MultiCharts: Trading Software for Automated Trading and Backtesting

EdL

Hi MidKnight, Although I haven't used those particular functions that you mention, I had a very similar problem relating to the implementation of the Bollinger Band function https://www.multicharts.com/discussion/viewtopic.php?f=19&t=12571 I think there must have been some breaking changes between 8...

EdL

Thanks for following up on that Henry.

Just to confirm, is there a bug with optimize_by_sharp_ratio not working for both the daily AND monthly settings on user created signals? Or was it just the Daily?

Thanks

EdL

Thanks for updating us Henry. It's good to hear that the Portfolio trading and IOG development is underway. However, it's a shame to hear that Bar magnifier and Extended Backtesting are not going to be released at the same time! I would argue that it is more important to have the Bar magnifier and E...

EdL

Thanks guys, I think

Code: Select all

if (Bars.Status == EBarState.Close )

is what I'm after. I'll give that a go.

Cheers

EdL

Hi, There have been a few posts in the past that indicate that Portfolio Backtesting extended mode, IOG and Bar magnifier features would be a great addition and that they were going to be added. https://www.multicharts.com/discussion/viewtopic.php?f=1&t=7497&hilit=extended+backtesting+portfolio http...

EdL

Hi, I'm trying to implement a basic counter for the number of bars that I'm in a trade for. The data originally imported into quote manager was tick data for bid and ask. My chart is using 1hr bars with extended mode and bar magnifier switched on. The CalcBar() method appears to be called each intra...

EdL

Hi, Using exactly the same data, when I apply the prebuilt Bollinger Band signal, the optimize_by_sharp_ratio works, but only for "Monthly" input. When I change input to "Daily", the Sharpe Ratio becomes -1.0. When I add my signal however, inputs of both Daily and Monthly give a Sharpe Ratio of 0. (...

EdL

I have tried using the optimize_by_sharp_ratio in MC.NET exactly as described but it does not appear to work. I just get a Custom Fitness Values of 0 when using both Daily and Monthly as the inputs to the signal. I am working with minute bars over a 3 month range. As you can see form the screenshots...

EdL

Thanks for clarifying Henry. I will have a read of the Interactive Brokers - Broker Profile that you linked to.

Ed

EdL

Doh! Whoops - don't know how I missed that one!

Thanks,

Ed

EdL

Nice one Laurentius! Appreciated

EdL

I'm still in the testing phase, but when I start trading I intend to use Interactive Brokers.

EdL

Hi, If I load historical data for an instrument on to a chart e.g. EURUSD FX pair, from 2012-01-01 to 2012-03-31 and then save the workspace, close it, are-open it, the data range is not preserved. It is now 2012-01-01 to (current date). This is a bit of a pain every time I re-open a workspace for a...

EdL

Thanks guys I was suffering from a different problem and this solved it. After upgrading to version 8.5 RC 64-bit and now also to 8.5 64-bit, the PowerLanguage.NET editor is invisible when I run it! It shows in Task Manager and in the main application bar at the bottom of the screen, but no matter w...

EdL

Hi, I'm having trouble using the GeneratePercentTrailing(double profit, double percent) method to create a trailing stop. I'm using the GenerateStopLoss(lossAmount) method to add an initial stop and this works fine. When my close price goes beyond a certain level though, I'd like to add a trailing s...

EdL

I'd be interested to hear about this too. In other packages I've used, you can have what is known as a "soft" stop or "virtual" stop that is held on the client side so the order book at the broker knows nothing about it. When it gets triggered client side, it sends a market order to close out the po...

EdL

p.s. At the risk of sounding extremely pedantic, Sharpe is spelled with an "e" at the end. The ratio is named after Mr. Sharpe, so should be capitalised too. You may want to mention it to the devs as it seems slightly unprofessional having the signal mis-named like that in what is otherwise a very p...

EdL

Thanks for the responses guys. Thanks for clarifying how to do this Henry. I have to say that it would not have been at all obvious how to do this had you not shown me however! My preference would still be to just be able to select Sharpe Ratio from the list of things to optimize by and I think that...

EdL

I've also just run into the same problem. I've been working with historical data that was stored as one file per year so didn't mind importing these one at a time. However, I've come to import tick data (bid and ask) that is stored in monthly files, so 24 files per year for one symbol! N.B. One of t...

EdL

Thanks for clarifying that Henry. I'll define the number of contracts in code instead of using the strategy properties.

Ed

EdL

Hi, I'm setting the Strategy Properties > Trade Size > Fixed Shares/Contracts. How can I then access this value in code? I've tried: Contracts.Default.Contract but it returns 0. I've also tried: _longMO = OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "LongMO", EOrderAction.Buy))...

EdL

Hi, When optimizing a strategy or portfolio, ideally I would like to optimize based on the Sharpe ratio. Also, I would like to be able to view the Sharpe ratio on the optimisation reports (standard strategy optimization and portfolio optimization). There is a feature in the Project Management app th...

EdL

I couldn't agree more Eric! I'm using 8.5 beta and have recently moved from backtesting a single instrument strategy to the Portfolio Backtester and was shocked to see that the Sharpe Ratio is missing in Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios. Sh...

EdL

Hi Henry that's much clearer now. Just what I was after.

Many thanks,

Ed

EdL

Hi master.aurora, I was having the same issue. The MaxBarsBack param is set by right clicking on the "Strategy" in the "Portfolio Tree" within the Portfolio Backtester. I had been clicking on the Signal itself and couldn't find it there! I found this post that clarified it: https://www.multicharts.c...

