Search found 12 matches

by drip007
Wed Jul 04, 2007 6:47 pm
Forum: Money Management
Topic: Position Sizing & DMAC
Replies: 4
Views: 5654

Yes but then this would have neutral zones where I am not in the market. I have read about dmac systems such as the one mentioned in c.f.'s book (great read by the way, couldn't put it down) where the system is always in the market. I don't get how positions are sized where a system can be in the ma...
by drip007
Wed Jul 04, 2007 9:59 am
Forum: Money Management
Topic: Position Sizing & DMAC
Replies: 4
Views: 5654

Position Sizing & DMAC

How does one size positions properly when using a Duan Moving Average Crossover system? With no stop loss, how can you proplerly size positions to limit risk? Anyone?
by drip007
Sat May 05, 2007 2:58 pm
Forum: Testing and Simulation
Topic: Options
Replies: 1
Views: 2232

Options

Does anyone know if tblox is capable of performing simulations using historical option series data? I would think that if they were added to the futures dictionary, or if a new dictionary were added, this could be done.
by drip007
Tue Apr 03, 2007 5:36 pm
Forum: Trend Indicators and Signals
Topic: Filtering trade entry signals
Replies: 11
Views: 17857

Adding ADX

Can anyone show me how to add ADX to my system as a filter in Tblox? I simply want to filter out choppy markets and require that ADX be above 20 or 30 before entering a trade.

Thanks in advance.

D
by drip007
Wed Feb 28, 2007 1:37 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39088

Zentrader, How can I use your services for stress testing? My first choice is to have a way of generating synthetic data on the fly that I can import into tblox and use as a possible future out of sample data set. I am not technical enough nor am i inclined to bother with all of the details in setti...
by drip007
Mon Feb 26, 2007 4:50 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39088

Are these hypotheticals using a diversified basket of instruments? If you are running this on a diversified portfolio and havent optimized your parameter settings, I would go with the first one. But if this is on one commoditity or one sector (eg grains) then I would make sure the entries and exits ...
by drip007
Mon Feb 26, 2007 4:48 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 39088

simulating data

Zen trader...can you offer advice about how to take actual historical data and scramble it to create an unlimited supply of synthetic data? Would like to use this to import into tradingblox and perform stress tests this way.
by drip007
Thu Feb 22, 2007 6:39 pm
Forum: Testing and Simulation
Topic: Essay on Computed Contracts
Replies: 5
Views: 6289

Tim, I am comfortable with the exact roll setting used by Tblox because these are what we tested our system on. However, I will not be using Tblox to generate live orders. I will be exporting the data from CSI and bringing into another program to run analysis on it, so I will need to know which sett...
by drip007
Thu Feb 22, 2007 1:39 pm
Forum: Testing and Simulation
Topic: Essay on Computed Contracts
Replies: 5
Views: 6289

whew

I am glad you don't use Perpetual. I was worried for a minute that you had been. But yeah these arent a real representation of the history and would be very tough to trade in real time using this continuous contract since the current price is a blend of two forward contracts. Anyway, the one you des...
by drip007
Wed Feb 21, 2007 10:26 pm
Forum: Testing and Simulation
Topic: Essay on Computed Contracts
Replies: 5
Views: 6289

Guys, which form of continuous contract from CSI does TBlox use in the data that you provide with the software? I have been running tests using the data that came with the program. Is it Nth Nearest, Perpetual? If Perpetual, then the current price is not a real price but a blend of two forward (in t...
by drip007
Wed Feb 21, 2007 2:41 pm
Forum: Testing and Simulation
Topic: Minis
Replies: 2
Views: 2436

Minis

Are there any major futures contracts traded on North American exchanges that do NOT have minis? I will be trading a basket of liquid contracts and would much rather trade minis but am not sure where I can get a complete list of which do and which do not offer minis as an option. Thanks in advance.
by drip007
Tue Feb 20, 2007 5:42 pm
Forum: Testing and Simulation
Topic: Number of shares traded
Replies: 0
Views: 2478

Number of shares traded

Is there a way to view the total number of shares traded from the performance results? I trade a strategy on a very large universe of stocks and am trying to get an idea of how many shares I will realistically trade.