Deadline June

[brettus]

Futures may have zero roll charge - but it's definitely arbitraged in by traders operating in both markets. I guess if you're operating a trading system based on backtesting, then you've already factored that in.

I've not forgotten about tax. But I have to earn more than £6,500 p.a. first

Ig Index and the like charge a ridiculous amount of rollover cost on both side, but FX brokers shouldnt so i dont think you will find too much of a problem. IG Index charges over a tick rollover sometimes, but at least 0.7 of a tick on everything, in comparison where i work we may charge 0.25 of a tick rollover charge and if you're due interest then we also pay it. I dont think many people know how badly spreadbetting companies take the ****. I've been charged 3 ticks by the likes of finspreads over the weekend, which is a joke, specially when i should be receiving. I dont think you should worry about interest through a decent brokerage. Also, you can get your broker to convert any negative balances into base currency on a daily basis. If you want you can open an account with us, but we only offer Currenex API. You should look into spreads more.
What spreads are you getting offered in the majors(EURUSD,GBPUSD,USDJPY,EURJPY,USDCHF,USDCAD, etc..)?

 

[Adamus]

OK I see how I've led myself astray regarding the 2 subjects.

So you're saying that in futures, because it's just a contract or a piece of paper and the money is notional and nobody has to borrow it from anyone to trade it, then no-one anywhere pays daily roll charge on it (apart from rolling over contracts for long term positions)?

 

[brettus]

OK I see how I've led myself astray regarding the 2 subjects.

So you're saying that in futures, because it's just a contract or a piece of paper and the money is notional and nobody has to borrow it from anyone to trade it, then no-one anywhere pays roll charge on it?

Futures you pay the rollover charge in the spread. The spread in futures is much greater so it depends on how long you are holding the trade for. Futures is important for only someone using a spreadbetting company or someone who is likely to hold a position for a month or longer. Most spreadbetting companies charge 8 point spread in eurusd, ig charges 12 pips spread, and only 2pips in spot. I dont recommend trading futures if you're not holding the trade for too long. also for example if fair value in the future is trading 50points higher than the spot, then when the future gets close to expiry it will eventually become the spot price, but still with a wider spread.

 

[Adamus]

Also, you can get your broker to convert any negative balances into base currency on a daily basis.

Yes but that is charged too. Commission on everything.

I worked out the roll-over cost at IB (here) is equivalent to half the price of the commission, and the commission at IB for forex is 0.2 pips per execution, 0.4 pips round-turn. I mean 0.4 pips. If you're trading 1,000,000 at a time, it's substantially less, but that is something I can only aspire to.

Currently from IB i'm seeing spreads like this:

EURUSD 0.0001
GBPUSD 0.00015
USDJPY 0.01
EURJPY 0.02
USDCHF 0.00015
USDCAD 0.0001
GBPJPY 0.02
EURJPY 0.015 - see it just changed

sometimes lower sometimes higher.

 

[brettus]

Yes but that is charged too. Commission on everything.

I worked out the roll-over cost at IB (http://www.trade2win.com/boards/forex-brokers/95074-paying-interest-forex-positions.html#post1138296) is equivalent to half the price of the commission, and the commission at IB for forex is 0.2 pips. If you're trading 1,000,000 at a time, it's substantially less, but that is something I can only aspire to.

Currently from IB i'm seeing spreads like this:

EURUSD 0.0001
GBPUSD 0.00015
USDJPY 0.01
EURJPY 0.02
USDCHF 0.00015
USDCAD 0.0001
GBPJPY 0.02
EURJPY 0.015 - see it just changed

sometimes lower sometimes higher.

Ok. I'm not sure why you're getting charged commission on your daily conversions. What is your current commission per trade? We offer 0.5 min on eurusd but its usually between 0.5-0.7 during the day. GBPUSD 0.8 minimum. Your GBPJPY spread looks very good. Ours can be that low, but probably closer to 2.5-3 most of the time. The rest we beat but you would be looking at 20$ per mio minimum, obviously depending on your trade size. If you were trading in sizes of 1mio, then you would get prices that can go inverse at times. We do also give you a special liquidity that can push your pricing below 0.5 on eurusd and 0.8 on gbpusd, but i have no way of accounting for it. I can send you a demo if you want an idea of what i think you should be receiving.

