Search found 51 matches

by quantarb
23 Jan 2015
Forum: MultiCharts
Topic: Strategy Performance Breakdown
Replies: 1
Views: 1117

Strategy Performance Breakdown

Portfolio Trader already breaks down the trading performance of each individual symbol. Can we also get a breakdown of each individual strategy?
by quantarb
09 Oct 2014
Forum: MultiCharts
Topic: Portfolio Trader Question
Replies: 3
Views: 1437

Re: Portfolio Trader Question

Hello quantarb, pmms_strategy_currentcontracts - Returns a numerical value representing number of contracts of the position opened by strategy with StrategyIndex number. Thanks for your suggestion, Henry. However, I don't see one for pmms_strategy_currententries. I follow the code example on the wi...
by quantarb
09 Oct 2014
Forum: MultiCharts
Topic: Portfolio Trader Question
Replies: 3
Views: 1437

Portfolio Trader Question

I'm trying to create a modified version of portfolio_currententries. Ex. I want to calculate the number of instruments that have at least two open positions. SPY has 3 open positions, XRT has two open positions, GDX has two open positions, XME has one position, and QQQ has one position. The function...
by quantarb
13 Jun 2014
Forum: MultiCharts
Topic: MULTICHARTS 9.0 BETA 1
Replies: 80
Views: 25880

Re: MULTICHARTS 9.0 BETA 1

The new Multicharts 9.0 beta is amazing especially for automated traders. I'm most excited about portfolio trading and portfolio walk forward analysis! Are there any plans to allow CommandLine to work with Portfolio Trader soon? I need the ability to programmatically load and change symbols. It seem...
by quantarb
18 Apr 2014
Forum: MultiCharts
Topic: Missing features from "Multicharts for TWS" ?
Replies: 5
Views: 1827

Re: Missing features from "Multicharts for TWS" ?

Are there any plans to add "Link TWS symbol lists and charts in MultiCharts" and "Integrated IB symbology" to the regular Multicharts version? I am using regular Multicharts with IB but I need IQ Feed. I am auto trading options I need to update my symbol list every month. It would be great if I didn...
by quantarb
21 Mar 2014
Forum: User Contributed Studies and Indicator Library
Topic: Automated Options Trading
Replies: 2
Views: 6596

Automated Options Trading

I wanted to create this thread to share my experiences with automated options trading on Multicharts. My goal for this thread is to make automated options trading more popular. Hopefully, this will get the developers create and release features for automated options traders as interest in option tra...
by quantarb
30 Jan 2014
Forum: MultiCharts
Topic: Incorrect Backtests on Instruments with Negative Prices [SOLVED]
Replies: 15
Views: 5934

Re: Incorrect Backtests on Instruments with Negative Prices [SOLVED]

If you are doing spread trading it is probably better to use the ratio of two instruments rather than their difference. If Stock #1 is $100 and Stock #2 is $50 and their ratio is 2 and their spread is $50. However, if Stock 1 and Stock 2 double their ratio remains 2 while their spread becomes $100. ...
by quantarb
07 Jan 2014
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Have you solved the issue with the error message? Please post the solution.
No, I have not. There is currently an issue with using walk forward optimization where Multicharts will stop the WFO a few days before current date even though you're using an OOS of 1 day.
by quantarb
13 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

I tried to follow the ADE documentation, but I'm not sure where I went wrong. It seems for some reason, ADE is not storing the data. I get the following error when I set Optimization to false. I got Multicharts to output the data correctly in my previous post. Any help or suggestion would be greatly...
by quantarb
11 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

The problem I'm running into is how do I store values using ADE when the calculations aren't done by signal but rather than the walk forward report. Anyone have any idea how to implement this? Not sure if I follow you, but the calculations in a WFA are still done by the signal; the inputs and time ...
by quantarb
11 Dec 2013
Forum: MultiCharts
Topic: MULTICHARTS 8.8 RELEASE
Replies: 139
Views: 50749

