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Trial Version

Posted: Fri Oct 26, 2007 9:13 am

after having used the trial version this week, I have some questions:

1. is it possible to define different commissions for each different contract? I saw that in the Global Parameters that we can define the same commission for all contracts.

2. concerning the reporting, we can change it in the Preferences. Is it possible to customize it more, with eventually self-defined measures?

I also send a question concerning the volatility adjusted Money Manager with the stdev instead of the atr (search after keywords stdev and atr), but still got no answer :(


Posted: Fri Oct 26, 2007 10:27 am
by sluggo
Which product are you referring to? Blox Turtle? Blox Pro? Blox Builder? They have different amounts of features and different prices.

I recommend checking the documentation of "addStatistic". What it does might be exactly what you want. You also might read this thread for possible ideas about commission flexibility: viewtopic.php?t=3832

I'm trying to imagine ways you might be able input different commissions for different instruments, when running other trading software besides the Blox family. In Wealth-Lab I suppose you could make a CommScript that had a separate statement for each individual tradeable, along the lines of

Code: Select all

If StockTicker = "IBM" then Commission = 0.004%
If StockTicker = "GE" then Commission = 0.003%
If StockTicker = "INTC" then Commission = 0.01%
In Tradestation you could have a workspace with one Chart per instrument, and manually insert a different commission into each chart. This would limit the size of your portfolio to be no more than the maximum number of Charts per workspace. I think the Tradestation limit is 64 (?) Charts in a workspace.

Posted: Mon Nov 05, 2007 3:08 am
Thanks Sluggo,

I am referring to Blox Builder.

I cannot access the link about commission flexibility. Perhaps it is on a customer only forum.


Posted: Thu Nov 22, 2007 7:10 pm
by Tim Arnold
As Sluggo points out, you could create a custom block to compute commission by market. These values could be loaded from an external file.

Yes, you can create as many custom statistics as desired. They will show in the sortable list and parameter graphs for optimization purposes.

Certainly the Money Manager can use StdDev instead of ATR. That is an easy change. Just create a StandDev indicator and use that in the computation instead of the ATR indicator.

Posted: Tue Nov 27, 2007 4:06 am
Hi Tim,
thanks for your answer. Just one more question on the StDev vs ATR.
For the ATR to be right, we use the back adjusted serie (from CSI or whatever). For the StDev to be right, we would have to use the proportional adjusted serie (or ratio adjusted which is the same) to be able to calculate % value on the prices. It means that if I want to use the StDev, I will have to load proportional adjusted price and eventually back adjusted prices for my signal indicator which usually does not work properly on proportional adjusted prices.
Do you agree?

Posted: Tue Nov 27, 2007 5:42 am
by sluggo
Displayed below are some prices ("X", in the first column) and three back-adjusted data series derived from those prices. One of the back-adjusted series adds 30 to each price, another adds 300 to each price, and the third adds 3000 to each price.

Notice that the ratio of the top price ( row 7 ) to the bottom price ( row 28 ) varies from 1.58 in the first column (20.5 / 13.0 = 1.57692) to 1.002 in the last column (3020.5 / 3013.0 = 1.002489).

Yet the standard deviations of the series (displayed in row 30) are the same in all cases: 3.063.

I've also attached the Excel spreadsheet in case anyone wants to fiddle with it some more.

Posted: Tue Nov 27, 2007 6:08 am
by Tim Arnold
We don't recommend proportional backadjusting for futures. Stocks are proportionally backadjusted for stock splits. A properly backadjusted data series will reflect the actual series you see in trading, including rolls and splits, and should thus be used for all computations.

In the case of stocks, both the ATR and StandDev become relatively smaller as you go back in time (adjusting for splits) thus it's best to normalize these numbers against the price series if used in comparison to values from other time frames. Same concept when comparing markets.

EDIT: Note that we also have a StandardDeviationLog function for use with proportionaly backadjusted series. This function uses the log of the change in prices for the computation, whereas the regular StandardDeviation function uses the prices directly.

If you wanted to bring in an alternate data series for whatever reason, you could do that with Trading Blox. It is easy to bring in fundamental data, as an example, and synch with the price data series. One function call loads up the data and makes it available for use with functions and scripting.

Posted: Tue Nov 27, 2007 7:20 am
My idea was to use the stdev of the price changes for a risk purpose (instead of the atr) and not the stdev of the prices. In this case you have to use the proportional adjusted serie I believe. See the attachment.

Posted: Tue Nov 27, 2007 7:36 am
by Tim Arnold
Yes, use the StandardDeviationLog function for that.