Search found 230 matches

by Tim Arnold
Wed Oct 26, 2005 8:07 am
Forum: Testing and Simulation
Topic: forex data files
Replies: 6
Views: 6131

You mean the files have a .csv extension? You can either change the file name in the Forex Dictionary to match, or you can set UA to use a .txt extention.

Check "ASCII File Names" and check the "Force Extension" .txt checkbox.
by Tim Arnold
Tue Oct 25, 2005 11:01 am
Forum: Testing and Simulation
Topic: forex data files
Replies: 6
Views: 6131

The tradingblox.adm file under our support faq webpage will setup two portfolios. One for futures and one for forex. These will correspond to the futures and forex sample data we provide with Trading Blox. Just as you set the folder for Futures data files to UA/Files/Futures, you will need to set yo...
by Tim Arnold
Fri Oct 21, 2005 8:41 am
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39187

Yes, thanks for the reminder. Got sidetracked on other things. I have a couple of good samples I can post today.
by Tim Arnold
Wed Oct 19, 2005 2:00 pm
Forum: Testing and Simulation
Topic: MetaStock Format
Replies: 7
Views: 6569

I agree. People should feel free to ask questions.

No such thing as a bad question.
by Tim Arnold
Wed Oct 19, 2005 7:30 am
Forum: Testing and Simulation
Topic: MetaStock Format
Replies: 7
Views: 6569

Hi Barli, I can understand why you are confused if you have not worked with backadjusted futures contracts before. It's ok -- we all go through this in the beginning. The data you are looking at is our Trading Blox sample data, which include the new 'unadjusted close' field available from CSI. The d...
by Tim Arnold
Sat Oct 15, 2005 5:40 pm
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 12916

Not clear from the picture how many trades there are. But it looks like you are getting 3% interest per year. Try changing the Earned Interest Rate Global Parameter to zero and see what you get.
by Tim Arnold
Sat Oct 15, 2005 1:25 pm
Forum: Testing and Simulation
Topic: Matching Continuous Contract Methods w/ System Requirements
Replies: 6
Views: 6160

Yes, 2.0.7 will use the Month (N) in a couple of ways: The most useful is that Order Generation outputs the month traded now, based on the data you are using. So you know to buy November Soybeans at 410, instead of guessing whether your data has rolled. You can also indicate the month of your actual...
by Tim Arnold
Fri Oct 14, 2005 5:20 pm
Forum: Testing and Simulation
Topic: Matching Continuous Contract Methods w/ System Requirements
Replies: 6
Views: 6160

I'm just using one file per instrument. We use continuous contracts that are backadjusted. Our default sample data uses open interest to roll from one month to the next, but you can of course use any backadjusting algorythm you want. So given that, some data tends to get distorted to the downside, a...
by Tim Arnold
Fri Oct 14, 2005 1:39 pm
Forum: Testing and Simulation
Topic: Matching Continuous Contract Methods w/ System Requirements
Replies: 6
Views: 6160

Hi PaulZ, CSI has data available called "Unadjusted Close". I have been using this, in conjunction with the backadjusted close of a particular day, to give me both the point relative and percent relative prices. So if you wanted to trade at 90% of today's close, you could calculate 10% of ...
by Tim Arnold
Sat Oct 08, 2005 10:54 pm
Forum: Testing and Simulation
Topic: Simulation Start
Replies: 2
Views: 3652

Yes. That is the purpose of the Testing Order Prime Months global parameter. You can set this to the number of months prior to the test start that TB will generate orders and get into positions. These are just priming positions, so they don't affect the profit/loss of the test directly. The default ...
by Tim Arnold
Thu Oct 06, 2005 7:53 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39187

Absolutely. I'll post a bunch of examples on the Customer Support Forum next week.
by Tim Arnold
Thu Oct 06, 2005 9:29 am
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39187

This would allow other simple powers, such as running a simultaneous test of n systems (possible in TB) with each system referencing their own predefined portfolio (not yet possible in TB). Each system can reference their own predefined portfolio or dynamic portfolio in Trading Blox today. Did you ...
by Tim Arnold
Thu Oct 06, 2005 9:04 am
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 39187

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: 12916

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: 12916

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: 12916

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.curre...
by Tim Arnold
Sat Oct 01, 2005 6:48 pm
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 12916

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: 8983

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: 39474

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: 6745

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...