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This appears to be a 2-person conversation that started as a reply but now
deals in depth with a subject that I suspect most list members are not
particularly interested in. You may find it more convenient to discuss this
in private.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, February 27, 2002 5:02 PM
Subject: Re: AW: Wealth Lab - was - Wealth Crap
> Volker,
>
> >++ I think he means that he would like to see Wealth Lab maintain a
> >++ database of all the different futures contracts specifications.
> >
> >Since we are not a data provider (yet) we do not maintain a database. But
> >you can specify your own futures contracts with
> >
> >1. point value
> >2. margin
>
> These things are pretty much invariant; they don't depend on the
> data provider. They are basic facts about a futures contract, like
> trading hours, point values, option strike increments, minimum
> allowable movement, and so on. There is no reason to have to input
> all that manually. If I tell the software that the root ticker
> symbol is GC, the software should immediately configure itself for
> Comex Gold, using $100/basis point.
>
> I say again, this is a pretty basic requirement for futures traders.
>
> >We plan to do that with our own data. It is impossible to know that
> >for any software, because every data vendor uses different names
> >for different future contracts.
>
> That's false. The names, and especially the ticker symbols, are
> pretty well standardized, with just a few minor exceptions like JO
> vs OJ for Orange Juice, or GO vs GC for gold.
>
> >This will be added once we have our own data. Also margin
> >is changing all the time, so is point value from time to time.
>
> Margin requirements do change, but there still should be a database
> of them for the user to change.
>
> Point values rarely EVER change. 100 ounces of gold will always
> have the same point value, forever. The only time it may change
> is if the contract size changes, for example when Lumber went from
> 160,000 to 80,000 board-feet. That is a rare occurrence. Again,
> there's no reason not to maintain a database of these facts --
> ESPECIALLY for anybody wanting to analyze a portfolio of contracts.
>
> >Most people want to use there data provider, so we would like to allow
them
> >to use any data vendor. Of course that means additional work.
>
> The only differences are data formats, like how dates are
> represented, whether the data are tab or comma delimited, etc. Not
> many differences. I wrote an import routine to support 5 different
> data sources once. It's not hard!
>
> >++ This is a critical feature, *especially* when testing
> >++ a portfolio of futures, all having different point values and margin
> >++ requirements.
> >
> >You can adjust that on your own... very easy.
>
> Does the software remember that ES is $50 and SP is $200 and O is $25
> (or whatever)? In other words: is there a database? Or is it something
> the user has to set manually for every situation?
>
> >I think most of your concerns are solved already. I see WLD2 as a mixture
of
> >Trading Recipies and Trade Station 2000i. I must admit WLD2 is very
complex
> >and has so many feature that even out hardcore users dont know them all.
But
> >surely not all requests are included yet.
>
> That's nice to know. Now if only you could fix the language to be more
> EL-like and less Pascal-like, without the need for bookkeeping....
>
> While I have your attention, here's one feature I would really
> like to see -- let me know if you've done it: I want to be able
> to optimize custom results. TS2000 lets you optimize net profit,
> win/loss ratio, and a bunch of other canned analysis results. But
> suppose I had my own version of the Sharpe Ratio, or my own idea
> of how to measure system performance, and I could express it in a
> function? THAT's what I'd want to optimize, not what the software
> already provides. I'd like have available an empty function whose
> result the optimizer checks, and that function I'd fill in with my
> own code, using inputs like equity, number of trades so far, length
> of time in trade, and so on.
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> //___) Unicorn Research Corporation -- http://unicorn.us.com
>
>
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