Traders' Roundtable

Hi twitter, Thanks for your interest in Trading Blox. 1) Yes, the Trial Version is the same as the actual Builder Edition. The charts, systems, Blox are all the same. The only difference is that the Trial version works for only one week, and the Trial version uses the sample data only. 2) Yes, you c...

You have to use backadjusted contracts for the trade P&L to work out correctly. This also simulates exactly what you would have experienced in actual trading -- trade what you test and test what you trade. Trading Blox also makes available the unadjusted close that can be used to check for new a...

Not sure about CSI. Trading Blox assumes the OHLC price in the data file is in fact the OHLC.

The Trading Blox Dual Moving Average System uses a multiple of the ATR as the risk amount for money management purposes, even if there is no stop.

Version 2.2 for the Builder edition is available now. The 2.2 version for the Pro and Turtle editions will be available by the end of this month, if not sooner. If you change the system wide base currency, all P&L transactions will be converted back from the denominated currency to the base curr...

http://www.csidata.com/csi/reviews/reprintsep99.html

Note that this study was done in 1999. The data used was from 1994 to 1998.

Here is the screen shot from CSI that shows how we have setup the sample data. It uses Open Interest to roll, but also has a failsafe 7 days before expiration to handle markets like the currencies.

If you have a series of option pricing data, it can be tested as such the same way stocks are tested. If you need a dollars per point of anything other than $1, then you should load the data as a future. Just create the appropriate entry in the futures dictionary if you want to do this way. To load ...

Sure. Take a look at the ADX System and you will see some good examples. Here is how you setup the ADX Indicator for use in the Blox Scripting. Then you can setup an If/Then statement like this: IF adxIndicator > adxTrendLimit AND positiveDirectionalIndicator > negativeDirectionalIndicator AND instr...

Sorry I meant "LastDayOfWeek" from the instrument perspective. So when you generate orders for the first trading day of the week, the instrument will know that it has data for the last day of the prior week.

Let's take this offline and we can discuss more specifics.

That is correct, this is not an issue with Trading Blox. Particularly in the upcoming 2.2 version the automatic weekly OHLC data is synchronized to the daily data correctly, so when you place orders for Monday it will use the daily and weekly data from Thursday or Friday depending on the holiday sit...

In Trading Blox version 2.2 we will have weekly bars available that are constructed automatically from the daily bars. These work correctly regardless of Monday or Friday holidays, so you won't have the issue that Trade Station has.

Assuming 4 rolls a year, with present short term interest rates (I assume the present ones in the future, since I've no crystal ball), there is almost a 4% annual difference between performance on back adjusted data (which – by definition – eliminates this gap) and performance you should expect...

The back adjusted contracts I use have no 'drift' in that they are designed to roll at the precise time that I would roll while trading. So the back adjusted series represents precisely the data stream that I would actually be working with. There is no drift or spread or anything else that would adv...

Hi Jason, Check the Unit Limiter block. I think this will serve as a good template for your question. You can check the risk, margin, units, or quantity of closely or loosely correlated markets or markets in the same group. You can then set canAddUnit variable to true or false to allow or deny the t...

Yes the software is designed that way. For historical simulation purposes, Trading Blox does not apply slippage on Close orders.

I thought this comment by Charlie Wright was interesting: Over the last 6 years, our real time trading has correlated in excess of 90% with our hypothetical models. The reason it is not 100% is because we experience less slippage and fees in actual trading than we use in our hypothetical models. You...

In the case that you might have less markets in a sector than specified, it would be prudent to add a failsafe trigger to avoid an infinite while loop: ' Set a fail safe counter in case NumMarkets is greater than the available markets in that sector. failSafe = 0 WHILE ( y < NumMarkets AND failSafe ...

When you setup your CSI data, be sure to use the roll trigger that you are comfortable with, and that will meet your needs. When the data rolls, you need to roll with it. So it is important to create the data in the same way you would trade. If you are using CSI, it can output the Delivery Month, wh...

The Trading Blox sample data uses a continuous contract with a roll trigger of Open Interest. We do not use "Perpectual" data since that does not reflect a simulation of history. Be sure to test what you trade and trade what you test.