Traders' Roundtable

Consider reading about the CRB: Thomson Reuters/Jefferies CRB Index

Enter the CRB into a Google search and you'll discover the CRB also provides other index results.

CSI's UA Market Catalog for the CRB is shown in the image below.

Attempting to decide on position risk using the basis of a few summary statistics is an illusion that could be the result of a “siren song’sâ€

As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. [SNIP] This is true, but system traders quickly learn to not select that method. Instead, select the Back-Adjust option and enable for the "Enable Forward" option so the roll method be...

[snip] Is there anything like this in Blox Marketplace? I took some time tonight to look and couldn't find anything that would work with orders that don't have stops. It was the "No Protective Exit Stop" comment that motivated the comments to use a position counter. [snip] I tried Unit Li...

Consider using a position count limiter to limit the number of positions, which will limit the max account loading when using market orders, and something less with Stop and Limit execution orders. With fixed rate sizing, and with a max account loading rate goal you won't want to exceed, you can eas...

... If someone smarter can translate it for simple minds that would be much appreciated. Hello Tomaso, I edited the CSI detail shown, so I have to take some responsibility for the limited explaination. Old Close = Closing price of the current contract that will be closed out. New Close = Closing pr...

[SNIP] I believe the reason I can't find it is that that sub-board is now customers only. Recent MF Global activity might have been better placed in the Brokers section where you posted, but with the outrage most of us were feeling at the time, the need to vent the about the theft was stronger than...

stopsareforwimps wrote:Can't see the old thread

MFG update:

http://www.nakedcapitalism.com/2012/06/ ... ortem.html

I suspect this is what you were looking for: MF Global (<- Link)

...[SNIP] I build my trading files using my own software, so I never tested the differences in the way you asked your question. I am actually wondering if there is a market for a back-adjusting software (independent from data vendor source). Is it something that you considered at the time of writin...

Data changes most often will affect simulation results, and some orders. I build my trading files using my own software, so I never tested the differences in the way you asked your question. I can say the process CSI's UA offers in this release is very close to what I've been doing by other means. W...

An important aspect to being successful with UA is to use the Generate Forward option. This option is needed to ensure the contracts are stitched together in the manner in which data was broadcast by the markets. In this last version is a restriction that will prevent the contracts that were rolled ...

There is commission cost for the exiting and entering contracts, and there is most often a difference is price, which affects cost. Sometimes a process called "legging into the roll" can make a difference. This terms means to enter into the next contract earlier, and then waiting for a fav...

Sluggo's calculation is a estimating approach that attempts to provide some reasonable risk estimation that isn't too far from what would happen had the order been generated with a protective price. With an example point of 0.50 as the MyATR value, that puts the protective price very close to the pr...

Let's take all of the equation for others who might want more: ' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ' Original algorithm Order.SetQuantity ( (RiskPct * Test.TotalEquity) _ / (2.0 * MyATR * Instrument.BigPointValue) ) ' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~...

Because it doesn't actually tell you anything really? Maybe it tells us more than is obvious at first glance, if we can assume that Ideas and an active imagination are the seeds to new methods. When Jez published his module of the TrendPot idea, I found it interesting because the measurement of Tre...

Dear Tim, Any chance you could point me in the right direction for this? Thank you, Dantes Replace lines 2 & 3 with this line pair: Order.SetQuantity ( (RiskPct * Test.TotalEquity) _ / (2.0 * MyATR * Instrument.BigPointValue) ) This is required because UnitSize is now a reserved word in TB. In ...

Before performing this comparative platform approach, consider making some trade settings changes in both platforms before you capture the trade detail to compare in Trading Blox. One of the first changes to make is not use any slippage in TradeStation and to disable it as well in Trading Blox when ...

When you load a file onto a carrier file, or a portfolio instrument file using LoadSymbol, there must be a date in the carrier file that can accept a date record from the parasitic, or attaching file, to keep TB from complaining. This also includes dates that are earlier than the start date with yea...

Begin by loading just the Perpetual file records along side the Back-Adjusted data. To do that record alignment spend time understanding how to use "LoadIPVFromFile". I found the Trading Blox process a simple and an elegant way for dealing with this kind of data-joining need. Once the data...

Trading Blox has a process that gives it the ability to align external data from another file to the dates of the primary instrument file. For example, if you use Sluggo's suggestion to generate Back-Adjusted contracts, and you also create Perpetual contracts for the same symbols, you will have file...