Search found 77 matches
- Sun Sep 13, 2020 1:37 pm
- Forum: Futures Markets
- Topic: Rolling Amsterdam Index EOE (AEX in CSI)
- Replies: 0
- Views: 5009
Rolling Amsterdam Index EOE (AEX in CSI)
Hello Everyone, Is anyone trading the Amsterdam Index and happy with the roll set up used for back test and live trading? My initial attempt: Roll on OI, First Trigger at 90%. Results: grim Second attempt: Roll 3 days before Expiration. Results: smooth steady Volume and OI ( My contracts are set to ...
- Mon Aug 17, 2020 3:04 pm
- Forum: Testing and Simulation
- Topic: Confidence Interval around a system change - OLD
- Replies: 2
- Views: 3160
Re: Confidence Interval around a system change
Hi, I use the Z score (as shown on your last sheet) to compare the before and after results. ( I am not a statistical whiz, so I keep it simple. ) One observation: MAR is an inadequate measure because it uses the single largest DD. This can force you to reject an otherwise desirable solution due to ...
- Tue Aug 11, 2020 11:29 am
- Forum: Testing and Simulation
- Topic: text editor / source code editor
- Replies: 2
- Views: 2540
Re: text editor / source code editor
Thank you.
I'll try it.
Leslie
I'll try it.
Leslie
- Tue Aug 11, 2020 11:18 am
- Forum: Testing and Simulation
- Topic: Trading Blox to EasyLanguage code conversion
- Replies: 1
- Views: 3683
Re: Trading Blox to EasyLanguage code conversion
Shane,
Did you solve this issue?
Out of curiosity, why Tblox to EasyLanguage?
Why not EasyLanguage to Tblox?
Leslie
Did you solve this issue?
Out of curiosity, why Tblox to EasyLanguage?
Why not EasyLanguage to Tblox?
Leslie
- Tue Aug 11, 2020 10:19 am
- Forum: Testing and Simulation
- Topic: text editor / source code editor
- Replies: 2
- Views: 2540
text editor / source code editor
Is there a way of seeing ALL the code related to a system in a single file?
I would like to write everything in a source code editor (even NotePad will do) if it is possible to save back to Tblox?
Has anyone automated this?
Thank you,
Leslie
I would like to write everything in a source code editor (even NotePad will do) if it is possible to save back to Tblox?
Has anyone automated this?
Thank you,
Leslie
- Tue Aug 11, 2020 10:13 am
- Forum: Testing Software
- Topic: Apple versus PC's
- Replies: 27
- Views: 47810
Re: Apple versus PC's
Since this is my first post, let this be on a truly irrelevant problem. Yes, macOS is a very nice platform. Currently, I am typing on an iMac23, the latest with max CPUs, max clock speed, max memory. Fast. The Retina display quality just cannot be had from other vendors. (I tried Eizo, Dell, Panason...
- Tue Oct 18, 2011 6:52 am
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 19649
- Tue Oct 18, 2011 6:50 am
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 19649
Blue Trin : Are you BUYING Open Quant. To the best of my limited understanding, Open Quant is FREE , open source and you can download it from code.google.com. Is there a possiblity that you are confusing Open Quant with Smart Quant, a Russian, Windows only, commercial package (of no obvious attracti...
- Tue Oct 18, 2011 6:48 am
- Forum: Testing and Simulation
- Topic: Anyone using MatLab, Octave, SciPy, the Language R
- Replies: 22
- Views: 19649
- Fri Sep 02, 2011 12:58 pm
- Forum: Testing and Simulation
- Topic: script to format correlations data from CSI Correlation Lab
- Replies: 0
- Views: 2719
script to format correlations data from CSI Correlation Lab
Hi All, Suppose you have a big futures and commodities portfolio and wish to update correlation data in the FuturesInfo.txt file. For the Euro Currency, the strong correlated symbol list looks something like this AD .. BAX BO CD ... SF ... How would you generate such a list with minimum effort? My s...
- Fri Aug 26, 2011 6:21 am
- Forum: Futures Markets
- Topic: (1) MIB change from S&P to FTSE (b) margin
- Replies: 2
- Views: 2413
- Thu Aug 25, 2011 6:03 pm
- Forum: Futures Markets
- Topic: (1) MIB change from S&P to FTSE (b) margin
- Replies: 2
- Views: 2413
(1) MIB change from S&P to FTSE (b) margin
Hi (a) Would anyone know when MIB changed from S&P to FTSE moniker? Was there any change in composition? (b) The following filtered message threw me for a spin IFM,1,Short Entry,on Open,13.00,34810.0000000,... Cannot add 272456.81 additional margin to 1320873.30 existing with only 1551203.28 equ...
- Tue Jul 26, 2011 12:23 pm
- Forum: Futures Markets
- Topic: London Sugar roll alternatives compared
- Replies: 0
- Views: 2487
London Sugar roll alternatives compared
To follow up on the Robusta comparison, I tried same and few Volume based rolls for Sugar. Essentially, Volume or Open Int based roll settings provide poor results. This market shows significant day to day variation in Volume. Open Interest meanders, with higher OI in back month and higher Volume in...
- Tue Jul 26, 2011 11:24 am
- Forum: Futures Markets
- Topic: London Robusta roll alternatives compared
- Replies: 0
- Views: 2454
London Robusta roll alternatives compared
Taking Shane's and RHC's suggestion, I've experimented with a few roll settings for Robusta. Time interval: 1994 - 2011 July Setting Robusta to 10 MPDM (Shane's suggestion) and Open Int + Volume to 90% fill rate (my best guess). To approximate RHC's setting I forced the "Roll before Expiry = 30...
- Tue Jul 26, 2011 10:13 am
- Forum: Futures Markets
- Topic: London Sugar and London Coffee (Robusta)
- Replies: 11
- Views: 7516
- Mon Jul 25, 2011 4:25 pm
- Forum: Futures Markets
- Topic: London Sugar and London Coffee (Robusta)
- Replies: 11
- Views: 7516
- Mon Jul 25, 2011 1:52 pm
- Forum: Futures Markets
- Topic: London Sugar and London Coffee (Robusta)
- Replies: 11
- Views: 7516
- Mon Jul 25, 2011 1:41 pm
- Forum: Data Providers and other non testing software
- Topic: FOREX currency pairs - nice new feature
- Replies: 0
- Views: 3378
FOREX currency pairs - nice new feature
CSI UA build 119 has nice new features: currency pairs can be inverted for a one pair ONLY, not the entire portfolio. This is very useful for anyone who trades futures markets denominated in non-USD contracts. (Alternate method is to edit names in TB Forex dictionary.) See enclosed image. In the LOW...
- Mon Jul 25, 2011 12:44 pm
- Forum: Futures Markets
- Topic: London Sugar and London Coffee (Robusta)
- Replies: 11
- Views: 7516
London Sugar and London Coffee (Robusta)
Hi Is anyone trading these markets actively? Is there a satisfactory way to roll these markets for accurate historical back tests and for actual trading? If so, please advise. I've traded both markets for several years, but abandoned them about 5 years ago. I'd like to trade these markets again sinc...
- Thu Jul 14, 2011 9:28 am
- Forum: Data Providers and other non testing software
- Topic: UA Roll Trigger Bug
- Replies: 7
- Views: 6321