Search found 18 matches

by dantes
Sun Mar 25, 2012 6:15 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Dear Roger, Sluggo - once again thanks for sharing your thoughts on the forum.

Dantes
by dantes
Thu Mar 22, 2012 6:26 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Hi Roger, thanks for the quick reply. The calculation was actually clear, but I still don't see why one needs to have Order_Risk = 2.0 * MyATR * Instrument.BigPointValue as opposed to just Order_Risk = MyATR * Instrument.BigPointValue ? Why would you multiply the ATR value times 2? Thanks again, Dan...
by dantes
Thu Mar 22, 2012 4:30 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Dear Roger, Sluggo, I'm probably just being dense here... but I was taught that if you don't ask, you never learn... I don't quite understand what the " 2.0 * " is for in the formula below from the Unit Size script in the RandomExit_blox_MoneyManager Blox? Order.SetQuantity ( (RiskPct * Test.TotalEq...
by dantes
Tue Nov 29, 2011 3:25 pm
Forum: Testing and Simulation
Topic: Systematic options trading
Replies: 5
Views: 3099

Mojojojo, drm7 - thanks for your input. I'm starting from the assumption that trend following returns resemble those of lookback straddles: http://edge-fund.com/~msewell123/FuHs01.pdf Specifically, trend followers tend to perform as if they are long "volatility" and "market event risk," in the sense...
by dantes
Sun Nov 27, 2011 1:51 pm
Forum: Testing and Simulation
Topic: Systematic options trading
Replies: 5
Views: 3099

Thank you Sluggo - let's see if my team of programmers (i.e. me) is up to the task... :)

Dantes
by dantes
Sun Nov 27, 2011 8:53 am
Forum: Testing and Simulation
Topic: Systematic options trading
Replies: 5
Views: 3099

Systematic options trading

Dear TB community, I am trying to develop a systematic strategy on options and would love to hear opinions on its feasibility. Let's assume the strategy goes like this: 1. At the beginning of each month, select a strike +/- X from current spot level 2. Within this universe, get call/put prices for e...
by dantes
Sun Nov 20, 2011 10:04 am
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Thank you Roger.

For some reason I had missed your kind pointer - it now works perfectly!

Dantes
by dantes
Sun Oct 30, 2011 2:44 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Dear Tim,

Any chance you could point me in the right direction for this?

Thank you,
Dantes
by dantes
Sun Oct 23, 2011 10:56 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70297

Anthony - thanks for the feedback and again for posting the model, which led me to questioning some important assumptions. Looking also at this other post on MAR ratios for reporting CTA's, one also gets a good picture of what is actually achievable in the real world vs backtesting: http://www.tradi...
by dantes
Sat Oct 22, 2011 6:45 pm
Forum: Testing and Simulation
Topic: Suggestions on the backtesting process
Replies: 4
Views: 1972

I believe this is the post Sluggo's referring to?

viewtopic.php?t=6281&highlight=
by dantes
Sat Oct 22, 2011 5:53 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70297

Hi Anthony, Thanks for your reply. I'm using the settings you suggested on a portfolio of 116 futures with the following sectors: Bonds 16 Energy 8 Currencies 18 - both USD and non USD crosses Grains 10 Stock Indices 25 Interest Rates 9 Meats 3 Metals 13 Softs 14 I get however results that are quite...
by dantes
Sat Oct 22, 2011 1:34 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 23393

Dear Sluggo, Tim, I have been trying to use these blocks without success on TBB v3.8 x64. Is it necessary to change the code to make it work with this newer version of TBB? Using the blox as posted, variable "UnitSize" in the RandomExit_blox_MoneyManager is undefined. However even after defining it ...
by dantes
Sat Oct 22, 2011 1:01 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70297

Dear Anthony - Thanks for such an interesting post. Would you mind sharing some more detail around how many sectors you're using for your backtest, and how you defined them? I have been trying to replicate your results and I'm under the impression sector rules/definitions play quite a big role. Best...
by dantes
Sat Jun 25, 2011 10:20 am
Forum: Testing Software
Topic: TBB backtesting and intraday FX trading
Replies: 1
Views: 2027

TBB backtesting and intraday FX trading

Hello everybody, I'm looking to implement an intraday Forex strategy, and searching for the best way to combine TBB's backtesting capabilities with intraday autotrading. I work with hourly bars and want to completely automate execution. Attached is a flowchart of what I have in mind. The way I see i...
by dantes
Thu Jun 23, 2011 12:07 pm
Forum: Testing Software
Topic: "Raw" results data export from TBB / automated dai
Replies: 7
Views: 3551

Thanks Sluggo - very helpful.

Another thing I like about TB is the very knowledgeable and responsive user base... :D
by dantes
Wed Jun 22, 2011 5:14 pm
Forum: Testing Software
Topic: "Raw" results data export from TBB / automated dai
Replies: 7
Views: 3551

Thank you Sluggo. I'll try to be clearer with an example. I would like to store the simulation results data for in a format that allows further numerical analysis in Excel/R/MATLAB/you-name-it. Let's say for example that I build and backtest ten variations of the same system, stepping parameter "x" ...
by dantes
Wed Jun 22, 2011 1:14 pm
Forum: Testing Software
Topic: "Raw" results data export from TBB / automated dai
Replies: 7
Views: 3551

"Raw" results data export from TBB / automated dai

Hello everybody - I'm enjoying the TBB free trial and have a couple questions I could not find answers to: 1. How can I export the performance results in a .txt file? 2. How can I export .txt data of what is visualized as chart-only in the performance results? (i.e. Monte Carlo CAGR %, Monte Carlo E...
by dantes
Mon May 09, 2011 4:51 am
Forum: Data Providers and other non testing software
Topic: Automated stock data download and order generation
Replies: 1
Views: 1739

Automated stock data download and order generation

Hello - I am new to TB and would greatly appreciate a little help on the questions below: 1. How does one add new data from external source to TBB? You just create a new file with the required formatting in the Stocks dictionary folder? 2.How do you automate end-of-day stock data upload into TBB fro...