Building Blox

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.
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G$$
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Posts: 13
Joined: Tue Jan 30, 2007 2:06 pm

Building Blox

Post by G$$ » Tue Jan 30, 2007 2:12 pm

I’m trying to build my system, but I am having problems. Here is what I need:


My goal is to have only 10 net exposed units in any direction. For example if I am long 2 units of corn and short 5 units of oil, I am net short 3 units. However, if my exit point is above any long entry price( or below any short entry price) then that unit is not exposed. For example if I short 5 units of oil at 60.00. 59.00, 58.00, 57.00, and 56.00, my stop is at 59.50, then the short from 60.00 is not exposed and I am shot 4 exposed units. Now, with my Long 2 units of corn, I am net short 4 units.


How do I get this in?

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