Archive for the Trader Blog Category

Sharpe vs Sortino and Custom Summary Results

When it comes to performance statistics in backtesting, every system builder has a favorite set for gauging the effectiveness of a strategy.  One popular metric, the Sharpe ratio, was introduced in 1966 by Stanford professor Dr. William Forsyth Sharpe and measures return relative to volatility. Volatility is

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Multiple Data Timeframes in One Trading System

Recently, the topic of using both intraday and daily data together in one system came up on the Trading Blox Forum.   This can be useful for taking primary signals on a daily timeframe and using intraday data to more accurately estimate fills.  It can also be important

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What’s New With Trading Blox

This month’s Whats New introduces : Trading Blox multi-threading Processors have seen their biggest performance improvements in recent years by the addition of multiple cores. A 4 core processor is theoretically equivalent to a 4x performance increase. In practice, actual speed gains are closer to 50% and

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