Search found 28 matches

by regtracer
16 Mar 2020
Forum: MultiCharts
Topic: Multicharts with esignal shows incorrect split adjusted data
Replies: 5
Views: 413

Re: Multicharts with esignal shows incorrect split adjusted data

Hi Anna,

Thanks! I reloaded the charts and it was still not split adjusted. Is the discrepancy due to the issue that eSignal does not provide split adjusted data to 3rd party?
by regtracer
11 Mar 2020
Forum: MultiCharts
Topic: Multicharts with esignal shows incorrect split adjusted data
Replies: 5
Views: 413

Multicharts with esignal shows incorrect split adjusted data

I'm using MultiCharts64 Version 12.0 Release (Build 19396) with esignal. It appears Multicharts shows intraday historical data without split adjusted. See example below for DUST (3x gold miner ETF). However, eSignal 12 itself shows correct split adjusted intraday data. DUST 2H: Multicharts with esig...
by regtracer
23 Jan 2020
Forum: MultiCharts
Topic: Multicharts crashed randomly
Replies: 1
Views: 206

Multicharts crashed randomly

Hello, I kept Multicharts running and it crashed after some time (a couple of minutes to several days randomly). I'm using Ascii mapping, eSignal, and IB datafeed. I only got this problem since last December. I have updated Multicharts to the latest version MultiCharts64 Version 12.0 Release (Build ...
by regtracer
23 May 2019
Forum: MultiCharts
Topic: Commission rebate backtest
Replies: 2
Views: 304

Commission rebate backtest

Hello, I was testing several strategies placing limit orders in cryptocurrency. Exchanges such as Bitmex and Deribit offer commission rebate (negative commission rate such as -0.25%) for market makers. However, Multicharts can only simulate positive commission. Is there a way to enable negative comm...
by regtracer
13 May 2019
Forum: MultiCharts
Topic: Portfolio Trader - Volatility Adjusted Position Sizing Model
Replies: 6
Views: 1915

Re: Portfolio Trader - Volatility Adjusted Position Sizing Model

I think it's straight forward in MC:

qty = floor(Portfolio_Equity*0.01/(avgtruerange(30)*bigpointvalue))
by regtracer
13 May 2019
Forum: MultiCharts
Topic: Real time data problem [SOLVED]
Replies: 4
Views: 451

Re: Real time data problem [SOLVED]

I'm getting this problem too in Version 12 Release 18037. The real time data is feed by a DDE server.

By the way, the previous Version 12 Release 17585 worked well.
by regtracer
13 May 2019
Forum: MultiCharts
Topic: Need setting commission and slippage for individual futures in Portfolio Trader
Replies: 6
Views: 858

Re: Need setting commission and slippage for individual futures in Portfolio Trader

Yeah, it's essential for accurate portfolio backtesting. The commission rates of China's future markets also vary. Some are defined as fixed amount per contract, while others are defined as a percentage of traded value. Quantopian allows setting slippage and commission per bar to even account for th...
by regtracer
13 May 2019
Forum: MultiCharts
Topic: Need setting commission and slippage for individual futures in Portfolio Trader
Replies: 6
Views: 858

Re: Need setting commission and slippage for individual futures in Portfolio Trader

By the way, this functionality is also needed for testing a mixed portfolio of futures, stocks, and/or forex.
by regtracer
13 May 2019
Forum: MultiCharts
Topic: Need setting commission and slippage for individual futures in Portfolio Trader
Replies: 6
Views: 858

Need setting commission and slippage for individual futures in Portfolio Trader

Hello, I'm testing a portfolio of futures in Portfolio Trader but found that the current commission and slippage settings are not sufficient to produce correct backtest results. For example, a future contract IF traded on CFFEX has a commission of CNY 30 per contract, and an assumed slippage of 2 ti...
by regtracer
18 Sep 2018
Forum: MultiCharts
Topic: Inconsistent equity curve chart and total trade number [SOLVED]
Replies: 1
Views: 316

Inconsistent equity curve chart and total trade number [SOLVED]

I'm using Multicharts 11.0 Build 15647 64bit version. I found that in the portfolio performance report of portfolio trader, the total number of trades is different from the trade number shown in the equity curve close to close. Why does this happen? For example, the total # of trades is 9637, while ...
by regtracer
01 Feb 2018
Forum: MultiCharts
Topic: License management system disturbs real trading
Replies: 14
Views: 1738

