Search found 77 matches

by leslie
Sun Sep 13, 2020 1:37 pm
Forum: Futures Markets
Topic: Rolling Amsterdam Index EOE (AEX in CSI)
Replies: 0
Views: 810

Rolling Amsterdam Index EOE (AEX in CSI)

Hello Everyone, Is anyone trading the Amsterdam Index and happy with the roll set up used for back test and live trading? My initial attempt: Roll on OI, First Trigger at 90%. Results: grim Second attempt: Roll 3 days before Expiration. Results: smooth steady Volume and OI ( My contracts are set to ...
by leslie
Mon Aug 17, 2020 3:04 pm
Forum: Testing and Simulation
Topic: Confidence Interval around a system change - OLD
Replies: 2
Views: 1215

Re: Confidence Interval around a system change

Hi, I use the Z score (as shown on your last sheet) to compare the before and after results. ( I am not a statistical whiz, so I keep it simple. ) One observation: MAR is an inadequate measure because it uses the single largest DD. This can force you to reject an otherwise desirable solution due to ...
by leslie
Tue Aug 11, 2020 11:29 am
Forum: Testing and Simulation
Topic: text editor / source code editor
Replies: 2
Views: 431

Re: text editor / source code editor

Thank you.
I'll try it.
Leslie
by leslie
Tue Aug 11, 2020 11:18 am
Forum: Testing and Simulation
Topic: Trading Blox to EasyLanguage code conversion
Replies: 1
Views: 1540

Re: Trading Blox to EasyLanguage code conversion

Shane,
Did you solve this issue?

Out of curiosity, why Tblox to EasyLanguage?
Why not EasyLanguage to Tblox?

Leslie
by leslie
Tue Aug 11, 2020 10:19 am
Forum: Testing and Simulation
Topic: text editor / source code editor
Replies: 2
Views: 431

text editor / source code editor

Is there a way of seeing ALL the code related to a system in a single file?

I would like to write everything in a source code editor (even NotePad will do) if it is possible to save back to Tblox?

Has anyone automated this?

Thank you,

Leslie
by leslie
Tue Aug 11, 2020 10:13 am
Forum: Testing Software
Topic: Apple versus PC's
Replies: 27
Views: 28586

Re: Apple versus PC's

Since this is my first post, let this be on a truly irrelevant problem. Yes, macOS is a very nice platform. Currently, I am typing on an iMac23, the latest with max CPUs, max clock speed, max memory. Fast. The Retina display quality just cannot be had from other vendors. (I tried Eizo, Dell, Panason...
by leslie
Tue Oct 18, 2011 6:52 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 16025

Eventhorizon wrote "use R for off-line analysis - it is not suited to building a trading system as it is horribly slow for loop processing..." Eventhorizon : the quick and dirty approach be to get <<Revolution Analytics>> formerly Revolution R. It is a university spin off adding parallel p...
by leslie
Tue Oct 18, 2011 6:50 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 16025

Blue Trin : Are you BUYING Open Quant. To the best of my limited understanding, Open Quant is FREE , open source and you can download it from code.google.com. Is there a possiblity that you are confusing Open Quant with Smart Quant, a Russian, Windows only, commercial package (of no obvious attracti...
by leslie
Tue Oct 18, 2011 6:48 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 16025

Mike S wrote "Writing code from scratch isn't hard, but it does take time. Plus, I am not a great coder..." Mike : The "does take time" part can be rather painful. I have 10 years of code in Trade Station Easy Language that I do NOT have the human resources to recode. Writing eve...
by leslie
Fri Sep 02, 2011 12:58 pm
Forum: Testing and Simulation
Topic: script to format correlations data from CSI Correlation Lab
Replies: 0
Views: 2308

script to format correlations data from CSI Correlation Lab

Hi All, Suppose you have a big futures and commodities portfolio and wish to update correlation data in the FuturesInfo.txt file. For the Euro Currency, the strong correlated symbol list looks something like this AD .. BAX BO CD ... SF ... How would you generate such a list with minimum effort? My s...
by leslie
Fri Aug 26, 2011 6:21 am
Forum: Futures Markets
Topic: (1) MIB change from S&P to FTSE (b) margin
Replies: 2
Views: 1879

Sluggo,
Thank you very much.
"Another Broker" search confirmed my suspicion that I had margin one order of magnitude higher then desired.

