Portfolio File Format

Portfolio File Format

There is one Portfolio File per Portfolio.  These portfolios are stored in ASCII Text files with a ".set" extension in folders inside the main Trading Blox installation folder. There is a "Futures Sets" folder for futures, a "Forex Sets" folder, and a "Stock Sets" folder for stocks.


C:\Trading Blox\TradingBlox\Futures Sets

C:\Trading Blox\TradingBlox\Forex Sets

C:\Trading Blox\TradingBlox\Stock Sets




The only contents of a Portfolio File are the list of instrument symbols with one symbol per line. Each line has a line-feed and carriage return character following the symbol.


Trading Blox automatically detects all portfolio files present in each and places them as an option in the Portfolio Manager pull down menu.


Forex and Stock Portfolio File Order

With the exception of Futures Markets, the order in which markets are stored in a Portfolio file will likely affect performance. While not at all obvious, the reasoning is simple. Each trading day, Trading Blox processes the list of markets exactly as they are ordered in the Portfolio file. If markets are stored alphabetically, and multiple trades are signalled in a single day in closely correlated markets, then it is possible, that trades would be taken in AD, BP, and CD, but rejected in JY due to the effect of Max Closely Correlated Units. Under the same set of circumstances, if the markets had been stored in reverse alphabetical order, then JY, CD, and BP trades would be taken, and AD would be rejected.


Since the Portfolio Editor orders the files alphabetically by symbol, this is the order that is written to the set files and therefore the order that trade orders are processed by Trading Blox.


This is one of the inherent limitations of testing with daily data. In the example above, it is impossible to discern which trade actually fired off in which order without the aid of intra-day data, so Trading Blox must take trades based upon the order of instruments in the Portfolio file.


This is analogous to the issue that arises with attempting to track consecutive wins/losses in a multi-commodity systems during back testing on daily data. Consider, for example, a system that enters and exits on the open: As of last night, the system had closed out a total of ten consecutive losses over the prior few weeks. Today, 2 positions (in different markets) are to be exited on the open, one at a profit, and one at a loss. If the profitable trade is counted first, then the losing string is broken at 10. Alternately, if the losing trade is counted first, then the string of consecutive losses is extended to 11, and is broken by the profitable trade.


Which is correct? Actually, it depends on which pit or exchange opened first. But what if both trades were executed simultaneously? The answer is that this is one of the inevitable limitations of testing with daily data, and it is a function of the order in which the markets in the portfolio are presented for processing by the back testing software.


Futures Market Order

The orders for Futures markets are processed in a special field Order Sort (see: Futures Dictionary for details) which is part of the Futures Dictionary entry for each market. Trading Blox recommends setting this value to the opening time of the market.


This will increase the accuracy of the simulation because markets that open first are more likely to have positions before markets that open later.


The Order Sort value also makes it easier to handle actual orders because they appear in the same order that the markets will open when generating orders using the Suite | Generate Orders menu item.


Edit Time: 5/9/2017 11:23:26 AM

Topic ID#: 185


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