MultiCharts: Trading Software for Automated Trading and Backtesting

TraderWalrus

OK, in case anyone has the same issue in the future, here's how I did it in python: import pandas as p def splitUnixTime(inputFileName="input.csv",outputFileName="output.csv",nrows=None): # read CSV df = p.read_csv(inputFileName,usecols=["Timestamp","Open","High","Low","Close"],nrows = nrows) # set ...

TraderWalrus

I want to import data with a timestamp of a single column, in Unix time format. Is there any way to do that from QuoteManager or must I first convert it to two columns of date and time?

TraderWalrus

In some cases manual intervention may be required to resolve any issue arises - I want to have TWS there for those times. How do you handle that? Automated trading is executed on a separate VPS which only has 2 programs installed and running: trading software (MC or SC) and IBGateway, in total occu...

TraderWalrus

1. I do not know how you trade and why would you run a bulky (and somewhat buggy) TWS for execution of automated strategies. TWS has not been designed for that - so, use at your own peril. IB Gateway is, in contrast, a very lightweight, robust application with minimum overhead which runs for months...

TraderWalrus

Min Movement: 5 (can also be 1 if you want 1/10 pips accuracy - I found that keeping this setting at TWS a bit buggy though) I have never encountered a problem setting a 1/10 pips accuracy in IB Gateway. Setting Min Movement to 5 will cause errors in RT, if your strategy submits a limit order with ...

TraderWalrus

IB's Forex symbols don't appear under "Forex", they appear under "Cash". Custom settings: Price scale: 1/100000 for EURUSD, GBPUSD and 1/1000 for USDJPY Min Movement: 5 (can also be 1 if you want 1/10 pips accuracy - I found that keeping this setting at TWS a bit buggy though) BigPointValue: 1 Worki...

TraderWalrus

Another point about the WFO - as mentioned in the link below, "If there is an open trade by the end of OOS period, it is not counted in report." This may distort the results, especially when the OOS length is small. For systems where the "avg # bars in winning trades" is lower than the "avg # bars i...

TraderWalrus

CBOE's bitcoin futures have started to trade, available at IB with the symbol GXBT.
CME's futures will be launched next week.

TraderWalrus

Hello TraderWalrus, This is something that can be expected in one of the future versions of the platform: https://www.multicharts.com/pm/public/multicharts/issues/MC-2017 I read the comments there. Of course, optimization is the heaviest computational task in the platform and the benefits of the as...

TraderWalrus

Any news on this? Either in MC or MC.NET, or with API?

TraderWalrus

This can also be a result of another program consuming a lot of the hard drive resources. For example, I noticed that whenever Windows Antimalware scan runs (windows 10) I have a lot of unprocessed quotes. Good point. But why would you do a virus scan during market hours? You should schedule the sc...

TraderWalrus

This can also be a result of another program consuming a lot of the hard drive resources. For example, I noticed that whenever Windows Antimalware scan runs (windows 10) I have a lot of unprocessed quotes.

TraderWalrus

If you're looking at overall results such as net profit, max drawdown, return on account etc. rather than specific trade statistics, one way to achieve what you need may be to set minimal size for the strategy that should place "placeholder" trades, and realistic size for the one you want to evaluat...

TraderWalrus

Not that I know of.

TraderWalrus

Hi all, when will be possible to view in Multicharts platform the cryptocurrencies? It is possible today, it depends on what data you have. I use CME's Bitcoin Real Time Index (symbol BRTI.X), and the Swedish traded ETFs BITCOIN.XBT (BITCOINXB) that follows the price of bitcoin in Euro and in Swedi...

TraderWalrus

Could you please specify what additional information would you like to have exactly and what opportunities for analysis Excel offers that are missing in out WFO report? The point of this process for me is to evaluate the OOS performance. For each report, I do the following basic analysis in excel: ...

TraderWalrus

Just installed MC 11 release 3 (I was previously running MC 10), mostly to get a more advanced Walk Forward report. My impression is that while the MC 11 WFO report is certainly nicer than the table we had before, in my opinion it's still does not provide enough information to evaluate the process, ...

TraderWalrus

Thank you Svetlana - could you advise for the case I described - is the synchronizer script necessary or is it enough to use marketposition_at_broker ?

TraderWalrus

I am using Portfolio Trader to automated a strategy on daily bars. Naturally I cannot keep it running continuously throughout the time a position is open. Entries are done with a market order and exits using a stop and limit orders submitted at the time of entry and do not change later on - so there...

TraderWalrus

Hello, swisstrader82! Have you tried to reload the chart (Ctrl + R)? If this doesn’t help, in QuoteManager please right-click on this symbol -> Delete Data and then Clear Cache. Then reload the chart again. It looks like he is using one of IQFeed's continuous contracts. Those contracts get back-adj...

TraderWalrus

The last Historical file (from 1-11-2017 16:05 UTC) seems to have some issues. For example, the following two records appear there, in different parts of the file: 1170303, 1300 ,3,USD,Fed Chair Yellen Speaks,,, 1170303 ,1400 ,3,USD,Fed Chair Yellen Speaks,,, According to Forex Factory, there was on...