 

[meanreversion]

Wait a minute. The two issues are getting confused again.

Firstly, let's go back to the notion of "roll charge". This is the amount that spreadbet companies (and IB in fact) charge the user ABOVE AND BEYOND any differential in interest rates. Brettus mentions paying for an open position when he should received..... an example of this would be AUD/USD, if you are long this in spot, you should receive the "carry" as AUD rates are 3 pct+ higher than USD rates. But if you are long AUD/USD spot with IG, they will probably roll you at flat (thereby taking away what you should receive).

On the issue of BID/ASK spreads in futures, please take a look at the IB platform, the currency future spreads are 1 pip wide in all the majors. Liqduity in currency futures for a retail punter is excellent. In fact, FX futures now constitue 10 pct of the total market, double what it was a few years back.

PLEASE PLEASE DO NOT CONFUSE THE ROLL CHARGE ON SPOT WITH POSITIVE OR NEGATIVE CARRY - THE TWO ARE TOTALLY UNRELATED.

 

[meanreversion]

Roll charge - determined by Stuart Wheeler

Cost or benefit of carry (the pips you would expect to pay/receive overnight on a spot position where the respective interest rates are different) - determind by Mervyn King, Ben Bernanke, etc.

 

[brettus]

Roll charge - determined by Stuart Wheeler

Cost or benefit of carry (the pips you would expect to pay/receive overnight on a spot position where the respective interest rates are different) - determind by Mervyn King, Ben Bernanke, etc.

Given futures are illiquid compared to spot, traded in lot sizes, and good look getting a price in asian time. Are subject to changes in interest rates, if you go against the carry you can lose out.

 

[meanreversion]

Spot is undeniably far more liquid than futures. However, it's worth taking a look at IB to check futures prices and liquidity. For the majors, spot and futures width are usually the same. Don't forget that every major bank has an arbitrage desk in order to keep prices on Globex in line with spot (+/- the relevant interest rate differential).

My background is in OTC FX and I have to admit I was not aware how much more liquidity is now available in the futures markets. It might not suit you for scalping, but for lower frequency trading it's a method for escaping the 2% roll charge..

 

[brettus]

Spot is undeniably far more liquid than futures. However, it's worth taking a look at IB to check futures prices and liquidity. For the majors, spot and futures width are usually the same. Don't forget that every major bank has an arbitrage desk in order to keep prices on Globex in line with spot (+/- the relevant interest rate differential).

My background is in OTC FX and I have to admit I was not aware how much more liquidity is now available in the futures markets. It might not suit you for scalping, but for lower frequency trading it's a method for escaping the 2% roll charge..

There isnt a 2% rollover charge with most brokers, only spreadbetting companies.

 

[Yamato]

So, what's the deal. Was the deadline the beginning of June or the end of June. It was open to both interpretations, but I think your countdown used the beginning of June. So please let me know if you're making money and how, because after all these months, I am curious. Such countdowns always stimulate my curiosity.

 

[Adamus]

The deadline is really the end of June. If I make it to the end of June with a profit, then psychological I'll have succeeded at least at this stage of the game.

If my trading then goes into terminal decline after that point, then that's another thing entirely. Basically now it's about putting my capital on the line, in the face of challenges that everyday life throws in the way, e.g. fear that I dont know what I'm doing, or anxiety that the future is not going to stick to repeating past behaviour, with the result that I'll have to borrow money to pay the rent while I look for a job.

If next week proves as difficult as last week then I'll start getting a bit frantic, because I just couldn't get anything done. I ordered hardware, it never arrived (two different orders - an actual computer, and some more RAM for the other). I ran Ninjatrader simulations on their beta software, it blew up 3 times - not all my fault either. I'm becoming a big name on their support forum. I upgraded and then downgraded IB TWS broker software when that crashed - twice, which i'd never experienced before. I learnt to appreciate the joys of having unprotected positions left in the market after the software crashes, thankfully in simulated trading. I don't think I'll sleep very well when these systems are running live. I also revisited Java programming hell, where you have an error message that is a milliion miles away from the root of the problem. That took 12 hours of incantations to the gods to sort out.

