MultiCharts: Trading Software for Automated Trading and Backtesting

robbob

How can I tell if the last position was exited due to a stop-loss exit rule? Basically I don't want my long entry rule to enter on the day after a position was stopped out, so I would like to do a check in the entry rule to see if the last signal that was generated was a stop loss rule which was hit...

robbob

So I guess I spoke too soon on this. The IOG solution works if I am just using 1 chart in Multicharts, but if I want to run my backtest with multiple instruments in the portfolio tester, IOG is not supported. Is there another way of accomplishing this that is supported by the portfolio backtester?

robbob

Correction, I can't see the data in the Quote Manager unless I create a new symbol for it. So the order of events that lead up to this were. -Deleted old .csv files with EOD data, and downloaded new files with the same name as previous. -Opened Quote Manager and selected one of the symbols, and sele...

robbob

I am using CSI EOD data for my charts, and have mapped all the ASCII files from CSI's portfolio directory to ASCII symbols I created. I was then able to create charts from these, and when I updated the CSI ASCII data each day, I was able to refresh the charts without any problems. It has been a few ...

robbob

Thanks guys,

this seems to have taken care of the problem.

-Rob

robbob

I am getting the following error with my trading strategy. "Open Next Bar type strategies calculation is not permitted on multiple DataStreams" A little background info. I am attempting to use 2 instrument streams. The first is intraday data to place the trades, and the second data stream is EOD dat...

robbob

I am attempting to test a strategy that uses the indicators based on the daily bars, and then place trades on a 15 minute chart at 9:30am. I have set up the primary chart as the 15 minute chart and the secondary chart as the daily chart. I am able to generate the signals from the daily data without ...

robbob

Hi Henry,

I moved the call to the GenerateExitOnClose() method from StartCalc() method to the CalcBar() method, and seems to be working as expected now.

Thanks,
-Rob

robbob

I have a strategy which I would like to open a position at the market open and then close the position at the market close. Entering with MarketNextBar using the OrderCreator is not a problem, but how do I create a market order to then exit the position at the close? I tried calling the GenerateExit...

robbob

Hi Alex,
this *may* work. I also have a portfolio level stop loss, so if the account equity drops by say 5% in a day then there is a signal that exits all positions in the portfolio.

Will this still work if I put each symbol in its own strategy?

Thanks,
-Rob

robbob

I am attempting to backtest a strategy on a portfolio of futures contracts, however each contract needs to have different slippage amounts, ie I typically see more slippage on Heating Oil than S&P e-minis in live trading and I'd like to reflect this in the backtest. I know of the slippage/commission...

robbob

Hi Henry,

I've created a brand new symbol and that seems to have taken care of the issue.

Thanks,
-Rob

robbob

Hi Henry, I've tried to map the fields to Open/High/Low/Close/Volume/Open Interest in the ASCII data import window for the problem file, but the problem still persists. I've tried clearing the cache and refreshing in the Quote Manager, and also tried refreshing the chart as well as creating a new ch...

robbob

Hi, I'm using the "Map ASCII" option in Quote Manager to map a directory of ASCII files to 19 futures symbols. All the symbols appear to map correctly, except for heating oil. When creating a chart for heating oil, the OHLC values appear to be mapped incorrectly, with the close price as the high pri...

robbob

Great! Thanks for the suggestions Dru.

-Rob

robbob

Hi, I'm trying to determine what would be the best way to go about doing strategy development with 2 developers that are not at the same location, in addition to a 3rd production environment. My original plan was to check the "CS" directory (in StudyServer/Techniques) into our source code repository...

robbob

Hi, I'm trying to figure out how I can have MC automatically generate a signal for my end of day futures trading strategy. I have about 20 commodities that I track and I am finding I have to refresh each chart at the end of the day to determine if there will be any signals for the next day. Is there...

robbob

Henry,
looks like this was an issue with IQFeed after all. Thanks for your help.

-Rob

robbob

Thanks Henry, going offline did not work, so I'll put the additional info you requested together later tonite.

-Rob

robbob

Recently the portfolio backtester was working well with a strategy that was using multiple time frames. I am using 15 minute bars as the primary and 1 day bars as the informational instrument. Now however I am getting an error message saying "Data could not be obtained for the following symbols @C#C...

robbob

Thanks Henry, the script worked.

-Rob

robbob

Thanks Henry, that fixed it.