TraderWalrus

On an hourly chart, when a trade opens at 00:00, only the date is displayed, not the time (see attached screenshot). When exporting the list to excel, it stays that way. The same problem occurs both in Strategy Performance Report and in the Portfolio Performance Report. I use MultiCharts64 Version 1...

TraderWalrus

Any prospects for that being added? If portfolio trades can be exported to one file, with some indication of the originating strategy per trade, I could do my analysis on all strategies together in matter of minutes. Currently I guess differentiation between the strategies could be done by somehow p...

TraderWalrus

There are many places where size can be set and it can be confusing. - The size in "Strategy Properties" is just a *default* quantity and will be ignored if size is specified elsewhere. - The settings in "Portfolio Settings" are restrictions. - I never set size from trading signal code so I can't co...

TraderWalrus

MultiCharts64 Version 10.0 Release (Build 13626)
Windows 10

Googling told me that Window's default limit per process is 10,000 GDI objects, and it can be increased to 65,535. However this will not help if Multichart imposes its own limit of 7,500.

TraderWalrus

Why this limit when there is plenty of memory? I had a workspace, then I tried to load another one. I got the error that I exceed 7,500 objects. So, instead of not loading the workspace, it was loaded partially, with only a few of the charts. I closed it, and it was then automatically saved with thi...

TraderWalrus

The strategy name.

TraderWalrus

Add something like: If time = endtrade then begin if marketposition(0) = 1 then sell this bar on close else if marketposition(0) = -1 then buytocover this bar on close; end; - Exiting a position that way will not work in live trading, but it might be good enough for backtesting - I didn't test it fo...

TraderWalrus

Nice one. If you could add a column to the output, specifying which strategy initiated the trade (either a strategy ID or a name), it will be perfect.

TraderWalrus

I do a lot of processing with Python on the trades list from Strategy Performance Report. Currently I need to: - View the report - Save it as XLSX - Remove all the other tabs except trades list (even when I only check to export "List of Trades", empty tabs are still generated) - Save it as CSV - Use...

TraderWalrus

The upside of using .NET is that can tailor things much better to your needs. The downside is, that you will need to code a little more, and can no longer use any EasyLanguage code. For my personal application, .NET was the right choice, but your mileage may vary. Yes, apparently the code simplicit...

TraderWalrus

Another question on this topic - how, from the pmm signal, can I get the number of strategies with orders that should be executed, before the strategies are in a position? I tried using pmm_set_my_named_str at the trading signal to flag whenever an order is sent. But then I print the results and fin...

TraderWalrus

A minor point, looks like a bug, regarding backtesting in Portfolio Trader: When working with daily bars, the last bar isn't processed if backtesting is done before midnight, even though the bar is already closed according to the default session. Backtesting done on a chart with the same signal and ...

TraderWalrus

My (long) strategy exits with a limit, and has a stoploss as well. So if I understand correctly, using pmms_strategy_deny_exit_from_long will cancel not only the "sell 1 share total next bar at market" but also those orders, in the case size should be increased (delta > 0). How would you handle that?

TraderWalrus

Thanks Felix, this is very helpful.

I replied to your post with a follow up question.

TraderWalrus

Thanks TJ, however apart from the two links I mentioned (keywords list and 3 examples) there is very little in hte FAQ regarding using pmm in code. Specifically, how to set positions sizes by pmm signals (and obviously it needs to be set before the strategy enters a position rather then after it doe...

TraderWalrus

Thanks Anna. So, the followup question to (1) will naturally be, how do you set the size before the strategy enters a position? Same issue applies to question (2). Do you have more documentation available apart from the keywords page and the examples detailed in the following link? https://www.multi...

TraderWalrus

I just started to work with this tool. A few unclear points: 1. Using pmms_strategy_set_entry_contract (see code below) only works starting from the second trade onwards, for each symbol. At the first trade of a certain symbol the trade size is determined according to the properties of the specific ...

TraderWalrus

Thanks, I wrote it myself. My code is below. Simply, it calculates R squared by Pearson correlation on equity with a vector of running numbers (1 onwards). Hope it helps others. variables: maxIndex(0), curIndex(0), curXval(0), curYval(0), sumX(0), sumY(0), sumOfxSqr(0), sumOfySqr(0), sumOfxy(0), num...

TraderWalrus

One by one, not all at once please

TraderWalrus

I normally use Net Profit, Return on Account and Profit Factor as criteria for my optimization. Those criteria aren't bad, but I want to place more emphasis on stable returns over the whole period. This isn't just the smoothness (that is solved by ROA or Sharpe) but rather having a relatively consta...

TraderWalrus

Ok, ELD file imported and it's being recognized and compiled. Any insights about the other points? I find myself spending hours on things that need to be trivial, managing simple data structures. Is life better with MC.NET?

