Search found 1002 matches

by sluggo
Wed Mar 08, 2006 9:19 am
Forum: Testing and Simulation
Topic: Risk Reward Ratios
Replies: 6
Views: 5452

In the computer industry there's a saying: The nice thing about standards is, there's so many of them! The reason why there are so many ways to measure money manager performance, is because everybody likes their own way of measurement and nobody likes anybody else's way. I recommend a three step pro...
by sluggo
Wed Mar 08, 2006 8:41 am
Forum: Testing and Simulation
Topic: Difference Between Exponential and Simple Moving Averages
Replies: 7
Views: 7558

TBB has chosen a self-consistent definition of ATR and calculates it correctly (in my opinion). You will enjoy figuring out what definition it employs, by looking at some TBB output and seeing which of YOUR definitions, compute the same answers as TBB. Attached is a price history in Excel format, wi...
by sluggo
Fri Mar 03, 2006 9:42 am
Forum: Futures Markets
Topic: Winnipeg - Western Barley, Domestic Wheat Feed
Replies: 19
Views: 12958

My settings match yours. Also MinTick=0.1 in all three cases. These markets might be VERY interesting to someone who wants to trade a large number of markets out of a small account. Perhaps the following article may spark some ideas: http://www.tradingblox.com/forum/viewtopic.php?p=14152&highlight=l...
by sluggo
Fri Feb 24, 2006 2:20 pm
Forum: Trend Indicators and Signals
Topic: Adaptive systems vs. curve fitting
Replies: 18
Views: 22395

They do this a lot over at the Wealth-Lab website. Hunt around for the key words "self tuning". Some of the algorithms are very sophisticated.
by sluggo
Thu Feb 23, 2006 9:56 am
Forum: Custom C++ or Java Platforms
Topic: Custom Java system, Plus self intro
Replies: 5
Views: 11101

Re: Custom Java system, Plus self intro

It takes about 2 seconds to test a strategy on a basket of 15 futures for 20 years on my P4 3.2GHz, 1GB RAM machine. I'm using a Dell Latitude D810 laptop with a 2.1GHz processor and 2GB RAM. Running Trading Blox Builder release 2.0.10 (build date 12/17/2005) it takes 0.83 seconds to test a strateg...
by sluggo
Mon Feb 20, 2006 11:57 am
Forum: Data Providers and other non testing software
Topic: CSI Price Format CSI#529 DJ STOXX 50 Eurex
Replies: 15
Views: 15965

I happen to have a position in the STOXX-50 in one of my accounts (see image). I am in the same boat as you: my broker's quotes are also four digits rather than five. Happily, once you know about the situation, you just make a small adjustment in your software and presto! all is well. A similar scal...
by sluggo
Mon Feb 06, 2006 8:44 am
Forum: Testing Software
Topic: TBB Code Verifier?
Replies: 5
Views: 6105

Here's a complete TBB system

Just so you can see how real live TBB code actually looks, I attach a zip archive of a (less than stellar) system named XMR_candlestick. There are three files in the archive. The one that ends in ".tbs" is the System, you can think of it as the parent block of code. The two that end in ".tbx" are Bl...
by sluggo
Mon Jan 30, 2006 8:43 am
Forum: Testing and Simulation
Topic: $40 Slippage sending good systems to the trash can!
Replies: 5
Views: 4856

Perhaps you and TBB have different opinions about how the slippage settings will operate in a simulation. One way to study this is to calculate how many contracts were actually traded in a simulation run, then read the Total Slippage number from the simulation output, then divide the two numbers. Pr...
by sluggo
Fri Jan 27, 2006 4:31 pm
Forum: Trader Psychology
Topic: Is Discretionary Trading Undervalued?
Replies: 6
Views: 8290

Taken from http://www.elitetrader.com/vb/showthread.php?s=&postid=887914&highlight=discretio%2A#post887914 If you're a professional money manager, the "best" thing to do is say you're a discretionary trader, even if you in fact religiously follow a 100% mechanical system. Why? Because asset allocato...
by sluggo
Fri Jan 27, 2006 12:18 pm
Forum: Testing and Simulation
Topic: Triple Moving Average vs. All The Others
Replies: 40
Views: 33612

Here's a fully disclosed TBB system that appears (to the unaided eyeball) to have performed nicely through the first half of 2005. Perhaps you might enjoy testing it over the full year.

