Traders' Roundtable

You can read all about the formats that Trading Blox expects in the Trading Blox User Guide in the Historical Data Setup section.
That cleared up that simply one column is added with the time.

One question remains, however: Does the time refer to the beginning of the particular period (say a ...

Because that is the exact word your broker requires you to say, when you make a trade To enter into a Long position, you tell your broker to BUY

To exit from a Long position, you tell your broker to SELL

To enter into a Short position, you tell your broker to SELL

To exit from a Short ...

I know that the text format of end-of-day data is usually given like this in a text file:

day, open, high, low, close, volume

where day is just a date without a time, e.g. 01/31/1977. Each row is simply the data for that day.

I'm wondering how intraday data is usually represented in a text file ...

Why do people keep saying that they're "buying futures contracts" when they're just entering into them? It doesn't cost anything to enter them, so they're not really buying anything. Yet why is it referred to as buying? Just convention?

The same question I have for selling futures contracts. It ...

I looked through the docs just now. Is there any way I could get the Trading Blox code for the Donchian Trend system? It's not there in the guide. I think that would be very useful to me to help me understand it in the best way.

The Donchian Trend system, as shown in Way of the Turtle, uses a 20-day breakout for entry, 10-day breakout for exit, and a 2ATR stop-loss. There is also a moving average filter: You can only take longs if the 25-day MA is above the 350-day MA, and vice versa for shorts.

But how should one code ...

One should calculate ATR based on the back-adjusted time series of futures prices, as opposed to the normal "stitched" time series, right?

It certainly seems that way, since using the "stitched" series would introduce artificial volatility into the ATR. It would be nice if someone could confirm ...

altomas wrote:The key to what I was saying in the earlier post is that you do not participate in the difference between A and B.

altomas: Thank you very much! Now I get this, finally. I completely forgot the way futures markets actually work. You provided a wonderful explanation of it. Thanks!

Thanks for your replies, but I'm still just as confused. I already know that the "market" is comprised of different contracts, as rightly pointed out by rhc and all the other articles I read. I also am aware of what LeapFrog mentioned, namely that you just own the right to buy or sell something in ...

The essence of the problem is that in real trading when one contract expires and you have to roll to another, you do not participate in the price discrepancy between the two contracts.

i.e. contract A is trading at 50 and contract B is trading at 60. You are long contract A and want to roll your ...

This link might help
http://www.tradingblox.com/forum/viewtopic.php?t=7978

Thanks for the link. According to that link, there are two alternatives that people can take to roll over in reality. One is simply selling the contract nearing expiry and buying the next contract. The other one is using ...

Can someone explain to me how futures traders actually roll between contracts when they trade in reality?

Because I don't know this, I'm having a hard time understanding the purpose of all these different methods of stitching the data together. Shouldn't the stitching simply be done in the exact ...