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yes I am aware of IB / Amibroker, have been trading my EOD system using the IBc for about a year now. From time to time I make an attempt to write a daytrade system but I have been unsuccesful still. I remember discussions on the Amibroker board in the past where Pal Anand was involved. He claimed to make enormous percentages trading futures or Forex. The simple trend following system I wrote currently makes enormous returns as well when it is tested on any index. However testing it on anything tradeble I get returns less then my EOD system .... I guess I will have to try harder.
I believe Quote.com provides backadjusted ER2 and NQ data. I'll ask them on monday,
rgds, Ed
----- Original Message -----
From: Terry
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 22, 2006 5:20 PM
Subject: RE: [amibroker] trading futures
I agree with you for day trading. My analysis was for trading at the close.
Sounds like you have no choice but to get R/T data. You can easily do that with IB feed into Amibroker.
The history for testing will be a problem. Maybe someone can suggest (or can supply) some intra-day history for NQ / ER2.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of emp62
Sent: Saturday, July 22, 2006 01:27
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] trading futures
Terry,
the daytrade system I am developing I tested on the $RUT and the ER2. I added charts for the same time period. The index (RUT) is way smoother than the future (ER2) and therefor the optimal resul when one could trade the index itself can be found by setting factors like a stoploss really tight. However if you use these same parameters for the ER2 you see that one gets multiple signals making the system actually loose money.
One idea could be to let the index generate the signals and then trade the ER2. I tested such a setup for the QQQQ reacting on signals I get from the $NDX. As one may expect the index is lagging and this will not work.
So I think that if you want to trade ER2 you will have to test the system on the actual data. Any ideas?
regards, Ed
----- Original Message -----
From: Terry
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 21, 2006 7:14 PM
Subject: RE: [amibroker] trading futures
I use the NDX as a proxy as you saw in my screen shot. Based on testing the ER2 (Russell 2000 futures for which I have historical data), the Close is fairly consistent with the ER2 and thus $RUT makes a good proxy. The Open varies much more and really needs back-adjusted futures data to test. I am "assuming" the NQs are the same. They "should be" because they are tracking the index.
There are sources of back-adjusted futures contracts. I am trying to get CSI Data to provide this directly to AB. They have the data. I'm pretty sure they can export this data to Metastock and you can read Metastock data with that plug-in.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of emp62
Sent: Friday, July 21, 2006 09:08
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] trading futures
thanks Terry for your detailed answer. One more basic question on this. What data do you use to test a system. I mean for every contract you are limited to the data for that contract, so there is not much to work with. Or do you use the NDX index for testing?
regards, Ed
----- Original Message -----
From: Terry
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 21, 2006 4:38 PM
Subject: RE: [amibroker] trading futures
If you're keeping the contract overnight, the margin is 3750.
Tick size relates to how much movement is required to get paid. It is 0.25.
I set those values in the Symbol Information window.
Commission is 2.40 per side or 4.80 round trip. You use 2.40
per contract. (The 1.65 you saw was for OPTIONS on futures.)
You can find contract details here and margin deposit on the IB page you have:
http://www.cme.com/clearing/clr/spec/contract_specifications.html?type=idx
SetOption("CommissionMode", 3); /* Modes explained next...
0 - use portfolio manager commission table
1 - percent of trade
2 - $ per trade
3 - $ per share/contract */
SetOption("CommissionAmount", 2.40);
Be sure to check the Futures box in AA->Settings.
This is necessary even when you use this line of code,
which I always include when testing Futures.
SetOption("FuturesMode",True);
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of emp62
Sent: Friday, July 21, 2006 07:14
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] trading futures
thank you.
So in the Symbol inofrmation window I fill in:
Round Lot Size: 1 Margin deposit: 1500
Tick Size: 5 Point value: 20
am I right? What number do you use for the margin deposit?
thank you,
regards, Ed
----- Original Message -----
From: ara1@xxxxxxxxxx
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 21, 2006 2:52 PM
Subject: Re: [amibroker] trading futures
Point value for NQ is $20.00 - (Tick value = $5.00).
IB commissions are $2.40
----- Original Message -----
From: emp62 <emp62@xxxxxxx>
Date: Friday, July 21, 2006 3:11 am
Subject: [amibroker] trading futures
To: amibroker@xxxxxxxxxxxxxxx
> hi,
>
> am am testing some systems on futures (have experience with stocks
> only) and I want to check if my settings are set up properly for
> trading NQ E-mini Nasdaq 100 futures at Interactive Brokers.
>
> For trading 10 contracts I add into my system:
>
> NumContracts = 10;
> PositionSize = NumContracts * MarginDeposit;
>
> Further:
>
> tick size = 0.25
> Point value = 12.5$ / 0.25 = 50
>
> Margin deposit ?? Do I need to get this number from IB? I find a
> list here:
>
>
http://www.interactivebrokers.com/en/trading/marginRequirements/margin_
amer.php
>
> what do I use? 1500?
>
> Commision I use 1.65$ per contract.
>
> if somebody could check the setup I would appreciate,
>
> thanks, Ed
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