Ok thanks for the reply. This functionality would be a great enhancement to the Multicharts platform. Please consider it for future versions.
Thanks
Adam
Search found 20 matches
- 02 Nov 2010
- Forum: MultiCharts
- Topic: Incorporating bid-ask spread into portfolio backtest
- Replies: 3
- Views: 1851
- 02 Nov 2010
- Forum: MultiCharts
- Topic: How to set BigPointValue within strategy code?
- Replies: 6
- Views: 1659
- 02 Nov 2010
- Forum: MultiCharts
- Topic: How to set BigPointValue within strategy code?
- Replies: 6
- Views: 1659
Re: How to set BigPointValue within strategy code?
Dave, Thanks for the reply. Being able to configure BPV dynamically is required in order to execute proper risk management/position sizing during back-testing. I am sure you have had this request before, but if not, may I suggest adding to MC the ability to either (1) set BPV from within code, or (2...
- 01 Nov 2010
- Forum: MultiCharts
- Topic: How to set BigPointValue within strategy code?
- Replies: 6
- Views: 1659
How to set BigPointValue within strategy code?
Hi,
I would like to set BigPointValue (BPV) within my strategy's code. Can someone please give me some assistance in writing the code that will set BPV such that all my performance stats are in dollars. Keep in mind that there are cross currency pairs such as GBPJPY.
Thanks
Adam
I would like to set BigPointValue (BPV) within my strategy's code. Can someone please give me some assistance in writing the code that will set BPV such that all my performance stats are in dollars. Keep in mind that there are cross currency pairs such as GBPJPY.
Thanks
Adam
- 28 Oct 2010
- Forum: MultiCharts
- Topic: Sharpe ratio
- Replies: 4
- Views: 1581
Re: Sharpe ratio
Thanks for the reply Tobias.
As a substitute for Sharpe ratio, I would like to do linear regression on the equity curve (ie the slope of the equity curve). Any ideas how to calculate that?
Thanks in advance,
Adam
As a substitute for Sharpe ratio, I would like to do linear regression on the equity curve (ie the slope of the equity curve). Any ideas how to calculate that?
Thanks in advance,
Adam
- 27 Oct 2010
- Forum: MultiCharts
- Topic: Sharpe ratio
- Replies: 4
- Views: 1581
Sharpe ratio
Hi, Does anyone know how to run a portfolio optimization based on the Sharpe ratio? I am surprise that there are not reserved words for the most common performance ratios, e.g. Sharpe, Sortino etc. When I tried to do a portfolio optimization using Custom Criteria, I could not figure out how to refer...
- 21 Oct 2010
- Forum: MultiCharts
- Topic: Incorporating bid-ask spread into portfolio backtest
- Replies: 3
- Views: 1851
Incorporating bid-ask spread into portfolio backtest
Is it possible to incorporate the bid-ask spread into a portfolio backtest using PortfolioBacktester? It appears as though the user can only select BID, ASK, or TRADE when configuring a portfolio backtest. I know it is possible on with one symbol using Multicharts, just not sure how to do it on a po...
- 14 Oct 2010
- Forum: MultiCharts
- Topic: Portfolio Backtester MaxBarsBack
- Replies: 2
- Views: 1290
Re: Portfolio Backtester MaxBarsBack
Thank you very much. By mistake I was right clicking on the Signal name, not on "Strategy 1"
- 14 Oct 2010
- Forum: MultiCharts
- Topic: Portfolio Backtester MaxBarsBack
- Replies: 2
- Views: 1290
Portfolio Backtester MaxBarsBack
I am trying to use the Portfolio Backtester and I am having an issue with MaxBarsBack. In MC my strategy backtests fine as I have MaxBarsBack set to 500. When I try run it in the PortfolioBacktest I am getting the error that says the backtest is trying to access more than current value of 51 MaxBars...
- 14 Oct 2010
- Forum: MCFX
- Topic: FXCM Contract Usage
- Replies: 2
- Views: 2356
FXCM Contract Usage
When I place an order from within a MC strategy to buy "TradeSize" contracts (see code below) the trade sizes are ranging from 10-25 when Initial Capital = $100,000. TradeSize is being expressed in the base currency where as it appears the actual position being taken is in contracts. Does MC automat...
