MultiCharts: Trading Software for Automated Trading and Backtesting

ZaphodB

When I look at the strategy performance report for one strategy, it shows Max Drawdown of about 51% on the Performance Summary page but on the Annual Returns and Drawdown (%) page it shows the drawdown for one year as much as 902%. This doesn't line up with the equity graph. How is it calculating an...

ZaphodB

There is a function that tells you the number bars back you made the entry. You could use this to set the stoploss but it's not going to be accurate/set until the first bar AFTER the entry is made. Something like this. Maybe it will work for you

Code: Select all

MyEntryBarLow = Low [ BarsSinceEntry(0) ]

ZaphodB

I'm having an issue with PT ever since I messed with the "use symbol cache for backtesting" setting. I now have that setting turned OFF but still having issues. Whenever I try to do backtesting it loads 390 minutes worth of quotes and stops there. It doesn't even try to launch TS to get the remainde...

ZaphodB

My signal originally uses daily bars but has IOG on.. So, I did some fairly intensive coding to make it work close to the same way on sub daily charts so I could use it in PT (because IOG doesn't work in PT). I figured for these purposes, using 5 minute bars would be granular enough and going back 5...

ZaphodB

I'm trying to backtest Portfolio Trader for the SP 500 and it keeps crashing the computer. I used the highest level AWS Workspace available with 8 vCPU and 32 GiB Memory and it still happened. What kind of computing power is needed here?

ZaphodB

Ok, thanks. I think the issue may be that people don't trust IB data so they're often using another data source and that's where all the posts about mapping with IB come from. I was planning on using 5 minute bars so hopefully IB data will be good enough for that.

ZaphodB

I've seen plenty of posts with people complaining about having to map IB symbols but I can't find any information about what typical mapping is done. I assume SMART for execution but which exchange are people using for the data? I want to use IB for both data and order placement for SP500 symbols an...

ZaphodB

Having difficulty accessing the Bug Genie. Please add me as a vote for fractional share trading in Portfolio Trader

ZaphodB

Ok, that's funny because I was trying to think of a way to do that. I was thinking about requiring 4 ticks past to fill orders and also setting slippage to the value of 4x min move. It's an improvement but not perfect because if the price moves more than 4x min move in the 4 ticks past, you're still...

ZaphodB

I just found this wiki article: https://www.multicharts.com/trading-software/index.php?title=Limit_Order_Execution_Assumptions According to that, it waits until the price gets past your limit but then fills at the price that is past your limit (instead of the original limit price). That's unfortunat...

ZaphodB

Greetings, I feel like a big portion of my learning with MC over the years has been learning all the different ways MC can give you unrealistically good backtesting results (understanding IBOG, bar magnifier, spreads, latency, etc). I think I've eliminated many of the issues and I'm getting more rea...

ZaphodB

My general advice: use PT for backtesting, and avoid, at all costs, using it for live execution. Go for your separate charts with IBOG, your execution stack will be more stable.

Hope that helps.

Appreciate it!

ZaphodB

-> One of my main questions is if a PMM signal closes a position during a round of calculations, will that freed up equity be available for entries during the same round of calculations? I was unable to find a PMM keyword that speaks to this You could write a test to figure this out if absolutely n...

ZaphodB

Thanks for the info! I wonder if there's some way to have the MM signal have the entry logic for each symbol and if the entry logic is true, "print" a log/count. Then this could be referenced by the actual entry strategy so it can divide capital by the number of symbols entry logic was true for. I h...

ZaphodB

Hmm, I checked and it worked for me with 1 dataset too. I assume it's due to the fact that different symbols can have different holidays. You could try going through quote manager and making sure they have the same sessions and holidays. However, that may be a waste of time if (date of tomorrow) is ...

ZaphodB

I was able to get that above code to work. Also, when you post code use the </> icon in the post editor to mark it as code, or people will say something every time (like I'm doing right now haha)

ZaphodB

I think your issue is using the below part of code: condition1= dayofweek (date of tomorrow) = monday; condition2= dayofweek (date of tomorrow ) = friday; I've never seen date/day code used the way that you did. Check out the code below. I also fixed part of your code that was redundant where you de...

ZaphodB

I have a decent amount of experience with MC now but have never used Portfolio Trader. I really should have used it earlier because it looks like the best way to test strategies that don't need IBOG or bar magnifier. It is also really cool to think about trading hundreds of symbols and having that l...

ZaphodB

There is now other information I'm trying to get about a previous session and wish I could use built in function like HighD (but HighSession) instead. To be less resource intensive (than the code above), I thought about changing the time zone so that when the session starts at 17:00 Central Time in ...

