Futures bonding - finding seams - page 7

 
Aleksey Vyazmikin:

Decided to look at the glue on the euro/ruble futures - horror


How can it be brought into human form? I understand that if you correct it by hand, it will again get messed up when communicating with the source of the information...


Why do you need glues, how are you going to trade the glue?

 
Sergey Chalyshev:

Why do you need gluing, how are you going to trade gluing?


I need the glue for optimisation.

Naturally, when I trade, I get the futures closer to the date of the excirculation.

 
Aleksey Vyazmikin:

I need the glue for optimisation.

Naturally, when I trade, I get the futures closer to the date of extirpation.


The results of optimisation and real will be very different if there are medium and long term trades. If you trade intraday then the gaps will have almost no effect on testing.

So try it.

 
Sergey Chalyshev:

The results of optimisation and real trading will be very different if there are medium and long term trades. If you trade intraday, the gaps will have almost no effect on testing.

So try it.


I trade on minutes. I have seen abnormal spikes on the screenshot above that strongly distort financial results - there are a lot of such sections - it's something with ticks.

About the link - I understand that the idea is to change the symbol, but I'm using a class for trading that doesn't allow to change the trading symbol on the fly... at the moment that's not good.

 
Aleksey Vyazmikin:

I trade on minutes. In the above screenshot there are abnormal spikes that strongly distort financial results - there are a lot of such sections - something with ticks there, when I test using OHLC everything goes fine.

About the link - I understand that the idea is to change the symbol, but I'm using a class for trading that doesn't allow to change the trading symbol on the fly... at the moment that's not good.


Alexei, you have the wrong idea about stock trading at all.

For example, you brought Eu gluing, what are you going to optimize if in 3 months

the Central Bank rates and the EuR may change several times?

And all of your optimisation will go down the drain.

You CANNOT trade on the exchange like you do on the FOREX!

 
prostotrader:

Alexei, you have the wrong idea about stock trading at all.

For example, you brought in Eu gluing, what are you going to optimise if in 3 months

the Central Bank rates and the EuR may change several times?

And all of your optimisation will go down the drain.

You cannot trade on the stock exchange like you do on FOREX!


We have a different approach to trading. I hold a profitable position for an average hour, so for me the technical approach is important. You probably trade on H1 and there may be a different philosophy, taking into account analytics and so on.

Or, please tell me how you think you should trade on the minutes.

 
Aleksey Vyazmikin:

We have a different approach to trading. I hold a profitable position for an average of an hour, so for me the technical approach is important. You, on the other hand, probably trade on H1 and there may be a different philosophy, taking into account analytics and so on.

Or, could you please tell us how you prefer to trade on a minute?


How to trade - you know, I just noticed that on the futures you can not get

I've only noticed that for futures it's impossible to optimize and check your TS on history because the interest rates are constantly changing,

And so do dividend payments, and the market doesn't stand still...

 
prostotrader:

How to trade is up to you, I just noticed that in futures you can't get

I just noticed that in futures you can't get optimization and check the TS on the history, because the interest rates are constantly changing,

as well as dividend payments, and the market doesn't stand still...


Well, I am of course in deep drawdown after a year of trading on MOEX, and while searching and optimizing TS. But, all my losses are purely a psychological factor - a struggle with myself - I am working on myself.

And the TS, well, I don't know, on the history there has been not a bad curve of the Si, and if the interest rates strongly affected the TS, then there would be a frank failure, but now it is almost absent for the year, while the dollar/ruble is swinging from side to side. I took a part of my experience from many years of building counter-trend ATS for Forex and implemented it in my trend strategy for MOEX, and it still works successfully, funny enough, some indicators work even without changes in the settings.

Markets are of course different and on MOEX something works under ATS and something does not. So I set out to investigate why it doesn't work and found a creep in the glue.

 

Hi all!!!! Does anyone have an OM on futures over the last month? For currencies or any other instruments!!!!

Interested in intraday data, say minutes....

 
Mihail Marchukajtes:

Hi all!!!! Does anyone have an OM on futures over the last month? For currencies or any other instruments!!!!

Interested in intraday data, say minutes....


How do you get them? What do they give you? Do the daily ones give you anything http://www.moex.com/ru/derivatives/open-positions.aspx ?

If you look at the chart, the positions will not match, sometimes by large volume, because there are over-the-counter trades.