Futures Data

[damian]

Hi,

I am a new owner of MS and would like to investigate TradeSim.

I currently know zip about how to create a trading system in MS (although I am experienced in other platforms).

Could I please ask, how does TradeSim manage futures testing? Is it on a dollars basis or a points basis?

cheers
damian

[David Samborsky]

Hello Damian,

Welcome to the forum.

When testing commodities TradeSim uses dollars not points.

[damian]

Thanks David,

This quite exciting to be branching into totally different software (that is, MS). It is a whole new world.

To follow up your helpful answer: I assume then that TS uses a set contract specifications detailing the tick size and point value in dollars?

One final question:

Do I write the system (and create the indicators) in TS or in MS? Also, I very much require the ability to test using stop orders. The TS description gives an indication that stop and limit orders are part of the TS functionality. Is this correct.
I suppose a summary of the above questions would be, is TS a semi-independent testing harness to MS?

Sorry for bombing you with so many direct questions :)

[damian]

Hi David,

Just thought I would let you know that I have tried the demo and:

1. wow!
2. I see now that my futures treatment question was partially redundant. I do have one query (below)
3. I need to learn mor about MS to answer my other TS questions
4. I am very impressed that I can import trade by trade output from another backtesting platform.
5. the user manual is very detailed. It answers a lot of questions.
6. I would love to see the enterprise version. It offers the features that I am most interested in. The user guide gave a good insight to the functionality.

Regarding futures trade data, I see that the point value can be specified, however as you no doubt know, each contract has a different point value, and even then this is a function of how the futures price is expressed, ie T-bill futures: 95.42 and 9542 both have different point values. How does TS handle futures trade by trade data where there are multiple commodities?

I hope you do not mind if I continue to ask questions whilst I continue with the demo period. Should I post here or email?

At first glance, this appears to be quite an exciting and polished tool that you have created, well done!

damian

[David Samborsky]

Hello damian,

By all means post your comments on the forum for all to see.

With regards to futures testing currently TradeSim can only deal with one point value for the whole simulation. We hope to change this so that at the time of generating your trade database you can specify the point value for each trade.

I know of one user who got around this by scaling some of his trade data values in the trade database before loading it back into TradeSim.

[damian]

With regards to futures testing currently TradeSim can only deal with one point value for the whole simulation. We hope to change this so that at the time of generating your trade database you can specify the point value for each trade.


David,

Thanks for the feedback. Your proposed change above is a good idea. It is certainly easy for most testing packages to add one more data field at the end of each trade line, that being point value. It is either that or TS would have to reference a file that holds the point value for each commodity symbol.

Any indications how long/how how on the new feature priority list this might be.

Does TS use the trade P/L that is part of the trade data line, or does it calculate it again based on the entry and exit price. If it is the former then there are analysis that one could run using no position sizing rules at all. At least none specified in TS. The position sizing could be done in the testing software and the P/L of each trade would reflect that trades position size. Then when imported to TS, no contract point value data would be needed. Nor would the user need to specify the position sizing rule. In fact, the user would need to specify "no position sizing at all".

Cheers
damian

ps - Am I correct in understanding that teh paid trial of TS-E is no longer available? I would really like to try out the import 3rd party trade data abilities and also the monte carlo work. I understand if this is not possible.

[David Samborsky]

Hello damian

Thanks for the feedback. Your proposed change above is a good idea. It is certainly easy for most testing packages to add one more data field at the end of each trade line, that being point value. It is either that or TS would have to reference a file that holds the point value for each commodity symbol.

Any indications how long/how how on the new feature priority list this might be.

Can't give you a definite projected time at this stage.

Does TS use the trade P/L that is part of the trade data line, or does it calculate it again based on the entry and exit price

TradeSim uses the entry and or the Initial Stop to compute the position size or number of contracts. Also possition size maybe dependent on your current equity and cash reserves. Of course the exit price is then used to compute the profit/loss for the trade. What you say may not work because it does not take into account commissions and slippage.

ps - Am I correct in understanding that teh paid trial of TS-E is no longer available? I would really like to try out the import 3rd party trade data abilities and also the monte carlo work. I understand if this is not possible.

We may reinstate the 30 day trial of TradeSim Enterprise if we get more interest.