Re: MULTICHARTS 8.8 RELEASE

I'm running into similar issues. Some charts aren't loading up correctly when I start up Multicharts. I am able to fix this problem by using reload data through.
by quantarb
11 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Thanks for all the help so far guys. I went to the link you guys posted. I am still waiting for TradersXchange to approve my account before I can download the file. On their forums, I stumbled on ADE(All Data Everywhere), and this might be better suited for what I'm trying to do. "ADE includes the a...
by quantarb
11 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Hi Henry, Thank you for letting me know that Multicharts is considering implementing my suggestion. Also, do you know where I can download ElExcel.dll? I tried to search for it on the forum, but only came across old threads where the download link no longer works. Does ElExcel only work with one ins...
by quantarb
10 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Does anyone know of a dll that is able to transfer data between Microsoft Access and Multicharts. I'm thinking about storing the optimal parameter values in a database and then retrieving the values from a database onto a indicator. This will be more much elegant approach than using custom symbols.
by quantarb
06 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

It would be wonderful if the developers at Multicharts can make CWFA into a standard feature. I had to perform a ton of unnecessary steps, because I had to extract the data from the WFO report manually. Then, I had to load the data back as a custom instrument for the strategy to access. CWFA can be ...
by quantarb
06 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

CWFA provides several major advantages over the Walk Forward Optimization (WFO) process that Multicharts currently uses. 1. You are able to generate a single backtest report that shows how your trading strategy would have performed out of sample data from periodic re-optimization. The current WFO re...
by quantarb
06 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Here are the steps to the procedure I devised for implementing CWFA 1. Set the input Optimization to “True”, and use traditional walk forward optimization to find the optimal trading parameters: Length and NumDevs for each out of sample period. In my example, I used an IS period of 1 year and OOS pe...
by quantarb
06 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Re: Continuous Walk Forward Analysis (CWFA)

Trading strategy code template for using CWFA I created a simple long only trading strategy that buys when price reaches the lower Bollinger Band, and sells when the price reaches the upper Bollinger Band. The trading strategy will serve as an example for implementing CWFA. I want to optimize the lo...
by quantarb
06 Dec 2013
Forum: MultiCharts
Topic: Continuous Walk Forward Analysis (CWFA)
Replies: 17
Views: 8348

Continuous Walk Forward Analysis (CWFA)

Hi guys, I figured out a way to implement Continuous Walk Forward Analysis (CWFA) on Multicharts. The main idea behind CWFA is using the optimal trading parameters for each out of sample period. As a result, your trading strategy is able to run continuously without interference from periodic re-opti...
by quantarb
24 Nov 2013
Forum: MultiCharts
Topic: Suggest new fields for Accounts tab Order&Position tracker
Replies: 15
Views: 10011

Re: Suggest new fields for Accounts tab Order&Position track

I believe Interactive Brokers API now lets you access the account information for the entire FA account without having to deal with the sub accounts. Multicharts still tries to access each sub accounts individually calculate the account information for the FA. It makes the order and position tracker...
by quantarb
30 Sep 2013
Forum: MultiCharts
Topic: MultiCharts Portfolio Trading Strategies
Replies: 14
Views: 9909

Re: MultiCharts Portfolio Trading Strategies

Any updates on when portfolio trading will be made available?
by quantarb
17 Jul 2013
Forum: MultiCharts
Topic: IB Gateway issues
Replies: 2
Views: 2048

Re: IB Gateway issues

I been having the same issues with getting the IB feed and IB gateway working together. Eventually, I just switch to using IQ Feed exclusively.
by quantarb
05 Jul 2013
Forum: MultiCharts
Topic: MultiCharts Portfolio Trading Strategies
Replies: 14
Views: 9909