License management system disturbs real trading

Yesterday the license management system failed and all my real-time data was not updating. I have to manually click the license check after a hour of data down. What's wrong with the license server? If you can't guarantee that the server AND the network are up 100% times, you should not immediately ...
by regtracer
01 Feb 2018
Forum: MultiCharts
Topic: Can't specify slippage for each instrument within one strategy [SOLVED]
Replies: 5
Views: 681

Re: Can't specify slippage for each instrument within one strategy [SOLVED]

This functionality is especially needed for futures backtesting. Different futures can have different slippages since their tick sizes and bigpointvalues can vary greatly.
For example: Emini S&P can have a slippage of one tick $12.5, while VX futures' on tick worth $50.
by regtracer
05 Mar 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

Sorry there's a typo in my post. Should be Thu 9pm - Fri 3pm.

Your daily bar built from 1min obviously does not comply with the delivered OHLC daily data. The Sat bar should not be there.
by regtracer
04 Mar 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

Hi Ben, Thanks for the study. If you take a look at the daily file I gave, there is no daily bar for 2/25 Sat. Instead, the daily bar is 2/27 Monday, which should have the open price at 2/24 9pm. The ideal session definition should be: Fri 9pm - Mon 3pm Mon 9pm - Tue 3pm Tue 9pm - Wed 3pm Wed 9pm - ...
by regtracer
03 Mar 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

See attached files. 1min and daily data.
by regtracer
03 Mar 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

See attached screenshots. It's 15min bar for Copper (CU) trading in Shanghai futures exchange. On 2/25 Sat 1am night session (2/24 9pm-2/25 1am) ends and On 2/27 Mon 9am day session (2/27 9am-2/27 3pm) resumes. By exchange's definition it's a single daily bar lasting from 2/24 9pm to 2/27 3pm. This ...
by regtracer
02 Mar 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

The exchange aggregates data from Friday 9pm to Monday 3pm as a single daily bar. I can add an additional session end, but Multicharts will create two daily bars instead of one in this case.
by regtracer
26 Feb 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

The problem with session definition is that the 24 hour limit should be applied to trading hours within one trade day, instead of using natural hours.
by regtracer
26 Feb 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

For example: http://www.shfe.com.cn/en/products/Copp ... 38434.html

"and other trading hours as prescribed by SHFE"

Note that the night sessions have been there for 2 years but it's still not formally listed in the contract spec.
by regtracer
25 Feb 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

by regtracer
25 Feb 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Re: Bug in Session of Weekend

At the end of Saturday, you have to click the box for "Session End".

If I click session end, there will be two days if I build daily bar from minute data. By definition it's not correct. In addition, OpenD, CloseD functions return incorrect data.
by regtracer
25 Feb 2017
Forum: MultiCharts
Topic: Bug in Session of Weekend
Replies: 21
Views: 2126

Bug in Session of Weekend

Hello, I think there's a bug in the session definition during weekend. Some future contracts such as Coal in Dalian futures exchange trade through weekend. For example, a single trading day contains sessions from Friday 9pm to Saturday 2am, and from Monday 9am-3pm (session end). But when I tried to ...
by regtracer
03 Jan 2017
Forum: MultiCharts
Topic: Need slippage settings in Tick for futures backtesting
Replies: 6
Views: 952

Re: Need slippage settings in Tick for futures backtesting

Screen Shot 2017-01-03 at 4.56.41 PM.png
(10.33 KiB) Downloaded 762 times
Adding an option like this would be sufficient.
by regtracer
29 Dec 2016
Forum: MultiCharts
Topic: Need slippage settings in Tick for futures backtesting
Replies: 6
Views: 952

Re: Need slippage settings in Tick for futures backtesting

Is there anyone know how to add a feature request for this? Thanks.
by regtracer
29 Dec 2016
Forum: MultiCharts
Topic: Need slippage settings in Tick for futures backtesting
Replies: 6
Views: 952

Re: Need slippage settings in Tick for futures backtesting

For accurate testing of a futures portfolio, I need slippage setting in ticks instead of dollar amount since each future has a different tick value. Please add a slippage setting by how many ticks! You're not the only one who looks forward to this feature. There was a topic a year ago that asked fo...
by regtracer
29 Dec 2016
Forum: MultiCharts
Topic: Need slippage settings in Tick for futures backtesting
Replies: 6
Views: 952

Need slippage settings in Tick for futures backtesting

Hello,

For accurate testing of a futures portfolio, I need slippage setting in ticks instead of dollar amount since each future has a different tick value. Please add a slippage setting by how many ticks!

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