Search found 12 matches

by fc
Sat Jul 14, 2012 7:25 pm
Forum: Testing and Simulation
Topic: The usual format of intraday historical data
Replies: 4
Views: 1601

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 partic...
by fc
Sat Jul 14, 2012 7:19 pm
Forum: Futures Markets
Topic: Why do people say they're "buying futures contracts&quo
Replies: 5
Views: 2782

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 position, you...
by fc
Fri Jul 13, 2012 5:54 pm
Forum: Testing and Simulation
Topic: The usual format of intraday historical data
Replies: 4
Views: 1601

The usual format of intraday historical data

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. How...
by fc
Fri Jul 13, 2012 5:49 pm
Forum: Futures Markets
Topic: Why do people say they're "buying futures contracts&quo
Replies: 5
Views: 2782

Why do people say they're "buying futures contracts&quo

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 seem...
by fc
Thu Mar 01, 2012 5:18 pm
Forum: Testing and Simulation
Topic: A practical question about coding the Donchian Trend system
Replies: 4
Views: 2190

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.
by fc
Thu Mar 01, 2012 1:32 pm
Forum: Testing and Simulation
Topic: A practical question about coding the Donchian Trend system
Replies: 4
Views: 2190

A practical question about coding the Donchian Trend system

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 this...
by fc
Thu Mar 01, 2012 9:23 am
Forum: Testing and Simulation
Topic: Should one calculate ATR based on the back-adjusted series?
Replies: 2
Views: 1409

Should one calculate ATR based on the back-adjusted series?

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 this.
by fc
Sun Jan 29, 2012 3:06 pm
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5335

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!
by fc
Sun Jan 29, 2012 7:58 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5335

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 t...
by fc
Sat Jan 28, 2012 8:17 pm
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5335

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 po...
by fc
Thu Jan 26, 2012 4:44 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5335

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 som...
by fc
Wed Jan 25, 2012 11:32 am
Forum: Futures Markets
Topic: Stitching data together manually
Replies: 14
Views: 5335

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 sam...