Oil the new condiment?

Posted on September 8, 2016 by Rob Woodmansey in backtesting

 

The relationship between crude oil and gas prices and that of agricultural commodities is a complex one. The covariance is non-linear and the degree of correlation depends upon the absolute value of oil. We have been exploring the nature of this relationship using nanotick data for the most active oil and natural gas contracts and wheat and corn.

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Gold the false Joule in the crown of reserve currencies?

Posted on August 11, 2016 by Rob Woodmansey in backtesting

The time has come to really take the tarnish off this transition metal and to utterly dismiss its place in an organised social and economic system once and for all.

We will propose a new reserve currency for the world, one that has real value at times of instability. Gold has to go!

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What is the most active interest rate future?

Posted on July 28, 2016 by Rob Woodmansey in backtesting, in interest rate futures

The most actively traded interest rate future in the world has its origins in a time when Europe was in financial turmoil.

Following the end of the second world war the US secretary of state George Marshall wanted to encourage financial stability within Europe. The fear was that post war poverty and unemployment would give rise to a renewed interest in communism and this had to be defeated by a rebuilding program in parts of Europe that had been devastated. Britain will must never forgive itself for overlooking the greatness of Churchill in favour of “socialist” Attlee in the first election after the war. Communism was a very real threat.

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3 sources of historical market data to backtest a CME trading strategy

Posted on July 21, 2016 by Rob Woodmansey in backtesting

Backtesting is the process of simulating a trading strategy using historical data.  By replaying historic data to reconstruct an order book over a given period of time, traders can examine orders, and calculate potential to determine how effective their strategy might have been if it were traded historically. 

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