Dear Roger, Sluggo - once again thanks for sharing your thoughts on the forum.
Dantes
Search found 18 matches
- Sun Mar 25, 2012 6:15 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
- Thu Mar 22, 2012 6:26 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
Hi Roger, thanks for the quick reply. The calculation was actually clear, but I still don't see why one needs to have Order_Risk = 2.0 * MyATR * Instrument.BigPointValue as opposed to just Order_Risk = MyATR * Instrument.BigPointValue ? Why would you multiply the ATR value times 2? Thanks again, Dan...
- Thu Mar 22, 2012 4:30 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
- Tue Nov 29, 2011 3:25 pm
- Forum: Testing and Simulation
- Topic: Systematic options trading
- Replies: 5
- Views: 5897
- Sun Nov 27, 2011 1:51 pm
- Forum: Testing and Simulation
- Topic: Systematic options trading
- Replies: 5
- Views: 5897
- Sun Nov 27, 2011 8:53 am
- Forum: Testing and Simulation
- Topic: Systematic options trading
- Replies: 5
- Views: 5897
Systematic options trading
Dear TB community, I am trying to develop a systematic strategy on options and would love to hear opinions on its feasibility. Let's assume the strategy goes like this: 1. At the beginning of each month, select a strike +/- X from current spot level 2. Within this universe, get call/put prices for e...
- Sun Nov 20, 2011 10:04 am
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
- Sun Oct 30, 2011 2:44 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
- Sun Oct 23, 2011 10:56 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98161
Anthony - thanks for the feedback and again for posting the model, which led me to questioning some important assumptions. Looking also at this other post on MAR ratios for reporting CTA's, one also gets a good picture of what is actually achievable in the real world vs backtesting: http://www.tradi...
- Sat Oct 22, 2011 6:45 pm
- Forum: Testing and Simulation
- Topic: Suggestions on the backtesting process
- Replies: 4
- Views: 3578
- Sat Oct 22, 2011 5:53 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98161
Hi Anthony, Thanks for your reply. I'm using the settings you suggested on a portfolio of 116 futures with the following sectors: Bonds 16 Energy 8 Currencies 18 - both USD and non USD crosses Grains 10 Stock Indices 25 Interest Rates 9 Meats 3 Metals 13 Softs 14 I get however results that are quite...
- Sat Oct 22, 2011 1:34 pm
- Forum: Testing and Simulation
- Topic: Test results: 4 different entries + Random Exits
- Replies: 21
- Views: 39958
- Sat Oct 22, 2011 1:01 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98161
Dear Anthony - Thanks for such an interesting post. Would you mind sharing some more detail around how many sectors you're using for your backtest, and how you defined them? I have been trying to replicate your results and I'm under the impression sector rules/definitions play quite a big role. Best...
- Sat Jun 25, 2011 10:20 am
- Forum: Testing Software
- Topic: TBB backtesting and intraday FX trading
- Replies: 1
- Views: 5003
TBB backtesting and intraday FX trading
Hello everybody, I'm looking to implement an intraday Forex strategy, and searching for the best way to combine TBB's backtesting capabilities with intraday autotrading. I work with hourly bars and want to completely automate execution. Attached is a flowchart of what I have in mind. The way I see i...
- Thu Jun 23, 2011 12:07 pm
- Forum: Testing Software
- Topic: "Raw" results data export from TBB / automated dai
- Replies: 7
- Views: 8012
- Wed Jun 22, 2011 5:14 pm
- Forum: Testing Software
- Topic: "Raw" results data export from TBB / automated dai
- Replies: 7
- Views: 8012
Thank you Sluggo. I'll try to be clearer with an example. I would like to store the simulation results data for in a format that allows further numerical analysis in Excel/R/MATLAB/you-name-it. Let's say for example that I build and backtest ten variations of the same system, stepping parameter &quo...
- Wed Jun 22, 2011 1:14 pm
- Forum: Testing Software
- Topic: "Raw" results data export from TBB / automated dai
- Replies: 7
- Views: 8012
"Raw" results data export from TBB / automated dai
Hello everybody - I'm enjoying the TBB free trial and have a couple questions I could not find answers to: 1. How can I export the performance results in a .txt file? 2. How can I export .txt data of what is visualized as chart-only in the performance results? (i.e. Monte Carlo CAGR %, Monte Carlo E...
- Mon May 09, 2011 4:51 am
- Forum: Data Providers and other non testing software
- Topic: Automated stock data download and order generation
- Replies: 1
- Views: 2542
Automated stock data download and order generation
Hello - I am new to TB and would greatly appreciate a little help on the questions below: 1. How does one add new data from external source to TBB? You just create a new file with the required formatting in the Stocks dictionary folder? 2.How do you automate end-of-day stock data upload into TBB fro...