EdL

Thanks Henry. That works nicely.

N.B. In case anyone is having problems with their break points not working (with a little yellow warning triangle next to them) - make sure you select the correct target framework (3.5 not 4.0) in the project properties > Application > Target Framework.

EdL

Thanks Henry. I will just use the new way of creating a Bollinger Band. Just wanted to check it wasn't going to be suddenly changed back.

EdL

Thanks for the clarification Henry. Nice to know that it will be sorted in the next version.

EdL

MC.NET 8.5 beta has introduced a breaking change to the BollingerBand function.

Here is the updated indicator script so you can use fractional standard deviations in 8.5 beta.

EdL

Hi, I have just installed 8.5 beta after using 8.0. When opening the .NET solution in VS, and performing a build I get the following errors and warnings. Errors 1-3 appear to be breaking changes (from upgrade of 8.0 to 8.5 beta) relating to those indicators. The warnings were present after compiling...

EdL

Thanks Henry. I have installed 8.5 beta and can now see the functions in the PowerLanguage.NET editor (but I can not see them in VS). However, there is no longer a BollingerBand function! All the other ones are present, but BollingerBand appears to have been removed and its functionality replaced wi...

EdL

Hi Henry, Thanks for your swift response. Unfortunately there are still a couple of things unanswered. I'm aware that the GenerateStopLoss(amt) takes an amount rather than a percent, as my examples show. I'm using a percentage of the entry price as my loss amount, in the same way the example signals...

EdL

Hi, I am working on a signal that uses PowerLanguage.Function.BollingerBand. The BollingerBand.numdevs property takes an integer but I require a double in order to set the Bollinger band up with a fractional standard deviation. e.g. Setting up a Bollinger band with a standard dev of 2.5 I think it's...

EdL

I'm trying to use the GenerateStopLoss(amt) method on a FOREX symbol. The example signals Stop_Loss and Profit_Target apply the stop like this: e.g. GenerateStopLoss(this.EntryPrice() * _stopLossPercent) However, my stops are coming up incorrectly - they are way too small. The FOREX symbol in questi...

EdL

Figured it out.

It's a property on IInstrumentSettings interface which Bars.Info implements.

e.g.

string symbolName = Bars.Info.Name;

Ed

EdL

Hi, I'm trying to look up what the current symbol's name is. In the EasyLanguage/PowerLanguage reference there is a reserved keyword or method name - GetSymbolName https://www.multicharts.com/trading-software/index.php/GetSymbolName I've looked in the MC.NET C# library but can't seem to find an equi...

EdL

Hi there, I have created a new signal, it compiles fine, but when I apply it to a chart it gives an error. Message: Error in study "MyStudy" : : Unaccessible property(method): AddFunction. Construct only. How can I attach the Visual Studio debugger in order to debug this issue? Many thanks, Ed p.s. ...

EdL

Hi, I recently started using MultiCharts.Net and wanted to use the Bollinger Band indicator. Other competitor products allow the BBs to have fractional standard deviations (double values) but MC.Net only allows integer values. This is quite a standard requirement (and only a basic code change) and I...

EdL

Hi,

I had the same issue as robbob. My initial install of MultiCharts was successful apart from indicators and signals were missing.

I "repaired" the install from Add/Remove Programs in control panel and they were downloaded and now appear correctly.

Many thanks

Ed

Search found 39 matches

Re: MULTICHARTS .NET 8.5 RELEASE

Re: Optimize on Sharpe Ratio

Re: Portfolio Backtesting - Extended mode, Bar Magnifier and

Re: How to count bars using CalcBar() [SOLVED]

Portfolio Backtesting - Extended mode, Bar Magnifier and IOG

How to count bars using CalcBar() [SOLVED]

Re: Optimize on Sharpe Ratio

Re: Optimize on Sharpe Ratio

Re: Stop Loss & Profit target in Exit strategies [SOLVED]

Re: Saving workspace does not save instrument data range cor [SOLVED]

Re: Bollinger_Band - fractional standard deviations

Re: Stop Loss & Profit target in Exit strategies [SOLVED]

Saving workspace does not save instrument data range correct [SOLVED]

Re: MULTICHARTS .NET 8.5 RELEASE

How to add a trailing stop using GeneratePercentTrailing() [SOLVED]

Re: Stop Loss & Profit target in Exit strategies [SOLVED]

Re: Optimize on Sharpe Ratio

Re: Optimize on Sharpe Ratio

Re: Multiple Ascii File Import

Re: How to access Strategy Properties - Trade size - in code [SOLVED]

How to access Strategy Properties - Trade size - in code [SOLVED]

Optimize on Sharpe Ratio

Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Re: Is this the right code for SL and TP? [SOLVED]

Re: Stratgey Data discrepency

Re: How to debug a signal in Visual Studio? [SOLVED]

Re: BollingerBand - fractional standard deviations [SOLVED]

Re: Visual Studio errors and warnings with 8.5 beta [SOLVED]

Re: Bollinger_Band - fractional standard deviations

Visual Studio errors and warnings with 8.5 beta [SOLVED]

Re: BollingerBand - fractional standard deviations [SOLVED]

Re: Is this the right code for SL and TP? [SOLVED]

BollingerBand - fractional standard deviations [SOLVED]

Re: Is this the right code for SL and TP? [SOLVED]

Re: How to get a symbol's name [SOLVED]

How to get a symbol's name [SOLVED]

How to debug a signal in Visual Studio? [SOLVED]

Bollinger_Band - fractional standard deviations

Re: Where are C# strategies stored? [SOLVED]