Re: MultiCharts Portfolio Trading Strategies

Pairs and Spread Trading Give us the ability to trade sub charts - data2, data3, data4, etc. This will reduce the numbers of chart required for pairs and triplets trading. Currently, we need to open two charts to do pairs trading because we can only trade data1. Each chart requires two subcharts - d...
by quantarb
05 Jul 2013
Forum: MultiCharts
Topic: MultiCharts Portfolio Trading Strategies
Replies: 14
Views: 9909

Re: MultiCharts Portfolio Trading Strategies

Hi Henry, Does this mean you guys are almost done with portfolio trading, and it will be available for public beta testing soon? I would like the ability to access each individual symbols as well as every symbol in the list via power language. This would allow you to create a generic strategy instea...
by quantarb
27 Jun 2013
Forum: MultiCharts
Topic: New Feature Request: Smart Symbol for Futures and Options
Replies: 1
Views: 2112

New Feature Request: Smart Symbol for Futures and Options

When you’re trading futures and options you often need to change the instrument you’re trading because these instruments have finite life spans. It would be great if you can have a chart that can automatically load the correct futures or options contact that fits your criteria. For instance, I want ...
by quantarb
24 Jun 2013
Forum: MultiCharts
Topic: Suggestions, annoyances, small bugs
Replies: 119
Views: 57342

Re: Suggestions, annoyances, small bugs

One thing that really annoys me is when you use Windows -> Arrange All is that it rearranges the charts in a randomized fashion. I would like the ability for my charts to be arranged alphabetically when I use this option.
by quantarb
07 Jun 2013
Forum: MultiCharts
Topic: Suggestions, annoyances, small bugs
Replies: 119
Views: 57342

Re: Suggestions, annoyances, small bugs

I'm currently auto trading options using Multicharts. I have to frequently add and remove different options to quote manager. At the moment, you can only search for options using symbol name and exchange name. I have to go through a long list of options before I find what I'm looking for. Please in...
by quantarb
06 Jun 2013
Forum: MultiCharts
Topic: Portfolio Trading
Replies: 47
Views: 19934

Re: Portfolio Trading

How soon before Multicharts 9.0 beta will be release to the public? Will Multicharts 9.0 beta be the next public beta? Or we going to continue with minor updates Multicharts 8.7 beta 3, Multicharts 8.8 beta 1, Multicharts 8.8 beta 2, Multicharts 8.8 beta 3, Multicharts 8.9 beta 1, Multicharts 8.9 be...
by quantarb
06 Jun 2013
Forum: MultiCharts
Topic: Suggestions, annoyances, small bugs
Replies: 119
Views: 57342

Re: Suggestions, annoyances, small bugs

I'm currently auto trading options using Multicharts. I have to frequently add and remove different options to quote manager. At the moment, you can only search for options using symbol name and exchange name. I have to go through a long list of options before I find what I'm looking for. Please inc...
by quantarb
02 May 2013
Forum: MultiCharts
Topic: Suggestions, annoyances, small bugs
Replies: 119
Views: 57342

Re: Suggestions, annoyances, small bugs

Give us the ability to set default value, start value, end value, and step for each inputs in the strategy logic. This way when we click optimize all those values are filled out for us. Ex. Input: FastLen(20, 10, 100, 10); The default value is 20, start value is 10, end value is 100, and step is 10.
by quantarb
02 May 2013
Forum: MultiCharts
Topic: Please vote for my new feature: Sequential Optimization
Replies: 2
Views: 1778

Re: Please vote for my new feature: Sequential Optimization

Hello quantarb, That is already possible to optimize signals one by one in MultiCharts 8.5 Release. Check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input. Hi Henry, I'm aware you can enable/disable optimization for each parameter. Th...
by quantarb
02 May 2013
Forum: MultiCharts
Topic: Please vote for my new feature: Sequential Optimization
Replies: 2
Views: 1778

