Recent content by adamscj

From the formulae you'll see The analysis was based around daily close values. So the strategy would be to buy on Monday (at close) and close out on Tuesday (at close). Similarly you would sell on Friday and close out on Monday

Hi, Can anyone recommend a good trading platform for trading the bund/bobl/schatz? Excuse my ignorance (only really looked at forex up until now) but what kind of service do the available providers offer? Obviously you have to be an exchange member to trade on Eurex so do you essentially get...

yes I've also pretty much given up on my BF api access for sports - I just about use it for my systematic or value based strategy but with minimal funds, it's more just for punting around when I see something I like. Out of interest, I've had much more success outside of sports - e.g. my wife...

My system uses a whole combination of data (recent goals, shots, performance against good/bad teams etc) to estimate probability of win, not just last 5 results. My experience is that this kind of strategy is really difficult to make work - the implied odds for English football games are scarily...

It depends what kind of betting you're doing. It's it's pure value based, you only really care about the fixed odds at one certain point before the game. The data files on that link do have odds for all the games listed across a range of bookmakers and betting exchanges so can definitely be used...

I'll certainly take a look. I quite like using a combination of excel and matlab but always willing to try something new

I thin I mentioned before, I've got 2 completely independent systems. The first is for intraday (3~5 trades per day) FX and for this one I've coded up my own application that subscribes to market data, calculates a few signals and then can automatically place a trade. This is only running in...

in theory yes, although in practice you'll round the target position to the nearest lot/contract of whatever you're trading so you'll end up staying constant for a fair amount of time. You'll see this in action if you check out the s/s I sent over - whilst the raw signal changes daily, the...

I thought I was being helpful, not funny!

That's why I prefer a trading a continuous signal rather than defined entry/exit rules for a TF strategy - it prevents you being tempted to second guess your own rules!

You need to check out this page: http://www.football-data.co.uk/data.php Not only does it have 10yrs worth of football historical data (for free) it also gives a really good (basic) introduction to building a value based model for outsmarting the bookies. Advice #2 - Forget the high street, do...

Sorry I mis-interpreted your fundamentals write up, I thought this was somehow being factored into your TF strategy. After re-reading I realise was something else entirely

It's also interesting that you've got a discretionary element in there. In my opinion you should keep the technical/trend elements separate from any "views" you may have on the market as they are at completely different ends of the investment strategy spectrum

well it's really quite simple... 1) open excel 2) enter the dates of 2010 into column A 3) Enter the corresponding price of whatever instrument you are doing this for into column B 4) Enter the formula =LN(B2/B1) into cell C2. Drag down all rows 5) Enter the formula =WEEKDAY(A2) into cell D2...

Ok makes sense...if you're running at around 30% vol then the drawdowns you mentioned seem consistent with a medium term TF strat. I guess if you're running with your own account then you will naturally want to run slightly "hotter" than your average CTA which might target something in the...