MultiCharts: Trading Software for Automated Trading and Backtesting

trader0311

Hi, I have an array that I use in strategies applied to single securities. The array will make a calculation and then store those calculations in the array. I would like to explore using this same concept on a portfolio of different securities within the portfolio trader. What I don't want to have t...

trader0311

I would like to perform an optimization in Portfolio Trader, with a collection of strategies and securities, and I would like to have the sharp ratio as one of my fitness functions that is calculated in the optimization report for the portfolio. Typically, when using a single chart, I would just app...

trader0311

Hi, I would like to optimize a portfolio of strategies within Portfolio Trader. With a stand along chart, it is easy to just apply the "Optimize by Sharpe Ratio" signal to the chart/strategy to be optimized. However, I am not sure how to do this if you are trying to optimize your entire portfolio fo...

trader0311

Hi, Does anyone know if it is possible to optimize for entry priority? I am using Portfolio Trader and about 10 strategies. I would like to know the optimal entry priority for these strategies and instead of testing endless combinations manually, it would be great if I could optimize using the "Port...

trader0311

Hi, As I have noted here in the forum, when you are trading a portfolio of strategies in portfolio trader, and you specify the number of shares that are to be traded as a variable within the actual code/script, the Portfolio Trader Money Management Setting do not work. When this happens, you can tra...

trader0311

So I think I figured this out. When I specify the amount of dollars to be traded within the strategy code, the money management settings do not seem to apply and the exposure as well as margin get busted (ie you can make trades that exceed your account value). When you specify the amount of dollars ...

trader0311

Hi, Thank you for your response. However, I am still not convinced that the Portfolio Trader is monitoring your exposure and am not convinced that the "Money Management" settings are functioning as intended. For example, I have a portfolio trading 7 strategies on different symbols. I have allocated ...

trader0311

Thank you - Yes, from my understanding, as I have posted about this before, the portfolio trader will exceed the amount of capital in your portfolio. To illustrate, Set the "Initial Portfolio Capital" to $100,000 and then set the Exposure and Max % capital per position to 100% each (these are the de...

trader0311

Good morning, I have a portfolio of ETF's each having strategies applied to them. I would like to do some optimization at the portfolio level. Specifically: 1) In order to maximize the use of my capital, I would like to optimize for the entry priority of each strategy. For example, capital will be a...

trader0311

Thanks Henry - the various renko bars are what I was looking for. Do you have any idea when this release will happen? I would like to keep on the look out for it.

trader0311

Hi, I think it is great that MC implemented the ability to develop custom resolutions. I was thinking that we would get some more chart types with the rollout of this functionality (i.e. Different Renko charts and such). Is there anywhere on this site, or others, where one can find user or MC contri...

trader0311

Every time a copy and paste in the Powerlanguage editor from one strategy to another and attempts to compile the copied script I can a "Line 0 Column 0" error. This error renders MultiCharts completely useless as from that point on no code is able to be compiled. The only way to fix this is to compl...

trader0311

Hi, Is it possible to create a backup, preferably one that is scheduled to run at a user defined frequency, of all my studies/indicators/workspaces in a location of my choosing (ie a cloud based system like Dropbox). If I lose my machine I am screwed if this is not possible. I know it was possible i...

trader0311

Thanks TJ - I am attempting a work around. If it works I will report back.

trader0311

Hi, I have 2 MultiCharts licenses. One license I use for live trading and it runs from the cloud and one runs on my personal machine which I use for building the strategies. I export my strategies as protected files from my personal machine and import them as protected files to my live trading machi...

trader0311

Thank you Felix, I will give that a try

trader0311

Thank you so much for your help. I will look into this method and make sure I have the necessary ELCollections installed.

trader0311

Hi, I would like to run an optimization and somehow have the "detailed" or mark-to-market equity curves from each result of the optimization exported or written to an excel file. I would like to do some additional analysis of the equity curves and need an easy way to get this into excel. At the mome...

trader0311

Hi, I have multiple strategies applied to the same security. I would like to optimize all of the strategies in different ways and I would like the optimization report to list the sharpe ratio for the entire portfolio under the various parameter values. This way, I can pick the combinations of strate...

trader0311

Hi, I use IQFeed and have subscribed to the CBOE S&P 500 real time Index Data. However, for whatever reason, and despite me trying out different session times, the S&P Index does not start trading until 10:30 EST. Can someone provide me the settings that I can use to begin the data feed at 9:30 AM? ...

trader0311

Thanks TJ - what an interesting way of coming up with the solution. I am working with all variables and will be summing them. I am not so familiar with loops so I will try the solution involving the absolute value first. Thanks again!

trader0311

Hi, I have a series of variables which can contain both positive and negative numbers. Is there any way, or function, that I can use to sum only the positive numbers. And then, to create another formula to sum only the negative numbers. So basically from the list of variables I will be summing all p...

trader0311

Hi, I would like to install and trade MultiCharts in the cloud. I have two options to do this. I could get Amazon's "EC2 Server" platform or their "Workspaces" platform. Workspaces is a virtual desktop. I have never worked with a server before so there is quite the learning curve. Workspaces is abou...

trader0311

Hi, I have an indicator that is scaled from 0-100 that I use on daily charts. I have seen on a couple occasions that the indicator may close at the end of the day at 87, but the next day when I open up my chart that same indicator that closed...and stayed at 87, might now be 85 or 89. I am confused ...

trader0311

Thank you for the resources Henry

trader0311

Hi Henry, If I am modeling a stock and bond portfolio using ETF's over a very long period of time, the results are not representative of what the actual performance would have been because the tests are using the raw price data of both the stock and bonds ETF's. This is because, to the best of my kn...

trader0311

I am trading just a few symbols on daily bars.

