I am starting to think on investing on a new platform as well.. currently i’m with metastock but i find this one lacks so many things in terms of testing strategies…

you speak very well of TB and from the looks of it, it seems very good… but what about traders studio? I also hear very good things from it… TB versus traders studio ? do you find that traders studio is worse than TB ?

Another short question:
Now that you own Blox, would you buy Amibroker if you didn’t own it already?
I’m asking because I’ve been following Blox’ development pretty much from the start in 2003 (when Curtis Faith was still there), and in the long run I guess I have to buy it.
But right now – rather than classic porfolio-level testing – I am looking for a decent piece of software to quickly test isolated ideas and validate claims I read in books etc (in other words – rather simple stuff). And for doing this I am considering Amibroker Pro.

One question: Did you consider Mechanica when buying Trading Blox – as I would guess that Mechanica is the primary competitor of Blox (comparable functionality – similar price)?
It seems like it’s even harder to get info about Mechanica than about Blox.

@WTP – thanks for the kind words. The system rules are detailed in the linked pages from Trading Blox. But in essence, systems trade long and short, there is no fixed instrument allocation (ie the systems take the signals on any instrument that generate them – risking 1% of equity, a sort of dynamic allocation if you like). So if positions for all instruments are flat today and “fire long” tomorrow, the system risks 1% times the number of instruments (this is not sophisticated MM strategy but a) this is a draft version and b) this is not the main objective of the report). No trade friction indeed (no commissions, slippage).

@Pumpernickel. Thanks for the comments. I agree with most of them actually: as mentioned this is version 0.1 of the report and I just wanted to get something out there to get things flowing (and also generate useful comments/improvements). Re: Donchian system – this is actually the system I use all the time and I just wanted to use other ones for this first draft. In my mind the report/”benchmark” will have at least 7-8 systems and I fully expect the Donchian to be one of them. I did not use the ATR Channel system though, only Bollinger Bands, MA Crossover and Triple MA…

Good idea about using the RT stats from TB – although similarly, I might try and run systems over a more granular choice of parameters anyway (ie more of them) – grouping them by RT “like the pros” is indeed probably the best way to classify them

Re; portfolio: this is something I havent got round to doing: I have the World Futures package from CSI (for the same reason that you highlight) but havent extracted/linked them to TB yet… Will probably include some of your points on-board for next month’s version

Jez

Two of your three systems are blood relatives — half brothers as it were. “Bollinger Breakout” and “ATR Channel Breakout” are both volatility envelope systems. Both draw a moving average on the chart, and both draw an UpperBand and a LowerBand on the chart, whose distance from the moving average is some multiple of volatility. Both enter long when price exceeds the upper band, enter short when price falls below the lower band, etc. The only difference is the choice of how to measure volatility; BB uses StandardDeviation for volatility, ATR-CBO uses ATR. A bit of a distinction without a difference.

All three of your systems trade using “market on the open” orders. Astonishingly, you purport to build a proxy of professional trendfollowing traders without ANY Donchian Breakout systems (buy at the highest high of the past N bars) and without ANY stop-orders for trade entry! Holy mackerel.

I would recommend you rejigger your choice of parameter values that define “Short”, “Medium”, and “Long” term trendfollowing. Since you’re using Blox, leverage its handy (and regrettably uncommon among competitor sw) Round Turns Per Year per Million statistic. Short term TF would have >5000 RT/y/M$, Medium term TF would have 1500 to 2000 RT/y/M$, and Long term TF would have <1000 RT/y/M$. Just like the pros. Also choose the betsizes to normalize standard deviation of monthly returns, juggling the per trade risk until all 9 systems have the same SD.

Finally, the convenient portfolio is not the representative portfolio. Yours is diversified in the sense that it has contracts traded both in Chicago AND in New York. But there are exchanges in Europe too. And Asia, Australia, Africa. Professional trendfollowing traders actually do trade them. In fact the contract with the world's highest Front Month volume, trades on Eurex in Frankfurt, Germany. Just FYI.

Could you clarify the “system rules” a bit. I take it the trades go both long and short, with equal allocations of equity to each instrument? The – position sizing rules of 1% per new trade; you take only one signal in the same direction, right? When all instruments fire long, are you using 100% of the portfolio equity?

No commissions, slippage, etc. I assume.

Thanks