Search found 109 matches

by Jake Carriker
Sat Jul 14, 2012 10:55 am
Forum: Testing and Simulation
Topic: The usual format of intraday historical data
Replies: 4
Views: 3058

You can read all about the formats that Trading Blox expects in the Trading Blox User Guide in the Historical Data Setup section.
by Jake Carriker
Tue May 08, 2012 4:35 pm
Forum: Testing and Simulation
Topic: Triple MA Entry Flaws?
Replies: 1
Views: 1922

You are correct that the Trading Blox built-in Triple Moving Average system re-enters a trade after stopping out if the entry conditions are met. I don't know that this is necessarily "wrong", but I can understand how someone might like to test a version that waits for a new entry signal t...
by Jake Carriker
Thu Feb 16, 2012 9:44 am
Forum: Testing and Simulation
Topic: Sharpe Versus Annual Sharpe
Replies: 7
Views: 4656

Thank you EventHorizon for your detailed audit of TB output stats. I agree that better documentation is always helpful. I am working with the Blox team here to improve this. Some of the items you point out on your list might be considered "choices" that the TB developers made that might ha...
by Jake Carriker
Mon Feb 13, 2012 1:31 pm
Forum: Testing and Simulation
Topic: Historic Rollover Rates
Replies: 2
Views: 2126

You are correct that rollovers are not recorded in the trade log or accounted for as separate trades. Rather, when the value in the contract month field of your data file changes, Blox debits a roll expense if the instrument currently has a long or short position. You can check in scripting for a ro...
by Jake Carriker
Wed Apr 18, 2007 9:28 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Hi Paul, Excellent job digging into CSI and experimenting. I always find such expeditions fruitful. However, I see something different on my charts concerning changes in Total Open Interest. Also, though there is certainly a dip in the individual OI around practically any roll date, the shape of tha...
by Jake Carriker
Sat Mar 31, 2007 7:33 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Perhaps the fact that the actual contract data performs at the bottom of the pack in the table on page 90 of Chande's book has something to do with his choice of roll date as well as the impact of rollover costs. The screenshot below from CSI is of a continuous backadjusted SF contract that rolls on...
by Jake Carriker
Sat Mar 31, 2007 7:06 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Hi Angelo, a) how "continuous contract type 56/25" has a net profit of 10,625, whereas "continuous contract 60/25" has a net profit of 39,862. Same system, same markets. The only things changing is the way in building the continuous data. Using software (CSI's Unfair Advantage is...
by Jake Carriker
Fri Mar 30, 2007 6:46 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Angelo, Chande's results from table 3.12 of the book assume that zero rollovers occur with the continuous contract. He also defines a trade as 1 entry plus 1 exit, regardless of whether the trade is a rollover. Thus, a system that trades a continuous contract that enters a position on January 1, and...
by Jake Carriker
Wed Mar 28, 2007 3:31 pm
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Angelo, you are welcome. Thanks in return for studying the example and keeping an open mind. I encourage you to follow your impulse to check out several different examples and think about your findings.

Jake
by Jake Carriker
Wed Mar 28, 2007 11:26 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Angelo, I don't mean to appear argumentative, and I have no kind of dogmatic attachement to backadjusted price series. I don't think you are arriving from the moon. It could be that all of us trying to give assistance are missing the point entirely. What will help immensely is if you can go through ...
by Jake Carriker
Tue Mar 27, 2007 11:59 am
Forum: Testing and Simulation
Topic: Very Long Term Trend Following: The Data Implications
Replies: 37
Views: 44484

Hi Angelo, Perhaps you will find some information here that will help you with your question. If you work a few examples you may come to understand that the gap between the old active contract month and the new active month has no bearing on trading profits within the context of continuous back/forw...
by Jake Carriker
Thu Mar 01, 2007 11:12 am
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 50142

Michael Clarke is a CTA with a long and respectable track record. I find his comments (excerpted from the blurb about his programs on the IASG website) about model development interesting. I find especially interesting his thoughts on out of sample testing, which I have highlighted in bold below. CC...
by Jake Carriker
Wed Feb 28, 2007 10:35 pm
Forum: Testing and Simulation
Topic: In your experience as a system trader... 80/40 or 40/40 ?
Replies: 46
Views: 50142

Great Work Nickmar! Here is a slightly altered version that allows the user to choose exactly how many markets from each sector to include. For instance, you might want to create a portfolio that always has 4 stock indices, but always has 2 Long Rates. It might be useful for creating random portfoli...
by Jake Carriker
Fri Dec 08, 2006 10:55 am
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 21563

you should be testing the system for one entry, one exit, and 16 rollovers on that trade, instead of testing the system for one entry and one exit on that trade. Yes, exactly. Trading Blox (and some other programs) allow you to test in this way. In fact, as Sluggo points out, you can even test more...
by Jake Carriker
Mon Mar 06, 2006 1:35 pm
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 18668

I have not heard anything from CSI, but this morning I went into the factsheet and altered the price format (per Mr. Garner's above post ) for SXE from 2 to 1 and the point value from EUR .1 to EUR 1.0. My SXE prices now match those of the SXX and the Eurex quote. Funnily enough, the cash price for ...
by Jake Carriker
Thu Mar 02, 2006 1:15 pm
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 18668

I am using 2.9.1

I sent an email to CSI support directing them to this thread.

Jake
by Jake Carriker
Thu Mar 02, 2006 12:13 pm
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 18668

Hmm? Looks like the way you see price data quoted from CSI varies by individual. Check out how my CSI setup looks for #529 and #530. I just did a history refresh, but nothing changed. Interesting the differences between the backadjusted futures prices and the cash price listed for each market. For t...
by Jake Carriker
Tue Jan 24, 2006 2:04 am
Forum: Testing and Simulation
Topic: Reversion to Mean on Equity Curve - Looking for Demark's
Replies: 2
Views: 3716

As far as I recall, Tom DeMark does a lot of counting "sequentials" and "countdowns" and other things that, in my testing at least, have not proven to be very worthwhile. Tom Basso, on the other hand, ran a firm called TrendStat and put out some pretty interesting research. Perha...
by Jake Carriker
Fri Dec 16, 2005 3:30 pm
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 23212

you might be interested in virtual machines. This seems like a tool to run multiple operating systems on one machine. What happens if you take your computer case and hit it a few hundred times with a sledge hammer or set it on fire? I don't think this solves the problem. Also, am I right in thinkin...
by Jake Carriker
Fri Nov 18, 2005 1:17 pm
Forum: Money Management
Topic: CAPITAL REQUIREMENT
Replies: 10
Views: 13296

Sluggo, yep that's right. I hinted at this kind of thing with my comment... ...appropriate starting equity may be more a function of trading costs than anything else. However, I didn't expand on it. Seems like TBB *almost* handles the minimum ticket charge situation via the "Commission per Trad...