-Rob

robbob

I renamed @S# to @S#C in the quote manager, and then attempted to create a new chart with the renamed symbol. The continuous contract still says Soybeans May 2013 (whereas other continuous backadjusted contracts don't list the expiration month), and there is still a noticeable break on 5/15/13 when ...

robbob

I'm trying to determine how to get continuous backadjusted contracts from IQFeed into MC via the QuoteManager. For example, when I do a contract search for natural gas by symobl, the quote manager finds QNG#. I click "Add", and then when I create a new chart both QNG# and QNG#C (backadjusted) are av...

robbob

Hi, I'm having more issues with my compiling my scripts after moving to 8.5. It looks like the API for the ATR indicator has changed. Previously I was calculating ATR for a higher time frame by doing the following. in Create() m_avgtruerange = new AvgTrueRange(this,2); in StartCalc() m_avgtruerange....

robbob

Thanks for your help Henry, this took care of the problem.

robbob

That took care of the problem.

Thanks!

robbob

That did the trick.

Thanks!
-Rob

robbob

It appears that a number of things have changed between 8.0 and 8.5 that have broken a number of my scripts. I'm in the process of trying to fix them and I am having issues calculating the slope of a regression line. Previously there was a LinearRegSlope object, but this no longer exists. I'm attemp...

robbob

I may not have done that for this symbol. I just tried deleting the contract from the quote manager and then adding it as I did for the other contracts, but searching for the symbol and then adding it to the list. It still is showing a big point value of 1 however for QHO. Any other ideas? thanks, -...

robbob

It looks as though for some futures contracts the big point value is defaulting to 1. I realize I can go into the quote manager and manually change it. The current settings for the symbols is to use the "Exchange & ECN settings". QCL# for example is properly showing a big point value of 1000, but QN...

robbob

Hi, I'm attempting to implement an exit rule that will close a position if the current account equity has dropped by 3 percent from the previous day. Basically, if the threshold is hit, I would like the strategy to exit all positions. I am using the portfolio backtester on intraday futures data. Wha...

robbob

Hi, I've been able to blend 2 timeframes together in my strategy by added a lower timescale chart first ie, 30 minute, and then a higher level timescale such as daily. In my strategy I generate signals off the higher l]evel timeframe by doing something similar to: m_bollingerband.price = BarsOfData(...

robbob

I'm getting an IndexOutOfRangeException when attempt to call:

TradeManager.TradingData.Accounts.Items[0].Balance;

robbob

Good point Dave, it makes sense that they are using the settlement price provided by the exchange. Since the close price for the daily bar isn't really accurate then, the daily bar's Open price should still match the open price of the first 15-minute bar of the session, which I hadn't checked up to ...

robbob

Agreed that building by tick isn't a viable alternative due to the 120 day limitation. As far as I can tell, the close on the daily bars are accurate as I have compared the IQFeed data to CSI data and also Interactive Brokers, so I'm not sure why such a huge difference in the 15-minute bars (and eve...

robbob

Hi Henry, so I refreshed the chart, and the time on the bars is now correct, however the price is not lining up between the 15-minute and 1 day bars. I would expect to see the close price of the last 15-minute bar of the day to match the close price of the daily bar, but this is not the case. I usin...

robbob

How would I access the current account balance from a strategy? I see there is an Account property that is accessible from the strategy, but it is a String and not an object. Any hints?

Thanks,
-Rob

robbob

I'm attempt to both 15-minute and 1 day bars for CL in a strategy I'm testing. It appears that the daily bars have a timestamp of 22:59, and so are lining up with the 15-minute bars at 22:59. However the CL electronic market closes at 17:15, and the daily bars should line up with this time instead. ...

robbob

I think I'm still missing something here. The "Account" property that is accessible from my strategy that extends SignalObject is a String, not an object or struct. How do I get a reference to the Account object that you mention in your reply which has a "Balance" property.

Thanks,
-Rob

robbob

Thanks Henry, I am attempting to accomplish something similar to what Mark is doing, so I would need to be able to access the account balance, and the point value of the instrument in order to calculate the position size. The example you posted however uses a hard coded value to set the position siz...

robbob

Hi, I would like to dynamically set the position size of my buy orders so that they are generated based on the current account equity, ATR value of the instrument being traded, as well as the tick size (in dollars) of the instrument being traded. I've found a few easy language examples, but haven't ...

robbob

So there are actually 2 different ways to calculate variance and subsequently standard deviation, for a sample and for a population. It looks like MC is using the population based calculation even though the indicators are only calculating their values based on a small subset of the price history, i...

robbob

Hi, I'm attempting to determine why a script I had coded in Wealth-lab is producing different results in Multicharts. I've been able to track the difference to the value of the BollingerBands between the two platforms, and specifically to the StandardDev function in MC that the BollingerBand indicat...

robbob

Thanks Josh,
There weren't any signals listed, so I reinstalled and they are now showing up.

-Rob

robbob

I'm new to Multicharts, and I'm guessing that it likely comes with a number of pre-built C# strategies, however, I can't find any. When I open the power language editor, and attempt to open a file, there are 100+ indicators listed, but no signals/strategies. In the MC's programData directory on the ...

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