I'm evaluating testing software and have been working with the Trading Blox demo. One thing that I've been unable to figure out relates to intraday data and if someone could send me in the right direction I'd appreciate it.
I have minute data for forex going back a couple of years that I'd like to use to test with. I'd like to generate signals using different timeframes, for example, signals based on the close of a 4 hour bar. Will Blox assemble the four hour data from the one minute data that I have? Then, if it will, can it evaluate exits on the one minute bars?
I'm inclined to think this is possible from reading the marketing info but just can't seem to find anyplace in Blox that allows me to set these timeframes. It's entirely possible that I'm having a brain fart and am just missing something. Any help would be appreciated.
Andy
Trading Blox questions
I confess that I don't know the answer to your question. I also confess that I don't quite understand your question. I can't figure out from the context of your message, what exactly you mean by "signals" and "exits", sorry.
When you say "signals" do you mean "both entry orders and exit orders?" Or, does "signals" mean "entry orders but not exit orders"? Or something else entirely? How are "signals" and "exits" different? How do they overlap?
Even if you clarified this for me, I still couldn't answer your question, sorry. However you may want to clarify anyway, for the benefit of other readers (the ones more knowledgable than me!) who might be able to offer advice once they understand your request a bit better.
When you say "signals" do you mean "both entry orders and exit orders?" Or, does "signals" mean "entry orders but not exit orders"? Or something else entirely? How are "signals" and "exits" different? How do they overlap?
Even if you clarified this for me, I still couldn't answer your question, sorry. However you may want to clarify anyway, for the benefit of other readers (the ones more knowledgable than me!) who might be able to offer advice once they understand your request a bit better.
lol, thanks for taking a swing anyway Slugo.
When I said signal I mean entry. I was trying to make the distinction between that and exits, not very well evidentely.
As an example, I have a system that I use that generates entries based on the value of a couple indicators at the close of a 4 hour bar. The exits are then calculated tick by tick. I know that tick data isn't an option in Blox but that 1M data is. Obviously if I trigger exits on a 4 hour basis I don't get enough granularity to be accurate.
I hope this clarifies things a bit.
When I said signal I mean entry. I was trying to make the distinction between that and exits, not very well evidentely.
As an example, I have a system that I use that generates entries based on the value of a couple indicators at the close of a 4 hour bar. The exits are then calculated tick by tick. I know that tick data isn't an option in Blox but that 1M data is. Obviously if I trigger exits on a 4 hour basis I don't get enough granularity to be accurate.
I hope this clarifies things a bit.
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Tim Arnold
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Trading Blox does not automatically create the four hour bars from the one minute bars. But you could check the time and see if it is on a four hour interval and then generate the signals. Or you could create the four hour bars OHLC through scripting using the Series Variables.
Depends on how complex you want to get -- some people use a moving average of 240 minutes to represent a four hour moving average. If you plot this side by side with a "clock" based four hour moving average it is quite close.
Others send two data streams to Trading Blox represented by two different symbols. MySymbol-1Min and MySymbol-4Hour could be an example. Then within the code you could check the indicators of the four hour symbol to generate orders for the 1 minute symbol. And use the indicators from the one minute symbol to exit the one minute symbol. All trading would be in the one minute symbol.
Hope that helps
Depends on how complex you want to get -- some people use a moving average of 240 minutes to represent a four hour moving average. If you plot this side by side with a "clock" based four hour moving average it is quite close.
Others send two data streams to Trading Blox represented by two different symbols. MySymbol-1Min and MySymbol-4Hour could be an example. Then within the code you could check the indicators of the four hour symbol to generate orders for the 1 minute symbol. And use the indicators from the one minute symbol to exit the one minute symbol. All trading would be in the one minute symbol.
Hope that helps
-
Tim Arnold
- Site Admin
- Posts: 9015
- Joined: Tue Apr 06, 2004 1:41 pm
- Location: Boston, MA
- Contact: