I'm currently taking the 7 day free trial for Trading Blox and I was wondering if anybody could educate me/point me in the right direction on a few topics.
1) I'm looking to be able to limit exposure in a couple different ways. The first, I'd like to try to limit exposure based upon individual instrument correlation. Meaning, I can only have so many open units in the grains and the system will reject any trades that try to take me over this threshold. Second, I'd also like to limit overall long and short exposure. Meaning I can only have so many open units long and so many short. Both of these ideas are similar (or are?) to what the turtle trading system does.
2) I'm wondering if it's possible to optimize trading systems based upon how correlated the resulting equity curves are. For example, if I wanted to trade the duel movnig average system and a counter trend bollinger band system at the same time, can I optimize the parameters of each system based upon the least amount of correlation between the 2 resulting equity curves?
As I mentioned in a post earlier this week, both of these topics are areas I haven't explored very much if at all and I keep reading that these are the types of things that really make a system "stand out".
Any literature on how to do this in Trading Blox or any help would be greatly appreciated.
Jason
Simulation Questions
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Tim Arnold
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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 trade.
Yes, you can run all three systems at the same time. The best way to check for correlation is really to run them all at the same time stepping various parameters and then sort the results by your favorite goodness measure. Many people like R2 since that measures the smoothness of the curve. More smooth means less correlation. I will send you the R2 statistic block. You can create any custom statistic or goodness measure you want.
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 trade.
Yes, you can run all three systems at the same time. The best way to check for correlation is really to run them all at the same time stepping various parameters and then sort the results by your favorite goodness measure. Many people like R2 since that measures the smoothness of the curve. More smooth means less correlation. I will send you the R2 statistic block. You can create any custom statistic or goodness measure you want.