Search found 59 matches

by sunyata
Sun Jun 14, 2009 8:47 am
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

This is a fine thread. I am very happy to be apart of it. Thanks kingami and Roger for your insights. They certainly help me clarify my decision process. I would like to minimize the level of programming for basic features and it seems that that's what Trading Blox offers. According to Roger, it als...
by sunyata
Sat Jun 13, 2009 6:56 pm
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

Amibroker is "Tomasz's software?" Also, the list of Amibroker's features is extensive and seems to match up with most of TB's, but yet it is 1/10 the price. What am I missing?
by sunyata
Sat Jun 13, 2009 3:51 pm
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

Thanks. I looked into ta-lib briefly and it looks like there's support for C#/.Net, which is the language I've been using. Thanks for the tip. I'll be checking it out. Also, someone in another thread mentioned "R" too. I didn't realize there were so many open source solutions available. That's fanta...
by sunyata
Sat Jun 13, 2009 12:31 pm
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

What is listed here is from my experience, and it has shaped a belief you ask yourself the question of whether you want to be a software developer who is playing a low volume competitive catch-up game, or be a systems trader who is discovering and applying winning solutions, of which you have yet t...
by sunyata
Sat Jun 13, 2009 10:23 am
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

Asamat and Sluggo, thank you so much for your responses! I have found answers to a few of my questions within other conversations. For example, Trading Blox can reference the equity curve in generating new Blox. Also, a thread on Designing Your Dream Software from 2004 lists many wish-list features,...
by sunyata
Fri Jun 12, 2009 9:13 pm
Forum: Testing Software
Topic: Benefits of custom software vs. Trading Blox
Replies: 18
Views: 8387

Benefits of custom software vs. Trading Blox

Hi everyone, I have been working very diligently on developing a custom simulation engine in C# language and it is taking a very long time. I estimate that to program software with as many features as Blox Builder--and one that I would feel is accurate--might take me another 8 months to a year. Thus...
by sunyata
Thu Jun 11, 2009 10:58 am
Forum: Futures Markets
Topic: Maintenance margin in foreign markets?
Replies: 4
Views: 3101

7432 wrote:here is IB's list of initial and maintenance margin and the currency required.
http://www.interactivebrokers.com/en/p. ... entity=llc
wow, this is perfect. Thanks!
by sunyata
Wed Jun 10, 2009 8:45 am
Forum: Futures Markets
Topic: Maintenance margin in foreign markets?
Replies: 4
Views: 3101

Maintenance margin in foreign markets?

I have found information regarding initial margin for foreign-market futures however none for maintenance margin. Is margin handled similarly outside the U.S.? Also, I have also seen maintenance margin listed to be the same amount as the initial margin for both U.S. and non-U.S.-based contracts. Not...
by sunyata
Wed Jun 10, 2009 8:04 am
Forum: Futures Markets
Topic: For those who trade foreign futures...
Replies: 12
Views: 6424

No, TB does not do this. TB does however take into account both the price change of the non base currency instrument and the change in the relevant FX rate when calculating the P&L on a trade. And I suppose it accesses the exchange rate for the particular day of the P&L calculation? Thanks for your...
by sunyata
Tue Jun 09, 2009 12:24 pm
Forum: Futures Markets
Topic: For those who trade foreign futures...
Replies: 12
Views: 6424

Re: For those who trade foreign futures...

If a US investor wants to trade a non USD investment not quoted or traded in USD, he might consider creating a USD price series from the local price series and see how this would affect his signals and his P&L. AFJ, Do you happen to know if Trading Blox performs a similar conversion on the data pri...
by sunyata
Tue Jun 09, 2009 11:06 am
Forum: Testing and Simulation
Topic: Point-adjusted vs. Percentage-adjusted Continuous Data
Replies: 2
Views: 1902

oh how do i love her! <3 thnx.
by sunyata
Tue Jun 09, 2009 10:21 am
Forum: Testing and Simulation
Topic: Point-adjusted vs. Percentage-adjusted Continuous Data
Replies: 2
Views: 1902

Point-adjusted vs. Percentage-adjusted Continuous Data

I just purchased data from Pinnacle who provides software to form both point-adjusted (i.e. backward-adjusted) as well as percentage-adjusted continuous contracts. I want to confirm that *point-adjustment does not retain accurate day-to-day percentage changes (nor volatility in terms of percentage) ...
by sunyata
Mon Jun 08, 2009 8:42 pm
Forum: Data Providers and other non testing software
Topic: NORGATE data
Replies: 21
Views: 11506

Thnx. 'preciate it.

:D :D
by sunyata
Mon Jun 08, 2009 8:39 pm
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7137

Calculating RAR% using the exponential regression equation

Now you need to figure out how to incorporate the fact that there are an average of 365.25 days per year (over a thirty year backtest which will include some leap-years), in order to calculate "RAR" - the Robust Annual Return. First, you start with the coefficient of the exponent in the derived exp...
by sunyata
Mon Jun 08, 2009 3:38 pm
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7137

Good, you are one-third of the way to enlightenment; there are two more conceptual leaps to be made You need to ask and answer the question "What function plots as a straight line on semilog axes?". Once you know this answer, you will realize - Eureka! - this is one of the functions that Excel will...
by sunyata
Mon Jun 08, 2009 10:00 am
Forum: Data Providers and other non testing software
Topic: NORGATE data
Replies: 21
Views: 11506

Dymas, glad to hear that you have solved the issue by yourself. Their data service is very straightforward indeed and I haven't encountered any serious problem so far. Hi Trendscatcher, I am wondering if you still are satisfied with Norgate's product? I am looking into buying their historical data ...
by sunyata
Mon Jun 08, 2009 8:57 am
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7137

Hi, I've attached an example, the one actually that has caused me trouble. The details are: System: EXPONENTIAL MA CROSSOVER Side: BOTH Markets: GOLD, S&P 500 Test Dates: 1975 - 2005 Heat: 10% portfolio risked each trade Starting Equity: $1M RAR% = .131 (Calculated using starting equity & regressed ...
by sunyata
Sun Jun 07, 2009 9:35 pm
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7137

I have often contemplated the void and was doing so only an hour ago when I drifted off in the middle of the Magnificat. I find the concept of an infinitely fertile emptiness much easier to swallow than that of an anthropomorphic creator. Much as I enjoy my native Anglo Catholicism and the rich lit...
by sunyata
Sun Jun 07, 2009 1:56 pm
Forum: Testing and Simulation
Topic: RAR%
Replies: 17
Views: 7137

Hi everyone, As a compromise, in my calculation of RAR% I use the portfolio's starting equity as the start date value and the regressed end date equity value as the end date value. I did this because I found that the regressed start date value can be negative if the equity curve's slope is steep eno...