Traders' Roundtable

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...

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...

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&highlig...

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.

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...

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...

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 &qu...

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...

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? Beca...

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]

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...

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...

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 o...

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...

Philosophically it is difficult to fit pure-reversal systems into an argument about entries vs. exits.

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.c...

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...

Man Futures does it the way you describe in list item number 1.

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 tha...