Sunday, February 18, 2007

Chicago Mercantile Exchange (CME) E-Mini Info

The Chicago Mercantile Exchange (CME) has everything you ever wanted to know about their e-mini futures equity index products, such as the S&P 500, Russell 2000, and the Nasdaq 100 e-mini futures. They have symbol roots, trading hours/calendars, contract sizes, contract multipliers, etc.

Click any of the product links on the left hand column to view the information for that e-mini/future/product.

Check it out:


Thursday, February 15, 2007

NFA Forex Online Learning Program

Forex can be confusing at first. How much leverage is too much leverage? What am I really buying and selling?

Seeing as there are so many Forex-related scams on the Internet, it was nice to come across this primer on the basics of currency trading written by the National Futures Association. Because they are a regulatory agency, you can assume they aren't trying to dupe you out of your money in some way another (e.g. telling you that you can use 200:1 leverage and make a billion dollars every day with no risk).

The best thing I took away from the training was the simple fact that you have to convert any foreign currency profits back to dollars to figure out the effect on your U.S. Dollar-based account. For example if you are $100,000 long the USD/CHF at 1.2350 and then you offset/sell the position at 1.2360, you just made 0.0010 SWISS FRANCS per dollar. I don't have my profit amount in dollars so I have to again use the same cross rate to convert to a dollar amount. I take 0.0010 and divide by the cross rate, 1.2362. I have to use the ASK because I'm selling my francs to get back to dollars. So 0.0010 / 1.2362 = 0.00080893...

Now I can multiply my $100,000 times this number to get my dollar profit:

$100,000 * 0.00080893... = $80.89

I found this to be pretty confusing at first, especially when you're using a cross rate where dollars is not the quote currency.

By the way, in forex notation (as in USD/CHF), the first currency (USD) is known as the "base currency" or "transaction currency," whereas the second currency is known as the "quote currency" or "settlement currency."

The first is called the base or transaction currency because it is the currency that you are going long if you hit the ask. The second is called the quote currency because it is the one that is quoted in the cross rate (i.e. it takes 1.2350 swiss francs to equal 1 u.s. dollar). It's also called the settlement currency because it is the currency in which you will have your profits before being converted back to the main currency of your trading account (usually U.S. dollars).


Wednesday, February 07, 2007

Powerful Stock Screener

I was doing some research on stock screeners via Google tonight and found out that Reuters has an excellent fundamental screener called the PowerScreener 3.0. I think this is the same data and screener that you get with Portfolio 123 but I'm not sure since I haven't experimented with either one extensively. If you're really into using screeners, I think this is for you.


Sunday, February 04, 2007

ULTRA Systems & OpenQuant Software

Recently we've been using systems we've developed with a little known market timing product called ULTRA Market Timing from ULTRA Financial Systems Inc. The product comes chock full of simple timing systems that can be combined into composite definition files so that you only trade when at least X number of systems give signals. Our backtests were encouraging so we decided a couple months ago to try a few of our composites out with real money. So far so good. We have one system that trades the NQ or the ER2, (depending on which one is more volatile), and another system that scales in and out of the ES.

I also recently came across a trading product, primarily designed for hedge funds, called OpenQuant, developed by SmartQuant. It integrates portfolio-level backtesting, automated strategy development, portfolio managment, order execution, all with real-time data feeds from multiple sources. Most of the .NET languages are supported through an API. I think other 3rd party programs can be used with OpenQuant through the API. From a quick inspection, the program seems to be something a hedge fund quant couldn't live without. However, I doubt it would be very useful for the average retail trader, unless that trader has a lot of programming experience.