- 13 Oct 2010
- Forum: MultiCharts
- Topic: Help with plotting of a trailing stop
- Replies: 5
- Views: 1226
Re: Help with plotting of a trailing stop
Ok thanks Dave
- 12 Oct 2010
- Forum: MultiCharts
- Topic: Help with plotting of a trailing stop
- Replies: 5
- Views: 1226
Re: Help with plotting of a trailing stop
Thank you. Any idea how to reference highest or lowest close since entry in an indicator? I am having issues with this as reserved word "barssinceentry" cannot be referenced from within an indicator like in the code below... plot1(Highest(close, barssinceentry) - (ATR * ATRStop), "Trailing Stop"); T...
- 12 Oct 2010
- Forum: MultiCharts
- Topic: Help with plotting of a trailing stop
- Replies: 5
- Views: 1226
Help with plotting of a trailing stop
Can someone please give me some assistance on how to go about plotting a trailing stop for a corresponding position a strategy has on?
I cannot figure this out as plotting has to be done from within an indicator, but from within an indicator "MarketPosition" is not accessible.
Thanks
Adam
I cannot figure this out as plotting has to be done from within an indicator, but from within an indicator "MarketPosition" is not accessible.
Thanks
Adam
- 07 Oct 2010
- Forum: MultiCharts
- Topic: Help with "syntax error, unexpected identificator" please
- Replies: 7
- Views: 2959
Re: Help with "syntax error, unexpected identificator" pleas
Ahh did not know that. Thanks Dave. I have removed all the plots from the study and the debugging saga continues with little direction from the debugger. I am now getting the following error: 07.10.10 09:20:45 ------ Build started: ------ Study: "Guinness" (Signal) Please wait .... ------ Compiled w...
- 06 Oct 2010
- Forum: MultiCharts
- Topic: Help with "syntax error, unexpected identificator" please
- Replies: 7
- Views: 2959
Re: Help with "syntax error, unexpected identificator" pleas
Dave, I have changed MacdLine to a numeric variable; however, I still get the same error. I also tried "plot1 crosses above plot2" with no luck. My Code: inputs: SMAFilter( 34 ), ShortEMA( 12 ), LongEMA( 35 ), ShortTermSlopeDays(15), LongTermSlopeDays(245), ATRStop(1.83), ATRLength(14), ProfitTarget...
- 06 Oct 2010
- Forum: MultiCharts
- Topic: Help with "syntax error, unexpected identificator" please
- Replies: 7
- Views: 2959
Re: Help with "syntax error, unexpected identificator" pleas
Dave is there a good source for descriptions and solutions to common compiliing errors? I made it more than half way through my strategy before becoming stuck on another compiling error. Your assistance is greatly appreciated. Thanks My Code: //If one of the below conditions are true, place buy or s...
- 06 Oct 2010
- Forum: MultiCharts
- Topic: Help with "syntax error, unexpected identificator" please
- Replies: 7
- Views: 2959
Re: Help with "syntax error, unexpected identificator" pleas
Thanks very much Dave. It now works. However, I am not sure exactly what you changed. The only thing I can think of is spacing after "inputs:" and "variables:" ???
- 06 Oct 2010
- Forum: MultiCharts
- Topic: Code question: Account Balance
- Replies: 9
- Views: 9081
Re: Code question: Account Balance
Great. Thanks Dave.
- 05 Oct 2010
- Forum: MultiCharts
- Topic: Code question: Account Balance
- Replies: 9
- Views: 9081
Re: Code question: Account Balance
I too greatly need to access account equity in order for my strategy to auto trade. What kind of timeframe are we looking at for the release of MultiCharts 7.0?
Thanks
Adam
Thanks
Adam
- 05 Oct 2010
- Forum: MultiCharts
- Topic: Help with "syntax error, unexpected identificator" please
- Replies: 7
- Views: 2959
Help with "syntax error, unexpected identificator" please
My Code: inputs: SMAFilter( 34 ), ShortEMA( 12 ), LongEMA( 35 ), ShortTermSlopeDays(15), LongTermSlopeDays(245), ATRStop(1.83), ATRLength(14), ProfitTarget(14000), RiskPerTrade(0.03); variables: MacdMA( 0 ), SMA( 0 ), ShortTermSlope( 0 ), LongTermSlope( 0 ), EquityAtRisk( 0 ); array: MacdLine[ ] ( ...