Search found 218 matches

by Tim Arnold
Tue Sep 12, 2017 4:23 pm
Forum: Data Providers and other non testing software
Topic: Status of CSI after Hurricane Irma
Replies: 13
Views: 428

Re: Status of CSI after Hurricane Irma

Yes ez downloader works fine for me as well.
by Tim Arnold
Tue Sep 12, 2017 3:43 pm
Forum: Data Providers and other non testing software
Topic: Status of CSI after Hurricane Irma
Replies: 13
Views: 428

Re: Status of CSI after Hurricane Irma

I was able to update my data through 9/11, but at the end of the process I had to respond "No" to the question about updating "new or suspect database files". Answering yes ended up in an authentication problem. The courtesy data will be updated shortly, and I will update tonight as well if anyone n...
by Tim Arnold
Wed Mar 29, 2017 9:40 am
Forum: Forex
Topic: Optimizing Auto Systems
Replies: 1
Views: 869

Re: Optimizing Auto Systems

By "Auto Trading Strategies" I assume you mean mechanical or systematic trading? Yes that is all we do here. Not many discretionary traders on this forum. Yes people use TB for optimization all the time. The trick is looking for what we call Robust parameters. Robust parameters are those that have a...
by Tim Arnold
Sat Mar 25, 2017 8:01 am
Forum: Testing and Simulation
Topic: ASCII Files
Replies: 1
Views: 443

Re: ASCII Files

For stocks you should be able to just point the stock data folder to this new location that contains the text data files. If they are in a symbol.txt format then they will loaded up as expected. No stock dictionary is required, unless you need attributes like currency, description, and exchange. For...
by Tim Arnold
Fri Mar 17, 2017 10:24 am
Forum: Testing and Simulation
Topic: Portfolio Heat
Replies: 3
Views: 601

Re: Portfolio Heat

Yes, that's a great idea. Couple of things to consider about 'heat' or risk. When we add up the risk of a portfolio, we loop over each instrument and compute the price difference between the close and the current stop price. So be sure your system has stops, and places those stops into the market ev...
by Tim Arnold
Mon Mar 13, 2017 4:13 pm
Forum: Testing and Simulation
Topic: Factoring in 'Worst Loss' over trading simulations...
Replies: 1
Views: 275

Re: Factoring in 'Worst Loss' over trading simulations...

I usually remove the outliers, top x winners and losers in my mind are likely not statistically significant for analysis. There is always some tail chance of a black swan event, but that is a different discussion.
by Tim Arnold
Thu Mar 02, 2017 9:24 am
Forum: Futures Markets
Topic: STIRs, single contract vs back-adjusted price series
Replies: 2
Views: 1201

Re: STIRs, single contract vs back-adjusted price series

Yes it makes sense. Every market has the potential to be back adjusted differently, using different roll criteria and selective months. In this case you might want to roll once per year, to get a good 20 year back test window. Basically, trade what you test, and test what you trade -- particularly w...
by Tim Arnold
Mon Feb 27, 2017 8:46 am
Forum: Forex
Topic: How to start forex ?
Replies: 2
Views: 271

Re: How to start forex ?

There are some good resources on this site, the forum is full of good info. We also have a library of recommendations, and the software is a great place to get started with backtesting and trading. The Basic edition is only $590.
by Tim Arnold
Sun Oct 23, 2016 8:04 am
Forum: Data Providers and other non testing software
Topic: CSI: no data prior to 1980?
Replies: 2
Views: 2185

Re: CSI: no data prior to 1980?

You could call them and ask about your subscription.

Be sure also to set the Symbol Dates As Available to As Available, and the portfolio start stop dates as well.
by Tim Arnold
Mon Aug 29, 2016 8:32 am
Forum: Testing and Simulation
Topic: Total risk profile jumped to 100%?
Replies: 1
Views: 813

Re: Total risk profile jumped to 100%?

Risk is not measured with margin but rather the distance between the entry and stop price.

There are a number of properties for margin. The margin for the instrument is fixed in the dictionary. The margin for a trade is just the quantity times margin.
by Tim Arnold
Tue Aug 16, 2016 10:24 am
Forum: Data Providers and other non testing software
Topic: CSI Data Issue
Replies: 1
Views: 689

Re: CSI Data Issue

The tutorial has been updated. http://www.tradingblox.com/connect-data-from-csi-to-trading-blox/ Looks like your dictionary might be old. Be sure to do a full fresh install of the latest version, to get the current dictionary that will match this CSI portfolio. The dictionary you want is in the Data...
by Tim Arnold
Wed Jul 20, 2016 11:00 am
Forum: Forex
Topic: Trading Blox real time on FXCM and IB
Replies: 5
Views: 8552

Re: Trading Blox real time on FXCM and IB

Ok thanks for the feedback. Will let you know when this project is ready.
by Tim Arnold
Fri Apr 08, 2016 11:07 am
Forum: Forex
Topic: Trading Blox real time on FXCM and IB
Replies: 5
Views: 8552

Re: Trading Blox and FXCM

Current beta supports Forex on Interactive Brokers if anyone is interested in testing that.

Broker Direct mode runs automatically every bar, updates data, synchronizes positions between system and broker, and enters new orders.
by Tim Arnold
Fri Mar 11, 2016 3:50 pm
Forum: Testing and Simulation
Topic: Walk Forward Analysis
Replies: 1
Views: 1325

Re: Walk Forward Analysis

1. I'm sure there are different thoughts on that. You can test a regular re optimization strategy with the walk forward feature. 2. You could test both and see how the historical results look. Lots of variables and opinions involved in the correlation between historical results and future results. M...
by Tim Arnold
Tue Mar 01, 2016 10:52 pm
Forum: Testing and Simulation
Topic: Interactive Broker Symbol Error
Replies: 1
Views: 1115

Re: Interactive Broker Symbol Error

Set the correct IB exchange and symbols in the Futures Dictionary.
by Tim Arnold
Wed Feb 24, 2016 8:05 am
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 8819

Re: Harmony Search Algorithm

I have not tried this. I don't use this approach and have not found genetic or brute force optimization strategies very useful.
by Tim Arnold
Wed Feb 24, 2016 8:04 am
Forum: Testing and Simulation
Topic: Optimization - Independently testing parameters
Replies: 1
Views: 1225

Re: Optimization - Independently testing parameters

The first rule of optimization is, don't. But seriously, assuming the goal is a robust system, with robust defined as high probability of future performance similar to past performance, be very careful to 'keep it simple' and reduce the number of parameters. Fully understand each and why they are in...
by Tim Arnold
Wed Feb 17, 2016 5:01 pm
Forum: Testing and Simulation
Topic: FOREX Historical Carry Rates
Replies: 3
Views: 1599

Re: FOREX Historical Carry Rates

Thanks, that's great.