Please vote for my new feature: Sequential Optimization

Please add the option to optimize each signal individually one at a time in the order they are presented on the chart. This will greatly reduce the number of simulations require to find the optimal values. This will especially useful for optimizing multiple trading strategies in portfolio backtester...
by quantarb
01 May 2013
Forum: MultiCharts
Topic: Suggestions, annoyances, small bugs
Replies: 119
Views: 57342

Re: Suggestions, annoyances, small bugs

I wish Multicharts can do Walk Forward Optimization based on calendar months and years like AB. They should give us more options like month and year rather just than days and bars. I can set my in-sample period in AB to 1 year with the start date being 1/1/2011 and the end date being 12/31/2011. I t...
by quantarb
01 May 2013
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Re: Equity Curve Trading through Paper Account

I just wanted to share with you guys the progress I have made with equity curve trading. Opening two charts to equity curve trading is very computational inefficient and impractical if you are trading many symbols and strategies. My goal is to create an equity curve trading algorithm using only one ...
by quantarb
04 Mar 2013
Forum: MultiCharts
Topic: Help! Limiting entries by time
Replies: 7
Views: 2348

Re: Help! Limiting entries by time

You could try something like this.

Code: Select all

// Enable order entry at the start of each new day

if Date <> Date[1] then
begin
OrderEntryEnabled = true;
end;

//
if MarketPosition <> MarketPosition[1] then
begin
OrderEntryEnabled = false;
end;

by quantarb
07 Jan 2013
Forum: MultiCharts
Topic: using walk forward test results
Replies: 27
Views: 10847

Re: Walk forward analysis for Multicharts

MC deserves praise for having Walk-Forward Analysis (WFA) present in the platform. This ensures that everyone is at a minimum exposed to the concept to stimulate their desire for more knowledge about it. However it is also true what some have said above that WFA is a deep subject deserving of in-de...
by quantarb
07 Jan 2013
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Re: Equity Curve Trading through Paper Account

Now I want to see if I can create an equity curve trading based on a strategy's portfolio equity curve. Often times my mean reverting strategies will be all long or all a particular basket of stocks that are highly correlated. I found the turning point is usually when the portfolio PnL of this baske...
by quantarb
05 Jan 2013
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Re: Equity Curve Trading through Paper Account

I figured out that you can back test your equity trading curve strategy through portfolio backtester and global variables. You add the strategy you want to paper trade as Strategy #1 in the portfolio backtester and the equity trading curve trading strategy as Strategy #2. For Strategy #1 you want to...
by quantarb
05 Jan 2013
Forum: MultiCharts
Topic: using walk forward test results
Replies: 27
Views: 10847

Re: using walk forward test results

Is it correct to say that walk-forward optimization answers the following question: "If you have a trading system that you plan on periodically re-optimizing, how effective is that periodic re-optimization process?" In other words, are the system rules robust enough so that parameters discovered th...
by quantarb
03 Jan 2013
Forum: MultiCharts
Topic: Portfolio Trading
Replies: 47
Views: 19934

Re: Portfolio Trading

Hi Dave, Thank you for answering my question. The problem with the .net code is you have to define every symbol or pair in your strategy. This approach is too unwieldy for pair trading. If I need to change instruments or add instruments I would have to rewrite my code each time. Pair or spread tradi...
by quantarb
02 Jan 2013
Forum: MultiCharts
Topic: Portfolio Trading
Replies: 47
Views: 19934

Re: Portfolio Trading

Will your upcoming portfolio trading allow us the ability to trade our subcharts (data 2, data3, dat4, etc)? Does this current ability exists in Multicharts.Net?
by quantarb
02 Jan 2013
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Re: Equity Curve Trading through Paper Account

Here is the code that I have come up with so far. I will need to get another IB account before I can test this code. If anyone with multiple IB accounts would like to test my code please let me know how it goes. Input: PaperAccountNum(""), NegativePnL(0); Variables: PaperPnl(0), PaperQty(0),PaperAvg...
by quantarb
27 Dec 2012
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Re: Equity Curve Trading through Paper Account

