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Guest nave

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Guest nave

Hi

I have a trading strategy which I'm working on from really long time. But I'm totally new to this automation process. I'm trying to optimize, backtest and automate my system. I've gone through many of these threads. But the language is too hifi for me. Can anyone help me by clearing some doubts as follows?

 

- Heard that coding can be done in programming languages like vb, c++, java etc... Then what is the use of these third party products like trade station, multicharts etc...? do they provide an easier interface for coding? what else they do?

- Can we write code in any programming language (lets say c++) and make it run on these products?(if not fully may be partially)

- On what criteria should we select these products? please do not say 'based on your requirements'. Please elaborate it so that it can be useful for me.

- Heard that there would be various algorithms for optimization. Do we have to customize them? if yes then on what basis can we do it?

- searched in google a lot. every where people talk about backtesting and optimizing forex trading systems. does these backtesting, optimizing apply only for forex markets or what?

 

Sorry if these questions are too small and stupid for you...but please do answer as they can help many newbies like me.

If you find any article or a book which explains about these aspects please refer it here...

 

Thanks in advance

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a programming language is a method to communicate with the computer...

to get the computer to do a series of calculations,

and then spit out the result in a human-understandable way.

ie through the printer as text, or to the monitor as a graph/chart, etc.

 

C++ is a programming language,

so as VB, or C#, or Java... or EasyLanguage.

 

some languages are easy to learn,

some languages are powerful and flexible, but require more effort to master.

some languages are specialized for statistical/quant calculations,

some languages are designed for trading purposes (eg. EasyLanguage)

 

 

e.g

you can use any computer language to write a program to read the datafeed from eSignal,

then write a routine to parse the data into ticks, seconds, minutes, hours, and days intervals...

then create a system to save them to an easily retrievable realtime database...

then write a method to call the database at will to pull up the specific data you want,

then tell the computer step-by-step how to plot the data in a minute-by-minute bar chart.

and then write a program to add the data together... then divide them by the number of periods to arrive at a moving average,

while holding onto the hundreds of data points of the moving average, teach the computer how to plot a line onto the screen, so that it overlays the bar chart according to the price scale...

and when you write in the code [intrabarordergeneration=true], the computer will know that you want the order sent to the broker immediately, but not wait until the end of the bar.

 

 

...I hope you start to get the big picture.

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Guest nave
a programming language is a method to communicate with the computer...

to get the computer to do a series of calculations,

and then spit out the result in a human-understandable way.

ie through the printer as text, or to the monitor as a graph/chart, etc.

 

C++ is a programming language,

so as VB, or C#, or Java... or EasyLanguage.

 

some languages are easy to learn,

some languages are powerful and flexible, but require more effort to master.

some languages are specialized for statistical/quant calculations,

some languages are designed for trading purposes (eg. EasyLanguage)

 

 

e.g

you can use any computer language to write a program to read the datafeed from eSignal,

then write a routine to parse the data into ticks, seconds, minutes, hours, and days intervals...

then create a system to save them to an easily retrievable realtime database...

then write a method to call the database at will to pull up the specific data you want,

then tell the computer step-by-step how to plot the data in a minute-by-minute bar chart.

and then write a program to add the data together... then divide them by the number of periods to arrive at a moving average,

while holding onto the hundreds of data points of the moving average, teach the computer how to plot a line onto the screen, so that it overlays the bar chart according to the price scale...

and when you write in the code [intrabarordergeneration=true], the computer will know that you want the order sent to the broker immediately, but not wait until the end of the bar.

 

 

...I hope you start to get the big picture.

 

Tams,

Thank you so much for your reply. I clearly understand that things are to complex to code in other languages (c++, vb etc...).

But the selection process is the one causing so much confusion. Having so many platforms available in the market, I'm confused on what basis I should be picking. Thats why I directed the question about what these third party platforms do...

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Tams,

Thank you so much for your reply. I clearly understand that things are to complex to code in other languages (c++, vb etc...).

But the selection process is the one causing so much confusion. Having so many platforms available in the market, I'm confused on what basis I should be picking. Thats why I directed the question about what these third party platforms do...

 

 

sign up for a free demo... and check them out for yourself.

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Guest nave
sign up for a free demo... and check them out for yourself.

 

Thanks for your suggestion...

sure I'll do that...

But a little more help would be appreciated... It can save me lot of time...

I'm just asking on what criteria we can select these products... Where would be the differences in them... I've just checked demos of amibroker and ninjatrader...still clueless...

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"I'm just asking on what criteria we can select these products"

Nave - sign up and use the systems. The criteria is personal.

Maybe you should work out exactly what you require it to do first.

 

There is not really much other alternative, other than paying someone else to do it.

I have spent the last 12-18 months, trailing systems, learning enough of each system, each language to work out what does and does not work for me. I am sure others have similar stories.

Every program has a certain amount of differences - what is important to some people is irrelevant to others, so there is no answer to what you are asking.

eg; my girlfriend has a porsche 911 turbo..... beautiful car etc. But i would never buy one as I dont like them, I prefer a comfortable car rather than a performance machine.

 

I would suggest you need more than a free demo.

Below are some recommendations for ideas.....maybe not 100% accurate, but ....

 

Ninja trader is free until you hook it up to a broker. It uses a C type language. This is a great option to practice on a system that is flexible, free and widely used. It has a wizard to help build and learn the coding. It seems to have a lot of detractors and performance issues recently that are well documented. I initially liked this but found i did not wish to deal with certain issues I did not like with the system.

Multicharts or tradestation - similar language, similar systems. But differing opinions by people (sometimes idealogical). I really liked the feel of multicharts, easy language is great, but the system was slight overkill for what i needed, and missing a couple of things.

