Search found 4 matches

by 872251950
Fri Jun 13, 2014 3:13 pm
Forum: Testing and Simulation
Topic: Roll Info on order generation
Replies: 1
Views: 2830

Roll Info on order generation

Does anyone meet a problem that the delivery month in the data has rolled but the roll info does not remind rolling the contract?
by 872251950
Thu Jan 23, 2014 5:15 pm
Forum: Testing and Simulation
Topic: Count the instruments if....
Replies: 0
Views: 12099

Count the instruments if....

Hello everyone, Really confusing if there is a function to count instruments that meet certain criteria, maybe something like a countif function in Excel. Or is there a loop I could use to do counting? Let's say count how many contracts have ROC in close price greater than "0" ? Here is my rough tho...
by 872251950
Thu Jan 23, 2014 4:13 pm
Forum: Testing and Simulation
Topic: How to calculate ATR by each contract and count contracts?
Replies: 2
Views: 2912

Thank you for your reply Jake, Here is my logic in coding this and I wonder if my logic is right. variables: InstrumentCount, x type: Integer InstrumentCount=system.totalinstruments ' Set the instrument to deny trades by default instrument.DenyAllTrades ATR_ROC= RateOfChange ( ATR, Forward_Count) fo...
by 872251950
Thu Jan 23, 2014 4:06 pm
Forum: Testing and Simulation
Topic: How to calculate ATR by each contract and count contracts?
Replies: 2
Views: 2912

How to calculate ATR by each contract and count contracts?

Hello everyone, I want to compare each instrument's ATR(20Bars) with its forward 30 bars ATR(20Bars) to see whether ATR(20Bars) is increasing or decreasing and then count those contracts with increasing ATR. I wonder if it is doable in portfolio manager of tradingblox in order to filter trades? Appr...