Search found 224 matches

by Tim Arnold
Fri Mar 11, 2016 3:50 pm
Forum: Testing and Simulation
Topic: Walk Forward Analysis
Replies: 1
Views: 1956

Re: Walk Forward Analysis

1. I'm sure there are different thoughts on that. You can test a regular re optimization strategy with the walk forward feature. 2. You could test both and see how the historical results look. Lots of variables and opinions involved in the correlation between historical results and future results. M...
by Tim Arnold
Tue Mar 01, 2016 10:52 pm
Forum: Testing and Simulation
Topic: Interactive Broker Symbol Error
Replies: 1
Views: 1644

Re: Interactive Broker Symbol Error

Set the correct IB exchange and symbols in the Futures Dictionary.
by Tim Arnold
Wed Feb 24, 2016 8:05 am
Forum: Testing and Simulation
Topic: Harmony Search Algorithm
Replies: 10
Views: 9879

Re: Harmony Search Algorithm

I have not tried this. I don't use this approach and have not found genetic or brute force optimization strategies very useful.
by Tim Arnold
Wed Feb 24, 2016 8:04 am
Forum: Testing and Simulation
Topic: Optimization - Independently testing parameters
Replies: 1
Views: 1837

Re: Optimization - Independently testing parameters

The first rule of optimization is, don't. But seriously, assuming the goal is a robust system, with robust defined as high probability of future performance similar to past performance, be very careful to 'keep it simple' and reduce the number of parameters. Fully understand each and why they are in...
by Tim Arnold
Wed Feb 17, 2016 5:01 pm
Forum: Testing and Simulation
Topic: FOREX Historical Carry Rates
Replies: 3
Views: 2311

Re: FOREX Historical Carry Rates

Thanks, that's great.
by Tim Arnold
Wed Feb 17, 2016 8:04 am
Forum: Testing and Simulation
Topic: FOREX Historical Carry Rates
Replies: 3
Views: 2311

Re: FOREX Historical Carry Rates

You can get the data from forex brokers like: http://www.oanda.com/forex-trading/analysis/historical-rates However each broker is likely different, so you should get the bid/ask and carry rates from the broker you are using. Trading Blox has a real time direct and automated connection with FXCM and ...
by Tim Arnold
Thu Feb 04, 2016 9:33 am
Forum: Testing and Simulation
Topic: Experience of stock dividends and splits in simulation
Replies: 1
Views: 1492

Re: Experience of stock dividends and splits in simulation

The affect on your system results will depend on your system, long term, short term, edge, etc. But it is important to include dividends and delisted stocks if you want an accurate back test. I am not a fan of trading only stocks that were a member of the S&P500 at some historical point -- I don't' ...
by Tim Arnold
Fri Jan 22, 2016 1:35 pm
Forum: Forex
Topic: Trading Blox real time on FXCM and IB
Replies: 5
Views: 9310

Re: Trading Blox and FXCM

The new beta version is setup to interface with FXCM.

Use a new separate install folder of 4.4.7 and upgrade to the beta. Select the FXCM Suite and run a test.
by Tim Arnold
Thu Jan 21, 2016 2:47 pm
Forum: Forex
Topic: Trading Blox real time on FXCM and IB
Replies: 5
Views: 9310

Trading Blox real time on FXCM and IB

I am working on some real time integration options between Trading Blox and the forex broker FXCM. This would make available dynamic real time intraday data in Trading Blox for live charting, and offer the possibility of automated execution of orders. If there are any Forex traders, or FXCM customer...
by Tim Arnold
Wed Jan 13, 2016 8:07 am
Forum: Testing and Simulation
Topic: Backtest Metric
Replies: 1
Views: 1601

Re: Backtest Metric

It's a good question and worth discussing.
To find existing discussions, search the forum for the key word "goodness", as we often use Goodness Measure to define this metric.
by Tim Arnold
Wed Jan 13, 2016 8:04 am
Forum: Testing and Simulation
Topic: Tradingblox question!
Replies: 1
Views: 1452

Re: Tradingblox question!

Yes intraday data can be charted with Quick Charts, and also charted on the trade chart. If you include the symbol in a portfolio you can use the Chart System to plot on the trade chart. The Chart System is just a blank system that does not trade -- you can create a new one as well.
by Tim Arnold
Wed Jan 13, 2016 8:02 am
Forum: Testing and Simulation
Topic: About Intraday data
Replies: 1
Views: 1400

Re: About Intraday data

You can put any intraday data into a CSV text file in the format D,T,O,H,L,C,V. Be sure there is a header line so the timeframe is clear. Date is YYYYMMDD and Time is HHMM. DATE,TIME,OPEN,HIGH,LOW,CLOSE,VOLUME 20040701,0810,28.690,28.710,28.560,28.700,20368 20040701,0820,28.690,28.700,28.650,28.650,...
by Tim Arnold
Sat Dec 19, 2015 8:53 am
Forum: Testing and Simulation
Topic: In Sample vs Out of Sample Run
Replies: 7
Views: 6527

Re: In Sample vs Out of Sample Run

Thanks for sharing -- keep us posted on your progress.
by Tim Arnold
Sat Nov 21, 2015 9:48 am
Forum: Testing Software
Topic: Software performance questions
Replies: 3
Views: 8369

Re: Software performance questions

I guess "all line up" was a bad choice of words. How about "if all conditions are met":

Code: Select all

IF instrument.time > 1000 AND instrument.time < 1100 AND instrumentDaily.rsi < 10 AND instrument15.rsi < 5 THEN
 broker.EnterLongOnOpen
ENDIF
by Tim Arnold
Fri Nov 20, 2015 4:52 pm
Forum: Testing Software
Topic: Software performance questions
Replies: 3
Views: 8369

Re: Software performance questions

1. Yes that is fine. I run 30,000 stocks without issue. 6000 stocks of daily data over 2 years is a few minute test. Plus a few minutes to load the data first run -- it is cached in memory after that. If you want to use 1 minute data over 2 years for 6000 stocks then you might need more memory. I wo...
by Tim Arnold
Fri Jun 05, 2015 12:21 pm
Forum: Testing and Simulation
Topic: Exit All Units on Close
Replies: 4
Views: 2839

Re: Exit All Units on Close

You can always compute the close at which the moving average will equal a set value x and place the stop close order at that price. Or you could use the After Instrument Open script to place your order (for back testing only). In this script you have access to the current OHLC. n = days in moving av...
by Tim Arnold
Tue Apr 28, 2015 9:20 am
Forum: Testing and Simulation
Topic: Percent Profit Factor
Replies: 4
Views: 2908

Re: Percent Profit Factor

I understand using past data no guide to future profit contribution Exactly. Test a basket of 50 markets from 1990-2000 and pick the top 10 based on some criteria like Percent Profit Factor. Then test these 10 markets from 2001-2010. Compare this to having traded all 50 from 2001-2010 or a random s...
by Tim Arnold
Tue Mar 31, 2015 12:56 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 14
Views: 16068

Re: Dual Momentum Gary Antonacci

I am wondering why one would want to dissuade people from asking for help in this forum, isn't it part of its function ? No one is obliged to respond. Yes I agree with you, I don't see the advantage, purpose, or greater benefit of the types of responses you have seen in this posting. The forum was ...