Amibroker, Neoticker - I trailed these but just did not like the feel. They seemed very responsive, in depth and able to be used in a complex fashion. for me i did not like this aspect and was not prepared to put in the time to really get into these systems.

Excel - this is an option. Link it into an API into a broker. But why build from scratch

Sierra Chart - my current usage. This nails it for me. Apart from a clunky not very pretty look, it seems to fit all my needs. I can learn and improve C++ programing to get complex. the charting is sufficient and stable, and for what i need I can use their spreadsheets to auto trade a few ideas i use. There is a lot of info to cover to really get used to the system, but for me it has been the most comprehensive help files i have found. Plus its cheap.

 

It may also be that only after trailing the other systems did I find this is the one I liked the most. :haha:

 

All the systems work, have a lot of followers and its just a matter of trial and error, and hopefully you come across a system that you like early on.

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What tools have you been using to design your strategy? Excel or something? How complex is the logic for the system? There are solutions that can be 'scripted' in a fairly straightforward sort of way.

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Guest nave

Siuya,

Thank you so much for your patient explanation. I agree with you. Peoples preferences changes. So, I'm not relying on what others prefer.

In context of the car example given by you, I'm not asking which car is suitable for me. For example If some one who don't know anything about cars asks your help in selection, you would suggest him to compare on basis of performance, comfort, style etc... Some may not care about style or comfort...but still they are the basic criteria on which you compare cars.

In the same way I tried to know for the platforms in an easy way. I thought that 'any how for final selection we have to work on them. but knowing these basic criteria, we may skip a great deal of work'.

Looks like there is no shortcut and I have to go all the way.

further thank you for sharing your experience with various platforms. It is very much useful.

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Guest nave
What tools have you been using to design your strategy? Excel or something? How complex is the logic for the system?

 

I'm totally new to this terminology, so can you please elaborate what you mean by tools? (sorry for my ignorance) and regarding the logic, I don't know how to grade...it is complex thats all I can say...

 

There are solutions that can be 'scripted' in a fairly straightforward sort of way.

Thats a good news. easy solution is always acceptable :)

 

Thanks for your contribution

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By 'tools' I mean what did you use to design your strategy? You say you have been "working on a strategy for a log time". I wonder what you have been doing and what you have been using to do it and, without giving the game away a general idea of the result. (the type of system).

 

If your systems is complex you probably won't need to do much in the way in optimisation. Optimising complex systems needs great care to avoid curve fitting. Curve fitting gives fantastic results on the data used for the optimisation and abject failure on out of sample data.

 

What your system is will dictate the best tools (bits of software) to use to automate it. Does it use traditional technical analysis? or maybe simple price action? Does it look at correlated instruments or maybe it is based on statistics or some sort of qualitative approach. Maybe it requires fundamental information as an input too?

 

I know you asked for answers that where not "it depends on your requirements" but for anyone to give anything but general information they would really need to know more about your strategy and exactly what you want to do. In any case that is the correct answer (it depends on your requirements).

 

The other big question is whether you want to go unattended automation or you are going to keep an eye on things?

 

Forget all the languages platforms optimisers packages and what have you. Approach it from the other end set out what you are trying to achieve the more specific the better.

 

Oh one thing I notice you asked and has not been answered what else to things like Tradestation, Multicharts etc. offer and the answer is they are charting packages. Ninja started off as an order entry software but has developed into pretty full featured charting package. They all farily general purpose and have quite a bit of overlap but there are odd things one or other does better. Based on your requirements :) all might be equally OK or it might steer you in a particular direction. It might rule all out in favour of a more specific package or a more bespoke approach.

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Blowfish,

Sorry for the delay in reply. I did not use much of software... simply a charting software to observe the price action, volumes and other data... Till now I traded on a single instrument. I designed my own indicators. I used excel to apply these indicators on data. All the calculations runs in my mind. But the problem here is, I have to spend every minute observing the market clearly. This prevents me from looking on to other instruments and maintaining a portifolio. That's why I came for automation. Though the strategy is working fine currently, I came to know that optimising the strategy would give better results...Yes Im aware of overfitting problems and I want to take serious care of it.

However, I dont want to be at the mercy of my computer...I'll surely have a look on whats going on.

Thankyou soomuch for your advise...Im trying to work from the other end right now... previously Im dont know where to start and what to start...but now im a bit aware of whats going on and what to do...

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Guest nave

Blowfish,

sorry for the delayed reply. I did not use much of software to design my strategy. I simply used a charting software and a data feed for the market data like price change, volumes etc...

I framed my own indicators by generally avilable market information. During implementation, all the calculations run through my mind. however, I used excel for little support during my implementation. My strategy is working fine giving me profits.

But the cons of it are, I can only apply it on a single instrument as it is required consious observation of market. Thats why Im trying to automate it so that I can look in to other instruments. However, I dont want to be at the mercy of my computer and I would be frequently supervising the system.

Further I used certain parameters whose value is set by me based on my experience with the instrument. But while applying the strategy to other instruments, I have no enough experinece with them to set a value for these parameters. Thus optimisation is required.

Yes, Im aware of the overefitting problem. I'm sure to take care of it during optimisation process...thanks for alerting me...

approaching from the other end...thats a valuble suggestion...thankyou soo much... Im trying to do the same...previouly I dont know where to start and what to start...but now I understand whats going on and what to do...

Edited by nave

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Guest nave

THE EVALUATION AND OPTIMISATION OF TRADING STRATEGIES by Robert Pardo

 

People new to strategy building and optimisation process checkout this book...it can be useful in giving a basic idea about these concepts...

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