Search found 14 matches

by Anthony Marsland
Mon Feb 20, 2012 1:55 pm
Forum: Data Providers and other non testing software
Topic: Fast Turn around data supplier wanted
Replies: 9
Views: 6962

Hi Sluggo,

How did this project turn out? Did you find any advantages to custom start end times?
by Anthony Marsland
Tue Feb 14, 2012 7:15 am
Forum: Testing and Simulation
Topic: Kitchen Sink Portfolio Creation
Replies: 4
Views: 2535

CSI discounts

Nearing the end of my 30 day CSI full access history subscription I decided to invest in a Gold daily update subscription. CSI were happy to discount the Gold subscription using the history payment plus any other discount codes I had... Result!
by Anthony Marsland
Thu Feb 09, 2012 10:23 am
Forum: Testing and Simulation
Topic: Kitchen Sink Portfolio Creation
Replies: 4
Views: 2535

For the less curious...

So you're feeling a little 'pushed for time' and happy to trust my slap dash ways... here's the UA portfile for my kitchen sink futures portfolio not inc metals, fx futures and minis and the UA portfile for FX Futures, Metals and Spot Currencies: http://www.tradingblox.com/forum/viewtopic.php?t=9338...
by Anthony Marsland
Thu Feb 09, 2012 10:14 am
Forum: Testing and Simulation
Topic: Kitchen Sink Portfolio Creation
Replies: 4
Views: 2535

For the less curious...

So you're feeling a little lazy and happy to trust my slap dash ways... here's the UA portfile for my kitchen sink futures portfolio not inc metals, fx futures and minis and the UA portfile for FX Futures, Metals and Spot Currencies: http://www.tradingblox.com/forum/viewtopic.php?p=53375#53375 They ...
by Anthony Marsland
Wed Feb 08, 2012 10:48 am
Forum: Testing and Simulation
Topic: Kitchen Sink Portfolio Creation
Replies: 4
Views: 2535

Kitchen Sink Portfolio Creation

Firstly thanks to so many members of this forum for all they have shared. I feel so much gratitude for all your thoughts, suggestions advice and code. Please find below a process for creating a large portfolio of tradable futures. It seems so simple to me now but took nearly a month of research and ...
by Anthony Marsland
Tue Jan 24, 2012 3:33 pm
Forum: Testing and Simulation
Topic: Following your system . . . . with a delay
Replies: 18
Views: 6027

Probability

rhc, First rule of trading - follow the rules. If you do not have a rule in place for entering retracements of too expensive trades, then it is not part of your system at present. Maybe use this trade as inspiration to test/write the rule before the next opportunity to enter at a more favourable pri...
by Anthony Marsland
Mon Jan 23, 2012 5:20 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16831

NAAIM Winner

This study by Thomas Krawinkel may be of help. He has created an Excel sheet to help study the effects of missing trades and will share it with anyone committed to a thorough investigation of their system.

He can be contacted at TKrawinkel at gmx.de
by Anthony Marsland
Fri Jul 22, 2011 3:44 am
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9787

Correlation

Following on from Sluggo's comments regarding Richard Spurgin here are my FX Futures system correlation results to an e-mini system in the same portfolio. 0.855 Original System Settings for Pound 0.839 0.838 0.850 0.874 0.863 0.733 Original System Settings for Euro 0.693 0.648 0.654 0.672 0.685 0.83...
by Anthony Marsland
Wed Jul 20, 2011 4:46 pm
Forum: Testing and Simulation
Topic: Blend which other system types w/LTTF for smoother eq curve?
Replies: 20
Views: 9787

Multiple sub-systems

Hi Sluggo, My experience concurs with rhc. I have split my FX Futures Day Trading System into 6 sub-systems per instrument. Each sub-system trades an entry, risk stop and target at a different price to the other sub-systems. This has increased Sharp by 27% and added the benefit of keeping, what woul...
by Anthony Marsland
Wed May 25, 2011 12:27 pm
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5486

The reverse of example 2?

Could I load the daily bars from one file, creating indicators, trade set-ups etc and then load the separate intra day file for entry and exit as needed? So in the case of my reversion to mean research: Psuedo code: if c < lowest(c,10) on Daily Data then load intraday data for instrument broker.ente...
by Anthony Marsland
Wed May 25, 2011 4:26 am
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5486

Higher Resolution Data

Hi Tim, Just to be clear... When you say other clients use higher resolution data to create lower resolution bars (minute data creating daily bars) I guess you mean they load all the high resolution data into memory for all the instruments to be tested at before simulation stage. They then have BLOX...
by Anthony Marsland
Tue May 24, 2011 5:54 pm
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5486

Interesting...

Could BLOX code/structure identify the necessary symbols from daily data to trade next day (maybe at Rank Block) and then pull the 1,5,15, etc mins data (maybe at Entry Block, before trading day script) just for those instruments, for just that day and trade the entry and exit code on this finer gra...
by Anthony Marsland
Tue Apr 26, 2011 2:43 pm
Forum: Testing and Simulation
Topic: importing lists of trades into TB
Replies: 5
Views: 2850

Pre Test Tests

Hi Roger,
Thanks for your kind recommendations. I'll post my findings as I work on this project...
by Anthony Marsland
Tue Apr 26, 2011 7:26 am
Forum: Testing and Simulation
Topic: importing lists of trades into TB
Replies: 5
Views: 2850

Tradestation to BLOX conversion

Hi there SR100M, Did you manage to find/create a solution to your query. I have exactly the same requirement having written a number of systems in EasyLanguage and would love to combine them into a Suite within BLOX. It would be a great time saver to be able to import the trade data into BLOX rather...