Search found 218 matches

by Tim Arnold
Thu Oct 06, 2005 9:04 am
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 30698

Yes, in fact the Trading Blox Portfolio Manager Blox is a dynamic portfolio manager. So every day you can apply rules, filters, and ranking to help determine which instruments to be trading, or swapping in or out. I wrote a system recently that filters by liquidity, and then by strength, and then ke...
by Tim Arnold
Tue Oct 04, 2005 9:54 pm
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 9961

Best bet is to review the Outer Loop document. It's in the manual, and I've attached it here as well. The way TBB processes a trading day is to set the test date equal to today, set the instrument date equal to yesterday, and generate orders. Then it sets the instrument date equal to today to see if...
by Tim Arnold
Tue Oct 04, 2005 9:18 am
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 9961

Hi, The simple way is to replace the broker.ExitAllUnitsOnOpen with broker.EnterShortOnOpen. An Entry order will automatically exit the existing position if there is one. This will cause multiple units to be put on in the case of holidays, so I wrote a smarter version that I have attached. It checks...
by Tim Arnold
Sun Oct 02, 2005 8:48 am
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 9961

Sure thing: 1) Create a new block called "DayOfWeek Entry Exit". Make in an "Entry and Exit" type block. 2) Select the Entry Orders script area and put the following code in: VARIABLES: dayOfWeek TYPE: integer ' Get the day of the week as a number dayOfWeek = toJulian( test.currentdate ) mod 7 ' Go ...
by Tim Arnold
Sat Oct 01, 2005 6:48 pm
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 9961

Agreed that dayOfWeek would be a good property to have.

In the mean time, the following formula will give you the day of the week:

dayOfWeek = toJulian( test.currentDate ) mod 7

Where dayOfWeek = 0 on Sunday, and dayOfWeek = 6 on Saturday.
by Tim Arnold
Thu Jul 14, 2005 10:48 am
Forum: Testing and Simulation
Topic: Requirements before buying backtester software
Replies: 10
Views: 6569

OK, I'll bite :) I like your description of early adopters, bleeding edge types vs. more cautious wait and see types. Corporations are like this as well. Some buy the latest and greatest, while some wait for most of the Fortune 500 to implement before they buy. In my experience, the reason you would...
by Tim Arnold
Tue May 31, 2005 9:43 am
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 30972

The All Liquid futures portfolio is included with Trading Blox Builder. I have enclosed the .set file here. You can put this in your Futures Sets folder if you don't have it.
by Tim Arnold
Sat May 07, 2005 12:30 pm
Forum: Money Management
Topic: How do you handle cash drawings out of your modelling?
Replies: 4
Views: 5380

Hi LeapFrog, I've been thinking about this as well, and in Trading Blox I have setup my Money Manager to do just as you suggest. So rather than using the default system equity, I have my unit size based on available equity minus some $$ per period. So I can simulate a cash withdrawl from the account...
by Tim Arnold
Mon Jan 17, 2005 4:45 pm
Forum: Trend Indicators and Signals
Topic: filtering idea
Replies: 3
Views: 5266

Hi Wonkabar, I have done some research using VeriTrader where I filter trades that are near "historical" levels. The concept being that you might not want to buy something at its all time high, or sell at the all time low. My research so far has indidcated to me that this type of filter does not enh...
by Tim Arnold
Mon Jan 03, 2005 9:56 am
Forum: Brokers
Topic: Stop Order Acceptance
Replies: 17
Views: 14705

I've had orders rejected by the broker. Here is the message I received: "Your order for the 2Yr T-Note to sell @ 105-26 Stop, the note went home yesterday @ 105-23. This is a sell stop above the market - broker rejected. Please cancel and replace." I'm trading a turtle type system, so I generate new...
by Tim Arnold
Wed Nov 03, 2004 2:25 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75485

Hi George -- MAR stands for Minimum Acceptable Return. As for how it's calculated, there are a couple of threads that are useful. http://www.tradingblox.com/forum/viewtopic.php?t=36 Basically the % CAGR divided by the % maximum drawdown over your test period. Nice clean measure of reward vs. pain. H...
by Tim Arnold
Sun Sep 05, 2004 10:41 pm
Forum: Trader Psychology
Topic: To Detrend or not to Detrend? That is my question.
Replies: 2
Views: 5531

I've wondered the same thing myself. I've concluded to not detrend. My current thinking is that the prices the simluation uses for entries and exits given my average trade duration of 2-4 weeks are the actual price variations that I would have traded. If the contract rolls, I would have done that at...
by Tim Arnold
Sat Sep 04, 2004 12:45 pm
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 10716

Hi Jake, Great topic, as the same thing happened to me on Friday. I was long TU, TY, and US (and GC). So I got knocked out of the TU and US, but my TY stop was filled then busted. First for me. Also, my entry long stop in SF got hit and now I'm big in the hole on that one. Overall a 5% equity drawdo...
by Tim Arnold
Fri Sep 03, 2004 8:29 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27955

Hi Forum Mgmnt, This makes alot of sense to me, and I have included instruments in my portfolio that lose money over the test period, but raise my MAR by lowering the max drawdown. I like the concept you raise about "optimizing the non-correlation with each other." I could imagine exporting trade fi...
by Tim Arnold
Fri Aug 06, 2004 10:38 am
Forum: Futures Markets
Topic: Palladium
Replies: 5
Views: 4115

Hi Forum Mgmnt, Can you help me out with understanding volume? According to the CSI UA product I use, Sept Paladium's "volume" is 200-500 contract per day for the day session only. Also on Futuresource.com today's volume looks like 720. Are they talking about contracts or something else -- and what'...
by Tim Arnold
Fri Aug 06, 2004 8:39 am
Forum: Futures Markets
Topic: Palladium
Replies: 5
Views: 4115

That's the thing -- I'm just trading 1 contract -- I can't see why anyone would bother picking off my stops for that -- they must be really bored down there... :)

Of course maybe I'm just feeling persecuted... :wink:

Anyway, I don't care about the fills -- I'm in it for the trend! :lol:

Tim
by Tim Arnold
Thu Aug 05, 2004 1:59 pm
Forum: Futures Markets
Topic: Palladium
Replies: 5
Views: 4115

Palladium

Hi there, I'm finding that my stop orders in Palladium (Sept) keep getting picked off. Invariably my buy orders get executed at the high of the day, and my sell orders at the low. And looking at the 5 minute bars usually shows a spike up/down to my price and then back. Does anyone else find that thi...
by Tim Arnold
Tue Jul 13, 2004 10:22 pm
Forum: Trader Psychology
Topic: Are You Suited to Trend Following
Replies: 42
Views: 54963

Low N, Low O, High C.

I agree with the idea that if one is into trading for stimulation, the odds of success are diminished. My opinion of course. I have certainly seen people like this, and see where the author is coming from.