Search found 8 matches

by SysTrader
Wed Dec 15, 2004 5:58 am
Forum: Custom C++ or Java Platforms
Topic: Porting native C++ to .NET
Replies: 1
Views: 4695

Porting native C++ to .NET

Has anyone experience in porting existing c++ code to the .NET framework using managed extensions for wrapping unmanaged classes? Some feedback is higly welcome! *g*
by SysTrader
Wed Sep 29, 2004 4:52 am
Forum: Data Providers and other non testing software
Topic: John Hill and backadjusting
Replies: 7
Views: 5737

Individual Contracts

I am also using individual contracts (even tick by tick) for backtesting trading systems. Cleaning the data and removing "outliers" is really a time consuming and burdensome work. Some exchanges (like EUREX) have excellent tickdata. Using tickdata gives you an advantage in designing and testing shor...
by SysTrader
Wed Sep 15, 2004 7:04 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27875

Markets & Trends

@ AFG Garner Where can I find the TR List? @ garryboor Which system did you use in VeriTrader? Have you also tested your parameters for robustness? In Trend following we basically dont know wich market(s) will perform well in the coming year. Of course your backtesting will tell you that the interes...
by SysTrader
Wed Apr 21, 2004 12:17 pm
Forum: Custom C++ or Java Platforms
Topic: Memory, Floating Point Representation, and Tradeoffs
Replies: 7
Views: 8664

Date/Time

I am using an Int64 as Type for Date/Time. This way I can express any date/time (in msec resolution for tickdata) in a single value and can also use these number for calculations. (add, subtract,...) The advantage over a Double (64Bit Floating Point) is eliminating rounding errors. You can also easi...
by SysTrader
Wed Apr 21, 2004 4:36 am
Forum: Custom C++ or Java Platforms
Topic: Memory, Floating Point Representation, and Tradeoffs
Replies: 7
Views: 8664

Memory tradeoff

I agree with c.f. using Float (32Bit Decimal) for price data is a good idea and saves you a lot of memory. But using Float for calculations/quantitative algorithms is problematic, because of Rounding errors and far less precision. Using Double (64Bit Decimal) you can also check for floating point ex...
by SysTrader
Mon Apr 19, 2004 6:32 am
Forum: Testing Software
Topic: Imagining the Dream Testing Software?
Replies: 18
Views: 16484

My personal dream testing system: Is capable of backtesting and realtime trading (forex, futures, equities) Can collect/store/process tick by tick and daily data Filters for cleaning tick by tick data (realtime) Multiple timeframes per instrument based on tick or daily data Synthetic timeseries for ...
by SysTrader
Mon Nov 24, 2003 4:59 pm
Forum: Testing and Simulation
Topic: "back-testing" vs "trading systems"
Replies: 2
Views: 3576

Trading System / Backtesting

A great Software for Trading System development has to be able to do both. This ensures you are really trading what you have backtested. But is there really a commercial software which can do this? (capable of using a portfolio of systems/markets and Position/Money-Management)
by SysTrader
Mon Nov 24, 2003 4:47 pm
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14639

Synthetic Futures Contract

I have built a synthetic futures contract, which is based on the tick by tick return (yield) of the real individual contracts. On Rollover (known by Date/Time) i use the return between the previous tick and the current tick of the next contract. (so the gap does not effect the synthetic) Yield = Cur...