Traders' Roundtable

Dear Roger, Sluggo - once again thanks for sharing your thoughts on the forum.

Dantes

Hi Roger, thanks for the quick reply.

The calculation was actually clear, but I still don't see why one needs to have
Order_Risk = 2.0 * MyATR * Instrument.BigPointValue
as opposed to just
Order_Risk = MyATR * Instrument.BigPointValue ?

Why would you multiply the ATR value times 2?

Thanks ...

Dear Roger, Sluggo,

I'm probably just being dense here... but I was taught that if you don't ask, you never learn...

I don't quite understand what the " 2.0 * " is for in the formula below from the Unit Size script in the RandomExit_blox_MoneyManager Blox?
Order.SetQuantity ( (RiskPct * Test ...

Mojojojo, drm7 - thanks for your input.

I'm starting from the assumption that trend following returns resemble those of lookback straddles: http://edge-fund.com/~msewell123/FuHs01.pdf

Specifically, trend followers tend to perform as if they are long "volatility" and "market event risk," in the ...

Thank you Sluggo - let's see if my team of programmers (i.e. me) is up to the task...

Dantes

Dear TB community,

I am trying to develop a systematic strategy on options and would love to hear opinions on its feasibility.

Let's assume the strategy goes like this:

1. At the beginning of each month, select a strike +/- X from current spot level
2. Within this universe, get call/put prices ...

Thank you Roger.

For some reason I had missed your kind pointer - it now works perfectly!

Dantes

Dear Tim,

Any chance you could point me in the right direction for this?

Thank you,
Dantes

Anthony - thanks for the feedback and again for posting the model, which led me to questioning some important assumptions.

Looking also at this other post on MAR ratios for reporting CTA's, one also gets a good picture of what is actually achievable in the real world vs backtesting:
http://www ...

I believe this is the post Sluggo's referring to?

viewtopic.php?t=6281&highlight=

Hi Anthony,

Thanks for your reply.

I'm using the settings you suggested on a portfolio of 116 futures with the following sectors:
Bonds 16
Energy 8
Currencies 18 - both USD and non USD crosses
Grains 10
Stock Indices 25
Interest Rates 9
Meats 3
Metals 13
Softs 14

I get however results that are ...

Dear Sluggo, Tim,

I have been trying to use these blocks without success on TBB v3.8 x64.

Is it necessary to change the code to make it work with this newer version of TBB?

Using the blox as posted, variable "UnitSize" in the RandomExit_blox_MoneyManager is undefined.

However even after defining ...

Dear Anthony -

Thanks for such an interesting post.

Would you mind sharing some more detail around how many sectors you're using for your backtest, and how you defined them?

I have been trying to replicate your results and I'm under the impression sector rules/definitions play quite a big role ...

Hello everybody,

I'm looking to implement an intraday Forex strategy, and searching for the best way to combine TBB's backtesting capabilities with intraday autotrading.

I work with hourly bars and want to completely automate execution.

Attached is a flowchart of what I have in mind.

The way I ...

Thanks Sluggo - very helpful.

Another thing I like about TB is the very knowledgeable and responsive user base...

Thank you Sluggo.

I'll try to be clearer with an example.

I would like to store the simulation results data for in a format that allows further numerical analysis in Excel/R/MATLAB/you-name-it.

Let's say for example that I build and backtest ten variations of the same system, stepping parameter ...

Hello everybody -

I'm enjoying the TBB free trial and have a couple questions I could not find answers to:

1. How can I export the performance results in a .txt file?

2. How can I export .txt data of what is visualized as chart-only in the performance results?
(i.e. Monte Carlo CAGR %, Monte ...

Hello -

I am new to TB and would greatly appreciate a little help on the questions below:

1. How does one add new data from external source to TBB? You just create a new file with the required formatting in the Stocks dictionary folder?

2.How do you automate end-of-day stock data upload into TBB ...