So hopefully now that week is over, I'll get somewhere. I'm probably going to start trading my Holy Grail system, which actually isn't the Holy Grail. I discovered that Ninjatrader was only applying half the slippage I intended (1 tick slippage in forex for NinjaTrader = 0.00005, I should have checked earlier) so the system is actually only the Holy Mug system in reality. So if I can get a couple of things ironed out tomorrow, then I'll launch it tomorrow evening on 15 mins bars on one 4X pair. This is more of a test really to see how big the slippage really is.

The main benefit of last week was writing the code to get the trades out of 200 walkforward sessions in NinjaTrader and into my own risk analysis java app. Next week I have to write the code to pump out a few graphs of interesting stats - distribution of returns on hourly, daily, weekly, monthly and yearly time frames, and perhaps some other stats such as R^2 which looks like a much better stat than the rather useless attempts to quantify equity curve 'quality' that I created.

 

[Yamato]

I feel like I have total organization, and yet that caused me no profit at all, because I never did stick to the rules. When everything is perfect and I just have to wait for money to materialize, I always do something to sabotage myself, via discretionary trading. So, what can I say? Your deadline itself does not sound good to me, because it's been rushing you to do things before you're ready to go. However, you might succeed, where I failed despite total organization. I was lacking some necessary ingredient for success, and I still ignore what it is exactly. But maybe, despite lacking other ingredients, you have enough to be successful.

Usually my type of situation is that almost everything is perfect, and I am constantly unhappy and dissatisfied because of the one thing that isn't perfect - and if there's no problems to make me unhappy, I create them so I can keep on working at solving them. For example, there were times when I had the profitable systems, the capital, the time to wait. So what did I do? I got impatient, resumed discretionary trading, and blew out my account. There were other times one automated trade went wrong, and I wouldn't take it, doubled up, blew out my account... there's always room for screwing things up. I guess I have a problem with a chronically negative attitude to life, whereby if things are going well I have to make sure something goes wrong, so I can just keep on working, which is the only thing that makes me comfortable, because that's all I have been doing my whole life.

 

[Adamus]

I'm sick of perfectionism. It never helped me more than it hindered me, so the only benefit was that it made me feel good for a moment. Sometimes it's necessary, but more often than not, it's just a light manifestation of obsessive-compulsive disorder.

In 1992 I can still remember it, the words stick in my head, some Australian guy I was chatting to about trading said in the typical Aussie fashion, "What are you waiting for mate, just start trading". 18 years later and maybe it is finally about to happen. I mean seriously, as opposed to something that I'll pull the plug on after 2 trades or trade straight into the ground. All that time in between have been spend pandering to my perfectionism, which is quite possibly just a great way to avoid doing something I'm seriously worried about, plus great idleness and self-satisfaction.

Apropos idleness Travis, you seem to be suffering from a mixture of pride and idleness - pride in the very real sense that you won't admit you're wrong in the markets, but also pride that won't let you believe you could be wrong about yourself and you need to change some of your behaviours - and idleness, in the sense that you are quite comfortable as you are and deep down you don't have any great desire for change - either in your situation or in yourself.

And if you're still reading this, how about some philosophy: your indolent life presumably stems from the same goalless, aimless, faithless outlook that mine does. We are human beings and we need biologically to have a goal to be happy. We were programmed like this by evolution and now there are no sabre-toothed tigers or mammoths to hunt down or get killed by, we find ourselves staring into a void. Some people latch onto religion, but that ran out of currency during the 20th century and we replaced it with society itself, western society in all its glory. But that is also now bankrupt - we've trashed the planet and trashed the actual system itself so badly it's obvious we shouldn't place our faith there - so what reason do we have to aim any higher than satisfying our immediate physical needs and satisfaction? None, pretty much. And that doesn't make for happy bunnies. We're looking for meaning in a meaningless world. Hopefully it makes for good traders.

I didn't log on here to rant about nihilism, but it's slipped my mind. Another Saturday night in front of the PC, but at least it'll be a computer with 2 gig more RAM than yesterday - I just bought the chips down on Tottenham Court Road, after waiting a week for a next day delivery that never came from dabs.com.

 

[Yamato]

Don't eat too many chips.

Most of you what you say sounds reasonable to me, but in the second part of your post you seem to be taking for granted too many things (humans need a goal, religion is out, etc.).

Regarding me, I can't go any further with my trading. I just rush my capital and systems to perform compounding they cannot perform, and for the past two years I've been killing my capital just this way. Either someone hands me 100k and then I might do things properly, or I am doomed to repeat the same behaviour over and over again.