L
by leslie
Thu Aug 25, 2011 6:03 pm
Forum: Futures Markets
Topic: (1) MIB change from S&P to FTSE (b) margin
Replies: 2
Views: 1879

(1) MIB change from S&P to FTSE (b) margin

Hi (a) Would anyone know when MIB changed from S&P to FTSE moniker? Was there any change in composition? (b) The following filtered message threw me for a spin IFM,1,Short Entry,on Open,13.00,34810.0000000,... Cannot add 272456.81 additional margin to 1320873.30 existing with only 1551203.28 equ...
by leslie
Tue Jul 26, 2011 12:23 pm
Forum: Futures Markets
Topic: London Sugar roll alternatives compared
Replies: 0
Views: 2052

London Sugar roll alternatives compared

To follow up on the Robusta comparison, I tried same and few Volume based rolls for Sugar. Essentially, Volume or Open Int based roll settings provide poor results. This market shows significant day to day variation in Volume. Open Interest meanders, with higher OI in back month and higher Volume in...
by leslie
Tue Jul 26, 2011 11:24 am
Forum: Futures Markets
Topic: London Robusta roll alternatives compared
Replies: 0
Views: 2033

London Robusta roll alternatives compared

Taking Shane's and RHC's suggestion, I've experimented with a few roll settings for Robusta. Time interval: 1994 - 2011 July Setting Robusta to 10 MPDM (Shane's suggestion) and Open Int + Volume to 90% fill rate (my best guess). To approximate RHC's setting I forced the "Roll before Expiry = 30...
by leslie
Tue Jul 26, 2011 10:13 am
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 6220

Thank you guys! RHC, Shane: thank you. I'll try the roll dates and study differences btwn hard date results vs. Open Int + Volume settings. When looking for Images, try http://eu.ixquick.com/eng/pics.html Select "Images" The query "roll file editor" came back with a single hit, d...
by leslie
Mon Jul 25, 2011 4:25 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 6220

Shane,

Thank you.
For your Roll by Date trigger, what are your settings?

L
by leslie
Mon Jul 25, 2011 1:52 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 6220

Sluggo, George Carlin was funny once upon a time but that was a long long time ago. Sitting on his laurels, he worked himself into a rut with knee jerk blah blah which had no relevance to reality... The question was "is there a setting one can apply in UA which is generally satisfactory". ...
by leslie
Mon Jul 25, 2011 1:41 pm
Forum: Data Providers and other non testing software
Topic: FOREX currency pairs - nice new feature
Replies: 0
Views: 2947

FOREX currency pairs - nice new feature

CSI UA build 119 has nice new features: currency pairs can be inverted for a one pair ONLY, not the entire portfolio. This is very useful for anyone who trades futures markets denominated in non-USD contracts. (Alternate method is to edit names in TB Forex dictionary.) See enclosed image. In the LOW...
by leslie
Mon Jul 25, 2011 12:44 pm
Forum: Futures Markets
Topic: London Sugar and London Coffee (Robusta)
Replies: 11
Views: 6220

London Sugar and London Coffee (Robusta)

Hi Is anyone trading these markets actively? Is there a satisfactory way to roll these markets for accurate historical back tests and for actual trading? If so, please advise. I've traded both markets for several years, but abandoned them about 5 years ago. I'd like to trade these markets again sinc...
by leslie
Thu Jul 14, 2011 9:28 am
Forum: Data Providers and other non testing software
Topic: UA Roll Trigger Bug
Replies: 7
Views: 5376

Josh,

Please read concerns about testing rule #1 and trading rule #2.

I can see Father Sluggo's wisdom-- write a back adjuster from scratch.

LM