Search found 218 matches

by Tim Arnold
Wed Feb 17, 2016 8:04 am
Forum: Testing and Simulation
Topic: FOREX Historical Carry Rates
Replies: 3
Views: 1631

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: 963

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: 8586

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: 8586

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: 1066

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: 952

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: 940

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: 5569

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: 7756

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: 7756

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: 2052

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: 2241

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: 13308

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 ...
by Tim Arnold
Tue Jan 06, 2015 2:11 pm
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3071

Re: Splits - Deriving from CSI

We have the actual split data as part of the dividend files from CSI, so we could theoretically use that instead of the "stock split ratio close/uclose" that we use now. However we have not found a reason to as of yet. The close/uclose when adjusted for floating point variations seems to be spot on ...
by Tim Arnold
Tue Jul 01, 2014 8:30 am
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 3568

I will see if we can provide a friendly error message to alert the user to the presence of naughty monkeys.
by Tim Arnold
Mon Jun 30, 2014 2:42 pm
Forum: Stocks
Topic: CSI Dividend Info
Replies: 4
Views: 3568

Check the UA/Archives/S folder and open the a0001000.txt file and see if you see something like this: Version 101 1052,20140528,Div,280 1049,20140528,Div,750 1168,20140516,Div,150 1030,20140516,Div,250 1157,20140514,Div,1300 1048,20140514,Div,300 1192,20140507,Div,620 1121,20140507,Div,471 1100,2014...
by Tim Arnold
Thu Aug 15, 2013 8:25 am
Forum: Trend Indicators and Signals
Topic: How to determine Rate of Change from MACD?
Replies: 14
Views: 9744

I tried to revoke my post but was not able to find a way to do that.
You probably can't delete the post, but you should be able to edit.
by Tim Arnold
Thu Aug 15, 2013 7:46 am
Forum: Trend Indicators and Signals
Topic: How to determine Rate of Change from MACD?
Replies: 14
Views: 9744

It enables you to use the same measure to compare multiple markets.
Using raw prices or raw price change like that does not allow for comparing across multiple markets, and is not volatility adjusted. We usually use the ATR as part of the formula for this purpose.
by Tim Arnold
Thu May 30, 2013 7:43 am
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18622

Trading Blox has the ability to use fundamental data just like any other data, for signal generation, money and risk management, and any other computation.

The data can be together with the price data as additional data fields, or it can be loaded via separate files.