Position sizing in backtests using volatility

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
streetcat
Contributor
Contributor
Posts: 4
Joined: Wed Mar 21, 2007 10:37 am

Position sizing in backtests using volatility

Post by streetcat » Thu Mar 05, 2015 8:38 am

I'm a prospective TB buyer. One of the problems I have with my current software is that in backtesting I cannot specify how trades are sized at the time of the trade using volatility. The volatility for so many commodities like NG change rapidly, and I want to make the test realistic since I would have traded smaller if the daily volatility was 10% of equity versus 1% of equity.
My current software can only see the current volatility on the testing date...very lame for backtesting position sizes.
Basically, if TB tests bar by bar, and can see the whole portfolio on that date, I would assume it can also see if the daily range of the instrument AT THE MOMENT was $3000 or $300, correct?

Thanks,

John

Jake Carriker
Site Admin
Site Admin
Posts: 1493
Joined: Fri Sep 12, 2003 10:32 am
Location: Austin, Texas

Re: Position sizing in backtests using volatility

Post by Jake Carriker » Thu Mar 05, 2015 10:38 am

That is correct. You can use all information available as of the close of the latest bar (1 minute, 5 minute, daily, or any time frame) to make decisions for the next bar. This includes volatility measures and trade sizing.

streetcat
Contributor
Contributor
Posts: 4
Joined: Wed Mar 21, 2007 10:37 am

Re: Position sizing in backtests using volatility

Post by streetcat » Fri Mar 06, 2015 12:50 pm

Thanks Jake.

One other question--is the software upgradeable? IE: if I buy the Turtle version can I upgrade to the others by just adding on the additional cost?
What "3 systems" are included in the turtle version? The product page mentions Turtle (of course) and TMA. What is the other system that is included?

And to confirm--the Turtle version has all the built in position sizing / volatility sizing parameters that are built in to the higher versions?
I'm hoping to get started with Turtle and get the learning curve started, then add higher more complex versions as needed to add diversified systems.

Thanks again!

John

Jake Carriker
Site Admin
Site Admin
Posts: 1493
Joined: Fri Sep 12, 2003 10:32 am
Location: Austin, Texas

Re: Position sizing in backtests using volatility

Post by Jake Carriker » Fri Mar 06, 2015 2:23 pm

We will update the product page. The Turtle edition ships with the Turtle System, the Triple Moving Average system, and the Donchian system. These systems are fully functional like the ones in the higher editions, and yes, you can upgrade editions by paying the difference in license fees.

Post Reply