TraderWalrus

I went through the detailed .doc manual, it doesn't mention what needs to be imported. Or perhaps you refer to another guide - specific information with links will be greatly appreciated.

TraderWalrus

I want a function to return an array with an initially unknown size. As far as I understood, the only way to pass an array, by reference, to a function, is using the following syntax: inputs: arrName[MAXSIZE](NumericArrayRef); variables: MAXSIZE(100); Does it mean that array_setmaxindex can't be use...

TraderWalrus

Normally the chart of the instrument looks identical to the Buy & Hold returns as they are displayed in the Strategy Performance Report. I found out this is not the case with AUDCAD. There is a very big difference between the chart of this pair and the Buy and Hold returns. I started a new simple st...

TraderWalrus

1. Can QuoteManager process a text file format that includes alternating lines for bid and ask data? for example: qb,20170209,symbol_name,00:00:00.000,112.150, qa,20170209,symbol_name,00:00:00.000,112.154, qb,20170209,symbol_name,00:00:01.000,112.152, qa,20170209,symbol_name,00:00:01.000,112.155, in...

TraderWalrus

My strategy uses SetDollarTrailing with amount calculated daily according to a multiple of AvgTrueRange. Relevant sections below. inputs: TrailingATR_LB(40), TrailingATR_Multiple(2); variables: trailingSize(0), atrSize(0); atrSize = AvgTrueRange(TrailingATR_LB); trailingSize = atrSize * TrailingATR_...

TraderWalrus

I try to run walk-forward optimization, with 10 days In Sample and 5 Out of sample. 10-seconds chart, 6 months back. Optimization criteria: Return on account or Profit Factor (tried both). One parameter is optimized, with a range of 20 values. The optimization stays on 0% and does not proceed. When ...

TraderWalrus

Thank you Angelina for the reply. I assume many users have other data feeds instead of MCFX. I find it quite strange that I do my forex trading on IB, using data from there, while Multicharts is using a different source for the currency conversion. It will be very helpful if we could do the change y...

TraderWalrus

Back to this topic - as I understand, using this DLL means marketposition and marketposition_at_broker_for_the_strategy will not return correct information. In this case we will have to use marketposition_at_broker, with correct results received if the strategy is the only generator of orders for th...

TraderWalrus

Strategy running on USDCHF got switched off and gave the error "Cannot access currency conversion server. Calculation will be stopped". It happened after the strategy was running for hours, and now when I try to reactivate automation, the same error is generated each time, about 10 seconds from acti...

TraderWalrus

Is there any way to overlay the equity curve on a chart? It will be very useful if we could compare the curve with price action / technical indicators. As I understand it is not possible to use plot from a signal. The only way I can think of to achieve that, is to write an indicator that tries to si...

TraderWalrus

5-sec forex data is way too slow for high frequency trader (scalper). It seems to be an IB datafeed limitation, not a multicharts limitation. Other datafeeds don't have that delay. In case of using IB datafeed, the quote field "Trade" needs to be calculated by Muticharts as the middle between bid a...

TraderWalrus

I installed the latest version today. I noticed I get delayed quotes for Forex. Searching for the reason, I saw the following comment in features list: "Interactive Brokers: MidPoint is now supported for Forex when Quote field is set to Trade. Realtime updates are streamed by the data feed once in ...

TraderWalrus

I installed the latest version today. I noticed I get delayed quotes for Forex. Searching for the reason, I saw the following comment in features list: "Interactive Brokers: MidPoint is now supported for Forex when Quote field is set to Trade. Realtime updates are streamed by the data feed once in 5...

TraderWalrus

I'd use BarsSinceEntry or CalcTime.

TraderWalrus

I am trading Forex with IB, running Easylanguage strategies via Multicharts. I would like to be able to submit limit orders with *attached* stop, on the server side. I have found this was submitted as a feature request in the following link, with no status: https://www.multicharts.com/pm/public/mult...

TraderWalrus

I think I will need to aggregate the results from segments in any case, for example if I see that I need to avoid the times US and say European (say Germany) markets open and close. I am working with 1 minute bars and backtesting / optimizing on 6-12 months. Optimization of hundreds of possibilities...

TraderWalrus

Thanks bensat. I thought optimization would go through all the different combinations of starting and ending times and that's a lot of processing, but when I think of it, the following should work: input: starttime(0000); variables: endtime(0); endtime = CalcTime(starttime,60); if time >= starttime ...

TraderWalrus

If I have no choice, that's what I will do, I was hoping there will be an easier solution.

TraderWalrus

Thank you for your reply TJ. I mean trades opened = initiated , in those intervals. I noticed that in some hours it is preferable to avoid entering trades (for my specific system). Screening trades that are supposed to be initiated in those hours improve my results. I would like to see the statistic...

TraderWalrus

One by one please, not everyone at once

TraderWalrus

When backtesting strategies, I am interested to see trades' profit / loss summary, distributed by time of entering the trade. For example, average P/L of trades opened between 7am-8am, 8am-9am and so on.

Will appreciate any suggestions.

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