Developing a mechanical system from scratch

[Gringotts Bank]

Likely Multi-charts and IB. So i need to get the operational versions all re-coded in EL.

I've had so many ideas to code over the years but couldn't find a decent coder that was reasonably priced, friendly and fast....until this year. Its been a great year for system development and because i have a quiet office, i get allot of work done.

Yeh some people definitely have a knack for coding - speed/precision/originality. The best of the best seem to write in 2 lines what others take 50 lines to do. Trash used to be like that with AB.

When you go live with the automation, can you post a video? Would like to see how it works.

 

[CanOz]

Yeh some people definitely have a knack for coding - speed/precision/originality. The best of the best seem to write in 2 lines what others take 50 lines to do. Trash used to be like that with AB.

When you go live with the automation, can you post a video? Would like to see how it works.

Sure, i'm tryng to have them setup before i go home tonight and i can do some video tomorrow.

 

[Lone Wolf]

Likely Multi-charts and IB. So i need to get the operational versions all re-coded in EL.

I recall having some kind of issue with multicharts auto trading and IB. I think something like if there was a momentary disconnection from IB servers, multicharts would turn off auto trading and wouldn't automatically restart. If it dropped connection while in a trade, you had to close manually through IB.

This was a very long time ago and may have been fixed now. But it might be worth pulling the plug on your internet during the test phase so you know what to expect when money is on the line. Not so much a problem if you don't intend to leave the PC.

Edit:
Actually I just remembered it was slightly worse than that. Multicharts appeared to be working fine, auto trade was on and connected to IB. But after the interruption it no longer generated orders. So the system was actually off, but looked like it was on.

 

[CanOz]

I recall having some kind of issue with multicharts auto trading and IB. I think something like if there was a momentary disconnection from IB servers, multicharts would turn off auto trading and wouldn't automatically restart. If it dropped connection while in a trade, you had to close manually through IB.

This was a very long time ago and may have been fixed now. But it might be worth pulling the plug on your internet during the test phase so you know what to expect when money is on the line. Not so much a problem if you don't intend to leave the PC.

Edit:
Actually I just remembered it was slightly worse than that. Multicharts appeared to be working fine, auto trade was on and connected to IB. But after the interruption it no longer generated orders. So the system was actually off, but looked like it was on.

Thanks for that Wolf, i'll keep that in mind.

 

[CanOz]

The HHI is a real pain to automate. IB's historical data is not continuous, so in order to trade the first three days of the month i have to shut off a filter and virtually force it to take trades when they're required. I don't this is a problem other than i'll have to be at the PC all day.

 

[CanOz]

Hey, i've been here ten years and almost 10,000 posts...not so much as a brass razoo from Joe!!

 

[CanOz]

Here's a trend following system thats tests well on Soy Beans. The win rate is only 38%, a bit low. Any suggestions on a filter?

 

[Gringotts Bank]

Here's a trend following system thats tests well on Soy Beans. The win rate is only 38%, a bit low. Any suggestions on a filter?

I have one. Count the number of soy milk cartons on sale in your local Supermarket!

You could do worse.

 

[CanOz]

I have one. Count the number of soy milk cartons on sale in your local Supermarket!

You could do worse.

Yeah, i could have an insider at Coles and Woolied sending real time inventory counts, develop an API for that input. Hmmmmhow am i going to back test that?

 

[Roller_1]

are you using an index filter of some type, ie, C > 100 day MA. Could go long/short depening on the trend

 

[CanOz]

Got a rare signal on my CL Counter Trend strategy finally....

 

[CanOz]

are you using an index filter of some type, ie, C > 100 day MA. Could go long/short depending on the trend

No, none at all. Only a narrow range filter. It tests best at NR4. It takes trade when yesterday was the narrowest range of the last 4 days.

I looked at volatility, doesn't seem to be anything there either....

It has no problem getting in on a trend, the problem is false signals. Perhaps a seasonal filter?

 

[CanOz]

This is a Counter Trend system for GC. Can't figure out why the big change in performance. This could be due to gold trading in Asia. Can anyone fill me in on when gold begun trading heavily in Asia?

Hmmm, never mind, the peak in gold was in 2011. i think i need to use a prices adjusted volatility measure...

 

[CanOz]

I need a volatility filter that works as a % of Price. Anyone got any ideas how to plot the ATR as a percentage of price in Amibroker?

 

[RowanC]

I need a volatility filter that works as a % of Price. Anyone got any ideas how to plot the ATR as a percentage of price in Amibroker?

Not sure exactly what you mean but at a glance...

n = 10;
TR = ATR(n);
perc_ATR = TR / C;
Plot(perc_ATR, "Percent ATR", colorBrightGreen, styleLine);

 

[CanOz]

Not sure exactly what you mean but at a glance...

n = 10;
TR = ATR(n);
perc_ATR = TR / C;
Plot(perc_ATR, "Percent ATR", colorBrightGreen, styleLine);

Thats it, perfect. Why doesn't anyone else use this? It seems logical for instruments that have more price volatility over time than other...

Thanks Rowan!

 

[CanOz]

I'll get this coded and use it on my ninjatrader strats and see how it tests...

 

[RowanC]

Thats it, perfect. Why doesn't anyone else use this? It seems logical for instruments that have more price volatility over time than other...

Thanks Rowan!

No worries CanOz.

I like the concept of volatility for building strategies, specifically volatility compression and expansion. To me it makes a lot of sense especially for futures which have a tendency to breakout from areas of volatility compression.

 

[CanOz]

No worries CanOz.

I like the concept of volatility for building strategies, specifically volatility compression and expansion. To me it makes a lot of sense especially for futures which have a tendency to breakout from areas of volatility compression.

Yeah exactly, i use narrow range filters as well, but the price volatility is better for regimes i reckon.

 

[Roller_1]

I read a paper the other day to do with volatility, basically for trend following you are better off with low volatility stocks compared to higher volatility. Can't remember where or who it was though.... not real handy lol