Traders' Roundtable

Yes but then this would have neutral zones where I am not in the market. I have read about dmac systems such as the one mentioned in c.f.'s book (great read by the way, couldn't put it down) where the system is always in the market. I don't get how positions are sized where a system can be in the ...

How does one size positions properly when using a Duan Moving Average Crossover system? With no stop loss, how can you proplerly size positions to limit risk? Anyone?

Does anyone know if tblox is capable of performing simulations using historical option series data? I would think that if they were added to the futures dictionary, or if a new dictionary were added, this could be done.

Can anyone show me how to add ADX to my system as a filter in Tblox? I simply want to filter out choppy markets and require that ADX be above 20 or 30 before entering a trade.

Thanks in advance.

D

Zentrader,

How can I use your services for stress testing? My first choice is to have a way of generating synthetic data on the fly that I can import into tblox and use as a possible future out of sample data set.

I am not technical enough nor am i inclined to bother with all of the details in ...

Are these hypotheticals using a diversified basket of instruments? If you are running this on a diversified portfolio and havent optimized your parameter settings, I would go with the first one. But if this is on one commoditity or one sector (eg grains) then I would make sure the entries and exits ...

Zen trader...can you offer advice about how to take actual historical data and scramble it to create an unlimited supply of synthetic data? Would like to use this to import into tradingblox and perform stress tests this way.

Tim, I am comfortable with the exact roll setting used by Tblox because these are what we tested our system on. However, I will not be using Tblox to generate live orders. I will be exporting the data from CSI and bringing into another program to run analysis on it, so I will need to know which ...

I am glad you don't use Perpetual. I was worried for a minute that you had been. But yeah these arent a real representation of the history and would be very tough to trade in real time using this continuous contract since the current price is a blend of two forward contracts.

Anyway, the one you ...

Guys, which form of continuous contract from CSI does TBlox use in the data that you provide with the software? I have been running tests using the data that came with the program. Is it Nth Nearest, Perpetual?

If Perpetual, then the current price is not a real price but a blend of two forward (in ...

Are there any major futures contracts traded on North American exchanges that do NOT have minis? I will be trading a basket of liquid contracts and would much rather trade minis but am not sure where I can get a complete list of which do and which do not offer minis as an option.

Thanks in advance.

Is there a way to view the total number of shares traded from the performance results? I trade a strategy on a very large universe of stocks and am trying to get an idea of how many shares I will realistically trade.