Hi Andrew, Thank you for your feedback. What syntax do I use to access the OpenPnl for an account? Here is the current pseudo code that I'm thinking about. If Account#1OpenPnl > -3000 and Account#1MarketPosition = 1 then begin Buy Account1CurrentShares shares at AvgProc - 0.50 limit; end; If Account...
by quantarb
20 Dec 2012
Forum: MultiCharts
Topic: Equity Curve Trading through Paper Account
Replies: 8
Views: 6978

Equity Curve Trading through Paper Account

Is it is possible to trade your trading strategy’s equity curve by using multiple Interactive Broker accounts. I’m thinking trading the strategy in a simulated account and then trading the equity curve in the real account. Here is what I’m thinking so far. Signal #1 Send orders to IB paper account w...
by quantarb
12 Dec 2012
Forum: MultiCharts
Topic: Portfolio Trading
Replies: 47
Views: 19934

Re: Portfolio Trading

I’m really glad that portfolio trading is back on the project management page. I was worried that portfolio trading wasn’t going to happen when it was temporarily removed from the project management page. I think the current setup in the portfolio back tester should be how this portfolio trading too...
by quantarb
15 Nov 2012
Forum: MultiCharts
Topic: Custom Criteria – creating your own optimization criteria
Replies: 28
Views: 35948

Re: Custom Criteria – creating your own optimization criteri

Hello guys, I found this thread to be really helpful. I’m currently using Sunny Harris CPC index as a custom fitness value for optimizing my strategies in Multicharts. However, sometimes I get trading parameters with a good CPC index but with a very low number of trades. This concerns me because the...
by quantarb
04 Nov 2012
Forum: MultiCharts
Topic: Portfolio and Multi-Strategy Walk Forward Optimization
Replies: 8
Views: 3442

Re: Portfolio and Multi-Strategy Walk Forward Optimization

quantarb, 50 day moving average cannot be calculated on the first day because it implies summation of 50 values and division by 50. Only after the value is calculated for the requested length, an order can be generated on the 51st bar. Hi Henry, Thank you for your reply. I understand that with the ...
by quantarb
22 Oct 2012
Forum: MultiCharts
Topic: Optimizing Boolean Parameters
Replies: 3
Views: 1206

Re: Optimizing Boolean Parameters

Hello TJ, Thank you for your suggestion. I came up with the following solution. I can then find whether the optimal value is one or zero. Input: Strategy(0); if Strategy <> 0 then begin condition99 = "insert your condition" Else begin Condition99 = true; end; If MarketPosition = 0 and Condition99 then
by quantarb
20 Oct 2012
Forum: MultiCharts
Topic: Optimizing Boolean Parameters
Replies: 3
Views: 1206

Optimizing Boolean Parameters

Optimizing Boolean Parameters
Hello, I am wondering how I go about optimizing Boolean parameters.

Ex.
I’m trying to find if the optimal value is true or false.
If condition1 = true then buy vs if condition1 = false then buy.

Any ideas?
by quantarb
25 Sep 2012
Forum: MultiCharts
Topic: Portfolio and Multi-Strategy Walk Forward Optimization
Replies: 8
Views: 3442

Re: Portfolio and Multi-Strategy Walk Forward Optimization

That is great news Henry. One major improvement to walk forward optimization would be the ability for the out-sample of data strategy to access enough historical data so it can start trading on the first day. For example, suppose I only want to test a strategy that involves the 50 day moving average...
by quantarb
24 Sep 2012
Forum: MultiCharts
Topic: Portfolio and Multi-Strategy Walk Forward Optimization
Replies: 8
Views: 3442

Portfolio and Multi-Strategy Walk Forward Optimization

Hello, I was wondering when the portfolio back tester will have walk forward optimization. Right now you can back test baskets of stocks but without walk forward optimization there is no way to validate how well the strategies will perform out of sample. Another great feature would be multi-strategy...

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