Thank you again for your help!

trader0311

What do you think of these instances? They seem to have discounted them?

http://aws.amazon.com/ec2/instance-types/t2/

trader0311

Hi Felix - thanks so much. You have been a great help and I feel like I have a direction now.

trader0311

Thanks for your response Felix. I have never worked with servers before, so my learning curve is steep. I was going to give AWS a try because they are offering me a free year of their services. So other than my time, I don't have much to use. When I look at their offering, I don't even know where to...

trader0311

Hi, Except for the couple of examples that MultiCharts has provided, where is the best place to learn how to code strategies that involve multiple securities which are all traded as a portfolio? I am fairly familiar with PowerLanguage, but find coding strategies that trade, select and rank multiple ...

trader0311

Hi, I would like to install MultiCharts on a virtual server...preferably Amazon's AWS. Is this possible? If people are currently running MultiCharts in AWS can you tell me a little bit about your set up on AWS? They have a ton of tools and many different ways to configure your cloud based server. An...

trader0311

Hi, I would like to backtest different portfolio allocations overtime using the S&P 500 and an Aggregate Bond index. I would like to backtest different allocations to these asset classes over as long of a period as possible. What is the best way to do this? I would think that dividends and interest ...

trader0311

I have created a dynamic array that looks at a running sequence of five values that meets a predetermined condition. When a value meets the condition, the new value comes in and the last value is removed from the array. I am able to use the "canned" array average function and successfully calculate ...

trader0311

Thanks TJ. I have not had much experience with arrays but will definitely give it a shot. I was doing some reading on loops and was thinking it might be possible to create a loop that, when the condition to add a number to the variable was not true, that the loop would execute on every value in the ...

trader0311

Hi, I have a variable that is conditional meaning that sometimes values are calculated for the variable and sometimes they are not depending on if my condition is true. When the condition is not true generally the last value that the variable produced is used over and over until the condition is tru...

trader0311

Thanks for the insights Josh. I will see if I can get the values added in conditionally. If I am able to do that....will using standard functions with the conditional array values work or do I will need to recode the standard function. I have used standard variables as inputs into standard functions...

trader0311

Hi, I would like to add values to an array based on whether a condition is true. So only when the condition is true, do I want to add any values into an array. Then, once the values are stored in the array, I would like to apply some of the standard analysis techniques to that conditional data array...

trader0311

Thanks Henry, Would you or anyone else have some simple code that I could use as a money management signal that would simply limit the amount of my portfolio that is available to trade. So conceivably I could have 100 strategies, each programmed to invest $100,000 per trade. If I only have $100,000 ...

trader0311

Thanks Henry, I tried to do an optimization for portfolioentrypriority in the portfolio trader but it said that portfolioentrypriority could only be used once within a strategy. I had multiple strategies applied to one symbol, and it was giving me this error. I then tried to create numerous separate...

trader0311

Hi, I realize that there is a function to set the entry priority when you are using Portfolio Trader. I also realize that when you are using multiple strategies on a chart, the order in which the strategies are placed within the chart determines the entry priority. However, if you would like to mana...

trader0311

Hi, I would like to Manage a portfolio whereby there are several strategies that are applied to each symbol. I would like to somehow rank each strategy and limit the number of open positions so that I don't bust my margin (I am trading stocks at Interactive Brokers). As a hypothetical, I have 5 stra...

trader0311

I am thinking that I could still use daily bars and use intrabar order execution to send a market order at 3:59:45. Has anyone done this??

trader0311

Hi, I have a strategy that trades stocks at the end of the day (in this case SPY). I have tested the strategy on daily bars. When I take the strategies that trade on the close and change the chart type to a 389 minute bar which will have a custom close time of 3:59PM. In this situation, my trade wou...

trader0311

Thanks Henry, If I put all the strategies on one chart to simulate the performance of the portfolio, and if I have all those strategies trading one symbol only, is there a way to create an indicator that would calculate the runup, drawdown and closing equity on a periodic basis? (ie weekly, monthly,...

trader0311

Hi, When you produce a portfolio optimization there is a section called "Period analysis Charts". The charts are bar graphs and show the run up, draw down and final profit for your portfolio for each month/year. Is there anyway to gain access to the raw data that is creating these charts? I could go...

trader0311

Thanks Siscop. I will look into that. Unfortunately, I only have a $50K account and am trading the SPY at $200/share. So I won't be buying much more than ~200 shares. I will definitely look into this though. I will give them a call today and will report back with my findings.

trader0311

Hi Andrew, Thanks for the code example. My problem is that I have numerous strategies trading one symbol....many more than 3. It is just a lot cleaner and the strategy stays in sync much better when you can tie a specific entry to a specific exit. When you consolidate orders within a giant set of co...

trader0311

I have tried combining all my systems within one strategy. I attempt to calculate when a buy or sell happens, assign those signals a value (ie 10 shares) and then for each bar all add up all the buys and place one order and then do the same with the sells. However, you run into all kinds of complex ...

trader0311

Hi, If you wish to trade several strategies on one symbol, my understanding is that if multiple orders are generated on one bar, that those orders are sent as separate orders. This meas that I am going to pay a higher commission at Interactive Brokers than I would if I just sent one order based on t...

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