Regarding goals, my goal may be temporary, because maybe I'll have other goals once I reach it, but it's always been to quit my job. That was my main goal.

Regarding a short term goal, today I was trying to solve a problem with streaming videos. After a few minutes of watching a streaming video my computer freezes and I have to force reboot, because it won't respond to anything.

The computer is always the same and it has always worked, but something has changed - I ignore what. Maybe the world around me has changed. I have an acronis image of the hard disk, no hardware has changed - I can set it back to exactly a month ago, when it worked and those settings kept working for a whole month, with streaming videos and all that. But after an acronis image restore, it still freezes with streaming videos.

In other words, the laptop is always the same laptop that has played streaming movies for months, without ever having any problems. Yet all of a sudden, I simply cannot watch streaming movies anymore, nor youtube videos. I feel like my laptop is out of control, it's falling apart. And as a consequence I am falling apart as well, being a control freak.

So now that I have lost the will to fight because streaming videos freeze my computer, I am counting on you and others to follow in my footsteps, by watching streaming movies and youtube videos. I can't do it any longer.

You know what? Catching the worst computer virus is nothing compared to having these freezing streaming problems. This is the worst nightmare for a computer user. Especially when few of us are experts at this type of problem.

The truth is that I am upset and in a bad mood precisely because I am not willing to give up. I will obsess about this problem until I solve it, or until a bigger problem replaces it.

The causes could be so many, as far as I know: it could be a connection problem (even with my wi-fi). It could be a browser problem. It could be a graphic card problem. A registry problem. Yet I made no changes, so there should be no problem. I hear people talking about dust, and that should not be an issue either, but how do I know. I can't exclude anything.

There are so many things that could go wrong that it's a wonder computers work at all.

I often compare computer with a human body. But there are differences. Of course a computer is better because you can replace parts more easily, unless it's a laptop. But a computer is also worse because it doesn't self-heal like a scar.

In fact a computer can live as long as a human. Obviously since you can replace all its parts, so eventually it will not be the same computer. Yet, if you don't change anything, and use it all the time, that computer... i am getting lost. Anyway, I am quite upset about this problem with streaming videos. I feel I should quit my job and focus on this problem until I solve it.

later edit:
Maybe I solved the freezing problem. I increased the IE temp files size, reduced graphics performance, changed paging file memory settings to automatic, re-enabled some files from the graphics card... it doesn't freeze anymore. I wonder which of all these things it was, but basically it doesn't freeze now. Actually the "Intel GMA driver for Mobile" doesn't even seem to be running, and the simpler one must be running - I guess this is because I lowered performance. I don't know much about these subjects. Anyway, in the process I've discovered a great software for monitoring your pc's temperature and all that, which is called "Notebook Hardware Control".

In some ways this software is even better:
http://www.geocities.co.jp/SiliconValley-Oakland/8259/

 

[Adamus]

I hope that fixing it allowed you to sleep well. I don't think what you've got in terms of OCD is actually that bad, in fact it can be quite useful. It depends on whether you only have it in certain circumstances or situations, or whether you suffer from it in all things all the time.

Unconnected to that, I've just been going over my list of things to do, and I realised I'm neglecting the single currency risk that I'll be building up at random points by having trading systems running on 10 pairs concurrently.

WIth the ten pairs AUDUSD, EURCHF, EURGBP, EURJPY, EURUSD, GBPJPY, GBPUSD, USDCAD, USDCHF and USDJPY, at any one point I could have 6 times the position size open in USD, 4 times in EUR, 3x GBP, 3x JPY and 2x CHF.

It seems more and more that this strategy of mechanical trading, ostensibly at first glance just a basket of 10 trading systems, could be a disaster in the making if I don't leverage correctly, but on the other hand, it could be a great technique to profit from market movement, e.g. when the dollar surges, I've have 6 times more chance of catching that move.

It will be defined by a few very rare events I think. There are bound to be a couple of occasions where the basket of 10 pairs goes all in the same direction on the dollar at the same time, and I need to work out some measure of whether this 6-fold risk is worth the benefit of diversification into these 10 markets.

I would prefer a basket that includes London oil, gold, non-US treasuries and STIRs, and maybe some agricultural commodities. But that will have to wait until I have the money to afford the tick data and the continuous contract splicing software.

