Tuesday 1 September 2009

New FAQs Page, Portfolio Page Updated

I've just updated my portfolio page with results as of Friday's close of trading. I've also just added link to a new Frequently Asked Questions page to my Navigation bar on the right. Most of those are questions I've gotten asked numerous times, and I guess I'm just getting lazy about not wanting to repeat myself over and over! That page also includes a step-by-step breakdown of my backtesting process.

6 comments:

Anonymous said...

are you currently long ES/markets?

thanks

Alex Roslin said...

My positions are indicated on my portfolio page. I don't have a setup for the emini S&P 500 data.

Regards,
Alex

In Debt We Trust said...

What do you think of the Chalkin Money Flow (CMF) indicator?

It seems to be more accurate on longer time scales - see UUP vs. FXA on the daily and weekly charts.

I have been wondering if it could be used as a substitute or complement to COT timing.

Alex Roslin said...

Hi In Debt...,

CMF is based on an interesting concept, and I have looked at it from time to time, but I've never done or seen any backtesting on it. It could be interesting to study further, and it certainly has potential to be integrated into the system. The question is what parameter values would work best for CMF in relation to the COT data. That's important to find out before integrating it. Also, does it really improve results or not? Other indicators I've tested actually degrade results and robustness, so we can't assume it will improve things.

Regards,
Alex

In Debt We Trust said...

Well, CMF seems to work best on a longer macro time scale - certainly not week to week.

But if you add in volume and throw in a 10 day SMA then things get interesting:

PS, what do you think of this week's upcoming CFTC changest to the COT timing?

http://debtsofanation.blogspot.com/

Alex Roslin said...

Hi In Debt...,

Yeah, I like the concept behind the CMF. It's something worth studying to see if it could be integrated. Maybe CMF can even function in a trading system on its own - or perhaps in combination with a moving average? Btw, I found the slope of some moving average periods gave some of the best signals of any technical price-based indicators I did study.

Regarding the CFTC changes, I want to study them a little more to figure out how they will impact things. The CFTC has said it might keep publishing the current version of the COT report at the same time. Obviously, whatever they do could have a huge impact on continuing to trade these signals, unless the four new categories are merely two new groups of traders from within the commercial and non-commercial categories. The CFTC's detailed explanatory notes seem to indicate that that's the case, but I'd like to get more clarification.

I believe it would be preferable to keep having the existing report as well as the new broken-out data. The CFTC says it will provide three years of historic data for the new categories, but that's far from being enough for any kind of analysis purposes. You'd need data going back at least 10 years and ideally all the way back to 1995 for it to have any usefulness beyond unscientific eyeballing of charts.

If you have concerns, I strongly suggest you let the CFTC know. They have invited comments on their proposed changed. Those can be sent to secretary@cftc.gov. Deadline: Oct. 1, 2009.

Regards,
Alex