Search found 1002 matches
- Wed Mar 08, 2006 9:19 am
- Forum: Testing and Simulation
- Topic: Risk Reward Ratios
- Replies: 6
- Views: 6573
In the computer industry there's a saying: The nice thing about standards is, there's so many of them! The reason why there are so many ways to measure money manager performance, is because everybody likes their own way of measurement and nobody likes anybody else's way. I recommend a three step pro...
- Wed Mar 08, 2006 8:41 am
- Forum: Testing and Simulation
- Topic: Difference Between Exponential and Simple Moving Averages
- Replies: 7
- Views: 9263
TBB has chosen a self-consistent definition of ATR and calculates it correctly (in my opinion). You will enjoy figuring out what definition it employs, by looking at some TBB output and seeing which of YOUR definitions, compute the same answers as TBB. Attached is a price history in Excel format, wi...
- Fri Mar 03, 2006 9:42 am
- Forum: Futures Markets
- Topic: Winnipeg - Western Barley, Domestic Wheat Feed
- Replies: 19
- Views: 16198
- Fri Feb 24, 2006 7:28 pm
- Forum: Testing Software
- Topic: Margins in Foreign Markets
- Replies: 6
- Views: 7543
- Fri Feb 24, 2006 2:20 pm
- Forum: Trend Indicators and Signals
- Topic: Adaptive systems vs. curve fitting
- Replies: 18
- Views: 25363
- Thu Feb 23, 2006 9:56 am
- Forum: Custom C++ or Java Platforms
- Topic: Custom Java system, Plus self intro
- Replies: 5
- Views: 14016
Re: Custom Java system, Plus self intro
It takes about 2 seconds to test a strategy on a basket of 15 futures for 20 years on my P4 3.2GHz, 1GB RAM machine. I'm using a Dell Latitude D810 laptop with a 2.1GHz processor and 2GB RAM. Running Trading Blox Builder release 2.0.10 (build date 12/17/2005) it takes 0.83 seconds to test a strateg...
- Mon Feb 20, 2006 11:57 am
- Forum: Data Providers and other non testing software
- Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
- Replies: 15
- Views: 19132
I happen to have a position in the STOXX-50 in one of my accounts (see image). I am in the same boat as you: my broker's quotes are also four digits rather than five. Happily, once you know about the situation, you just make a small adjustment in your software and presto! all is well. A similar scal...
- Mon Feb 06, 2006 8:44 am
- Forum: Testing Software
- Topic: TBB Code Verifier?
- Replies: 5
- Views: 7220
Here's a complete TBB system
Just so you can see how real live TBB code actually looks, I attach a zip archive of a (less than stellar) system named XMR_candlestick. There are three files in the archive. The one that ends in ".tbs" is the System, you can think of it as the parent block of code. The two that end in &qu...
- Mon Jan 30, 2006 8:43 am
- Forum: Testing and Simulation
- Topic: $40 Slippage sending good systems to the trash can!
- Replies: 5
- Views: 5760
Perhaps you and TBB have different opinions about how the slippage settings will operate in a simulation. One way to study this is to calculate how many contracts were actually traded in a simulation run, then read the Total Slippage number from the simulation output, then divide the two numbers. Pr...
- Fri Jan 27, 2006 4:31 pm
- Forum: Trader Psychology
- Topic: Is Discretionary Trading Undervalued?
- Replies: 6
- Views: 9778
- Fri Jan 27, 2006 12:18 pm
- Forum: Testing and Simulation
- Topic: Triple Moving Average vs. All The Others
- Replies: 40
- Views: 39846
- Wed Jan 25, 2006 9:10 am
- Forum: Testing and Simulation
- Topic: Backtesting Equities (Stocks)
- Replies: 8
- Views: 6510
What I've done in the past, is to make system simulation backtests a two-pass affair. Pass1 is a custom-programmed application written in C++ which performs the filtering and, oh you're going to positively hate this, writes a flag (OK_to_trade or not_OK_to_trade) right into the daily ASCII price dat...
- Thu Jan 19, 2006 2:06 pm
- Forum: Futures Markets
- Topic: London Metals Exchange
- Replies: 23
- Views: 31626
Use a broker that understands it well and is willing to place the overnight orders and reward yourself with this great diversification opportunity. Di-WORSE-ification opportunity, in my opinion. The great majority of multicommodity systems I've run on LME products, give much better historical perfo...
- Thu Jan 19, 2006 11:03 am
- Forum: Data Providers and other non testing software
- Topic: Data - Where is the best place to get it?
- Replies: 3
- Views: 5701
- Fri Jan 13, 2006 5:40 pm
- Forum: Testing Software
- Topic: Looking for the right platform
- Replies: 7
- Views: 9733
No offense but I would expect your natural inclination would be to purchase both and see how you like each of them, yourself. I would expect a 20 year trader would be more inclined to tinker and experiment for themselves, rather than believing what is said by a bunch of complete strangers on a vendo...
- Thu Jan 12, 2006 9:37 am
- Forum: Testing and Simulation
- Topic: Are EXIT POINTS more important than ENTRY POINTS ?
- Replies: 14
- Views: 10272
- Tue Jan 10, 2006 12:45 pm
- Forum: Data Providers and other non testing software
- Topic: ;-)
- Replies: 2
- Views: 4807
- Fri Jan 06, 2006 9:08 am
- Forum: Testing and Simulation
- Topic: Margin To Equity Ratio - useful or not!???
- Replies: 29
- Views: 30704
The margin-to-equity ratio people are hoping to calculate in TBB, has two components: Numerator = For all currently open positions, the sum of (Exchange mandated Initial Margin Deposit per contract, times number of contracts in the position) Denominator = Total account equity (Cash + Tbills + Open t...
- Sun Jan 01, 2006 8:25 pm
- Forum: Brokers
- Topic: Margin in non-USD markets
- Replies: 2
- Views: 5608
- Sat Dec 31, 2005 8:28 am
- Forum: Brokers
- Topic: Brokers and the Patriot Act
- Replies: 9
- Views: 10423