 

[Adamus]

Next week I have to write the code to pump out a few graphs of interesting stats - distribution of returns on hourly, daily, weekly, monthly and yearly time frames, ...

Just thought, maybe it would be good to do a distribution of returns per 100 trades, to make a change from a normal linear time scale. Or maybe 50 trades. Or 25 or 1000, I just don't know enough about distributions and kurtosis. Maybe I'll go and stick the question on Naseem Taleb's blog

(Edit: actually forget how many trds - I can just put out a distribution for return per trade)

Taleb is often on TV ranting about the bankers earning fat bonuses on their annual performance and then sadly and unexpectedly wiping out their accounts once in a while, writing to their investors to say, "imagine our surprise...." but always keeping the yacht that those bonuses paid for.

I guess that it is the type of structure I should try to set up, should my Holy Mug system bring in the fortune I saw in my crystal ball. Ah, lazy Sunday afternoon - if only NinjaTrader would stop giving me 'over fills' and IB TWS would stop crashing, I'm sure I'd be a zillionaire already.

 

[Yamato]

I hope that fixing it allowed you to sleep well. I don't think what you've got in terms of OCD is actually that bad, in fact it can be quite useful. It depends on whether you only have it in certain circumstances or situations, or whether you suffer from it in all things all the time.

Unconnected to that, I've just been going over my list of things to do, and I realised I'm neglecting the single currency risk that I'll be building up at random points by having trading systems running on 10 pairs concurrently.

WIth the ten pairs AUDUSD, EURCHF, EURGBP, EURJPY, EURUSD, GBPJPY, GBPUSD, USDCAD, USDCHF and USDJPY, at any one point I could have 6 times the position size open in USD, 4 times in EUR, 3x GBP, 3x JPY and 2x CHF.

It seems more and more that this strategy of mechanical trading, ostensibly at first glance just a basket of 10 trading systems, could be a disaster in the making if I don't leverage correctly, but on the other hand, it could be a great technique to profit from market movement, e.g. when the dollar surges, I've have 6 times more chance of catching that move.

It will be defined by a few very rare events I think. There are bound to be a couple of occasions where the basket of 10 pairs goes all in the same direction on the dollar at the same time, and I need to work out some measure of whether this 6-fold risk is worth the benefit of diversification into these 10 markets.

I would prefer a basket that includes London oil, gold, non-US treasuries and STIRs, and maybe some agricultural commodities. But that will have to wait until I have the money to afford the tick data and the continuous contract splicing software.

It did not allow me to sleep well, because just before going to sleep it started doing it again: streaming videos kept freezing my pc, so I didn't sleep well at all, but I didn't want to bother you with my problems so I didn't come here to tell you.

Most likely I am solving it now, and it might be merely an Internet Explorer issue, despite the fact that it happened on every browser I tried. As you might know, Internet Explorer is not just a regular browser and if it doesn't work properly, it causes problems everywhere on your Windows XP system. Maybe I am solving now, by restoring default settings and all that. If I don't solve, I'll keep trying for the next few weeks. I can't just give up on watching videos, even though it has nothing to do with my trading, which could keep on going just fine.

Damn. Later edit.

I didn't solve it. I've been watching Mulholland Falls the whole weekend because despite all my efforts after 5 minutes my laptop still freezes. It's the first time I encounter such a badass problem, much worse than having any virus.

I am just going to give up on watching videos on this laptop, which might be a good thing for my life. Or not. Sad consolation. One thing is for sure: I will go to the other computer to watch the end of Mulholland Falls, because by now it's like a question of principle to at least finish this movie.

 

[Yamato]

Back from work. In the meanwhile, after formatting C:, and reinstalling XP, I've been installing windows updates. I hope to be done by tonight and start watching videos again. Then I'll do an acronis image and keep it forever. I must never make the mistake of deleting a previous image unless I am first positive that the last created image is fully working. Actually acronis images should be treated just as system restore points: you keep them for as long as possible. Of course there's limits since each image takes up several gigabytes. However, there should be no deleting of images unless you're forced by space limits.

 

[Adamus]

Yes, ideally I like to keep a complete back-up for every year, then every month of the current year, each week of current month. It makes for a lot of backups, but I just bought a WD Passport - a USB harddisk with 1TB - for £100. That will keep me happy hopefully for the rest of the year even with all that disktrading data I bought.