DAX contracts is a large position. Intention was to check what could happen to big players. As a typical position of my startup strategy, I tested betting 2 DAX contracts with a 20 points stop loss. ]]> Futures hart3000 http://www.trade2win.com/boards/futures/77606-newbie-question-maximum-stop-loss-slippage-experienced.html