Search found 109 matches

by Jake Carriker
Fri Mar 06, 2015 2:23 pm
Forum: Testing and Simulation
Topic: Position sizing in backtests using volatility
Replies: 3
Views: 1989

Re: Position sizing in backtests using volatility

We will update the product page. The Turtle edition ships with the Turtle System, the Triple Moving Average system, and the Donchian system. These systems are fully functional like the ones in the higher editions, and yes, you can upgrade editions by paying the difference in license fees.
by Jake Carriker
Thu Mar 05, 2015 10:38 am
Forum: Testing and Simulation
Topic: Position sizing in backtests using volatility
Replies: 3
Views: 1989

Re: Position sizing in backtests using volatility

That is correct. You can use all information available as of the close of the latest bar (1 minute, 5 minute, daily, or any time frame) to make decisions for the next bar. This includes volatility measures and trade sizing.
by Jake Carriker
Thu Jul 24, 2014 8:05 am
Forum: Testing and Simulation
Topic: Using Delisted Data
Replies: 11
Views: 6360

Yes, the active status is read from the stock dictionary. It can be accessed from scripting (instrument.activeStatus), but there is no function to set or change active status in scripting.
by Jake Carriker
Fri Jul 04, 2014 12:07 pm
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6572

Ah, looks like a forum cleanup a while back changed that forum's permissions. I just changed them back to allow more general access. Sorry about the confusion.
by Jake Carriker
Thu Jul 03, 2014 8:39 am
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6572

You have to be registered and logged in to access certain forums. That is one of them.
by Jake Carriker
Thu Jun 19, 2014 9:27 am
Forum: Stocks
Topic: Trading Blox Equities Portfolio
Replies: 6
Views: 3334

Here is what I did: 1. Pretend I am a stock trader sitting at my desk at a date prior to the start of my system's development period. 2. Develop a set of criteria for volume and price that indicates a stock makes at least a "blip on my radar screen". That is, I am not interested in penny stocks or t...
by Jake Carriker
Thu Apr 24, 2014 11:45 am
Forum: Testing and Simulation
Topic: Multiplier in Stock Preferences
Replies: 3
Views: 3411

Are you referring to the volume multiplier? The help guide says this about it: Volume Multiplier Be sure to set the Volume Multiplier in preferences. So if your stock data reports a volume of 1,000, we can translate that into 100,000. This is the way CSI reports the data. If your data provider uses ...
by Jake Carriker
Thu Apr 24, 2014 9:01 am
Forum: Testing and Simulation
Topic: Multiplier in Stock Preferences
Replies: 3
Views: 3411

I am not sure what the multiplier you are referring to in UA is. The round lot field in the stock dictionary dictates the size of a minimum quantity to trade. You would set it to 100 if you only want to trade 100 or 200 shares at a time, and not 1 or 50 shares at a time. It is typically set to 1. ET...
by Jake Carriker
Mon Apr 21, 2014 8:40 am
Forum: Data Providers and other non testing software
Topic: Intermarket Data
Replies: 1
Views: 1643

The Trading Blox User Guide outlines the acceptable data formats that Trading Blox will read and process. As long as the data is in the correct format, Blox doesn't care what it represents. It could be spread data (intermarket data), advance/decline info, or whatever.
by Jake Carriker
Wed Apr 02, 2014 12:20 pm
Forum: Testing and Simulation
Topic: Using Delisted Data
Replies: 11
Views: 6360

That is correct, since your aim is to recreate the historical membership of an index, you have to know the members of the index for each date in your test and communicate that to TB. One way to do this is to "hard code" a line (sometimes more than one) for each stock setting the dates it is allowed ...
by Jake Carriker
Wed Apr 02, 2014 11:52 am
Forum: Testing and Simulation
Topic: Using Delisted Data
Replies: 11
Views: 6360

In order to avoid survivorship bias, you shouldn't need a special script. You will need a survivorship bias free database with the issues that no longer trade marked as inactive in the stock dictionary. The current release of Trading Blox exits stocks marked as inactive in historical testing on the ...
by Jake Carriker
Mon Mar 31, 2014 8:49 am
Forum: Money Management
Topic: When should I rebalance my portifolio?
Replies: 8
Views: 4279

This is the type of question Sluggo suggested might be answered best by historical simulation. You could find that there is an optimal rebalance frequency that is at an intersection of the benefit gained by maintaining the desired allocation and the cost of trading to that allocation. The existence ...
by Jake Carriker
Thu Mar 20, 2014 9:21 pm
Forum: Trader Psychology
Topic: Seykota new book "Govopoly"
Replies: 9
Views: 15642

I have a copy signed by the author. Maybe I could start a bidding war on Amazon or Ebay ;) Don't know what I would do if it sold. Probably have to see Ed's website about a replacement. I wonder if he would still sign that one for free? If so, I have a new trading system...
by Jake Carriker
Wed Mar 19, 2014 8:17 am
Forum: Data Providers and other non testing software
Topic: CSI stock data - 10,000 max & unadjusted close
Replies: 3
Views: 2883

anybody know if CSI's stock files contain the unadjusted close? Yes, they do. The 10,000 limit pertains to maximum number of markets that can be maintained in UA portfolios and written out to data files. You could have a different 10,000 stocks on Thursday than you had on Wednesday. I think the CSI...
by Jake Carriker
Wed Mar 05, 2014 8:29 am
Forum: Stocks
Topic: Filter stock trades based on the market direction
Replies: 5
Views: 3127

You could check the correlation between your long only and short only equity curves. If the correlation between two return streams is low, the benefit of diversification is high. That might explain why your testing shows it best to stay invested in both.
by Jake Carriker
Fri Feb 28, 2014 8:48 am
Forum: Data Providers and other non testing software
Topic: Tradingblox test data rollover settings
Replies: 1
Views: 1772

Yes, they are the same. The intention is for the user to use whatever roll rules they like with their own non-sample data.
by Jake Carriker
Sun Feb 23, 2014 2:25 pm
Forum: Data Providers and other non testing software
Topic: Pinnacle recommended roll date for --> Natural Gas (NG)
Replies: 2
Views: 2357

If it is after January 18 but not yet February 18, the current delivery is H (March). On February 18 the current delivery rolls/changes from H to J (April), which is the current delivery until March 18, when it rolls again to K, and so on.
by Jake Carriker
Fri Feb 21, 2014 12:14 am
Forum: Testing and Simulation
Topic: Triple Moving Average Experience
Replies: 36
Views: 22213

In general you can't assume that one program's version of a given indicator will necessarily match another program's. For instance, there are two different ATR calculations built into Trading Blox as basic indicators. One uses a simple moving average and one an exponential. The built in Triple Movin...
by Jake Carriker
Tue Feb 11, 2014 8:57 am
Forum: Testing and Simulation
Topic: Using Delisted Data
Replies: 11
Views: 6360

There is nothing built-in to TB that handles these items. It is done in scripting.
by Jake Carriker
Tue Feb 11, 2014 8:50 am
Forum: Testing and Simulation
Topic: Using Delisted Data
Replies: 11
Views: 6360

Yes, for stocks delisted data is necessary in order to avoid survivorship bias. In historical testing you can look ahead to see when the last bar of trading is and exit on or ahead of that. This is postdictive, but tolerable given that it is rare that a stock stops trading unannounced. In live tradi...