[MOD: link removed]
by sluggo
Wed Jan 25, 2006 9:10 am
Forum: Testing and Simulation
Topic: Backtesting Equities (Stocks)
Replies: 8
Views: 5200

What I've done in the past, is to make system simulation backtests a two-pass affair. Pass1 is a custom-programmed application written in C++ which performs the filtering and, oh you're going to positively hate this, writes a flag (OK_to_trade or not_OK_to_trade) right into the daily ASCII price dat...
by sluggo
Thu Jan 19, 2006 2:06 pm
Forum: Futures Markets
Topic: London Metals Exchange
Replies: 23
Views: 23152

Use a broker that understands it well and is willing to place the overnight orders and reward yourself with this great diversification opportunity. Di-WORSE-ification opportunity, in my opinion. The great majority of multicommodity systems I've run on LME products, give much better historical perfo...
by sluggo
Thu Jan 19, 2006 11:03 am
Forum: Data Providers and other non testing software
Topic: Data - Where is the best place to get it?
Replies: 3
Views: 4790

If you don't mind programming (or hiring programmers), the Applications Programming Interface for CSI's Unfair Advantage lets you access the individual "raw" contract data quite readily. Also, because the API doesn't use UA's "Portfolios", it lets you access an unlimited number of instruments. You a...
by sluggo
Fri Jan 13, 2006 5:40 pm
Forum: Testing Software
Topic: Looking for the right platform
Replies: 7
Views: 8295

No offense but I would expect your natural inclination would be to purchase both and see how you like each of them, yourself. I would expect a 20 year trader would be more inclined to tinker and experiment for themselves, rather than believing what is said by a bunch of complete strangers on a vendo...
by sluggo
Thu Jan 12, 2006 9:37 am
Forum: Testing and Simulation
Topic: Are EXIT POINTS more important than ENTRY POINTS ?
Replies: 14
Views: 7878

Philosophically it is difficult to fit pure-reversal systems into an argument about entries vs. exits.
by sluggo
Tue Jan 10, 2006 12:45 pm
Forum: Data Providers and other non testing software
Topic: ;-)
Replies: 2
Views: 3983

If you are a TBB customer you have access to the customers-only zone of the website that includes: http://www.tradingblox.com/forum/viewtopic.php?p=14042&highlight=%2Alouis%2A#14042 If not you may want to visit http://www.federalreserve.gov/releases/h10/Hist/default1999.htm or http://www.oanda.com/c...
by sluggo
Fri Jan 06, 2006 9:08 am
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 24676

The margin-to-equity ratio people are hoping to calculate in TBB, has two components: Numerator = For all currently open positions, the sum of (Exchange mandated Initial Margin Deposit per contract, times number of contracts in the position) Denominator = Total account equity (Cash + Tbills + Open t...
by sluggo
Sun Jan 01, 2006 8:25 pm
Forum: Brokers
Topic: Margin in non-USD markets
Replies: 2
Views: 4860

Man Futures does it the way you describe in list item number 1.
by sluggo
Sat Dec 31, 2005 8:28 am
Forum: Brokers
Topic: Brokers and the Patriot Act
Replies: 9
Views: 8738

If you have several accounts with several different firms, you can perform experiments and see what they do in common, also what they do differently. (For fans of Hugh Laurie / Gregory House MD, you can actively perform "Differential Diagnosis".) I have done so. What I've discovered is that a large ...