ZaphodB

Hello Zaphod, The wrongSessionIndex error appears in sessionStartTime(0, CurrentSession(0)) function when CurrentSession(0) = -1 Please add a condition so that the function is only called when CurrentSessions(0) is equal to 0. if CurrentSession(0) <> -1 then begin sessionStartTime(0, CurrentSession...

ZaphodB

Gmail has always been finicky for me with MC alerts. Soon, gmail is no longer going to allow "less secure apps" at all (and it considers MC to be a "less secure app"). What is a simple free email service that has worked smoothly for you with MC alerts?

ZaphodB

If I'm using both data 1 and data 2 with daily bars and have the bar magnifier set to minutes, is the backtest updating data 2 every minute or just data 1? Thanks

ZaphodB

I've searched and haven't found a great solution for limiting the number of trades per session. I made the below code but it's giving me an error message "Wrong session index: -1". Does anyone have a better way of doing this? I don't think I can use the EntriesToday function because it's a futures c...

ZaphodB

Maybe better for a feature request but I wish I had the option of recalculating within bars in a conservative fashion (for a reversal strategy). I wish I had the option for this: Positive/green bars would calculate at every 0.25 movement in this order, Open to Low to High Negative/red bars would do ...

ZaphodB

Ok, thanks. I guess I misunderstood that MC wiki article. I guess they mean that a limit order could be executed at "every valid price level" but not a market order. Is there a way to get it to recalculate on every 0.25 movement throughout the range of the bar? I know I could use the bar magnifier b...

ZaphodB

In this MC wiki link: https://www.multicharts.com/trading-software/index.php?title=Intra-bar_Price_Movement_Assumptions it mentions " An order could be executed at every valid price level throughout the entire range of the bar ." What is the definition of a "valid price level"? All my orders in back...

ZaphodB

A big thank you to Tammy who helped me out with this via chat! It turns out that I had old data for the ticks and new (updated) data for the minute based bars. Now I understand better how the bars are built etc.

ZaphodB

I found a section that's even worse.. What's happening here?

erranttrades2.JPG: (101.63 KiB) Not downloaded yet

ZaphodB

erranttrades.JPG I started noticing crazy backtesting results and found the root of the cause to be these errant trades that are buying on these ticks way outside of the candles. I tried updating MC and reloading data but still having issues. There are ticks well outside the normal range of data. W...

ZaphodB

Hello Mr. Beeblebrox, If it generates improved inputs but there's a pre-existing position, how does it handle that position? If new inputs are generated and applied to the strategy, the current position will be saved, but all the active orders generated by the strategy before that (with the old inp...

ZaphodB

I'm interested in playing around with the Self-Adaptive trading feature. If it generates improved inputs but there's a pre-existing position, how does it handle that position? Will it close it if the new inputs deem we should be flat? Will it reverse it if it deems we should be on the other side of ...

ZaphodB

Nice, I'll have to look into Amp. Thank you

ZaphodB

A suggestion would be to open an account with AMP Futures (or a company that is similar). You can select just CME,CBOE,NYMEX or COMEX , I think for $10 each or as a bundle for $31 a month. Those are the exchange fees. CQG gets paid cents per trade. While they claim there is no inactivity fee. I wou...

ZaphodB

Thanks, guys. What's the best way to get CQG data if I'm not trading through them? I imagine it doesn't come free.. Do I need to open an account and keep a minimum balance or do they offer data subcriptions?

ZaphodB

Thanks for all the info, guys. It sounds like it's down to CQG and IQFeed. I see that IQFeed has a discount program for CME data ( https://www.iqfeed.net/index.cfm?displa ... =feewaiver )

Any idea where the servers are located?

ZaphodB

IQFeed is the data provider many MC users prefer for this purpose because of its accuracy and tick history.

Thank you, do you know the server location for their futures data? It seems like you are implying that it is indeed possible to use a different data feed and broker for live trading?

ZaphodB

I recently made the switch from TS to MC+IB and found that the IB data was less precise to the point where it was seriously changing my trade signals (second bars). If I'm reading the wiki correctly, I could theoretically use TS for data for my MC chart while trading through IB brokerage. Is that co...

ZaphodB

Hello ZaphodB, The settings which are used as default in Interactive Brokers data feed configuration are the optimal ones. However, one should keep in mind that Interactive Brokers and TS are different data feeds and therefore, there might be differences in data. Also, historical data can sometimes...

ZaphodB

Hi,

I'd suggest you have a look at the Linear Regression fucntion. It has the ability to calculate its future projection.

Thanks so much, I'll take a look

ZaphodB

Are you able to provide an example with code? I am unable to find anything about price projections in the Easy Language manual or MC knowledgebase. I know this could be done with some longwinded mathematical formulas that solve for X but I didn't know if there was an easier way to do it with MC.

ZaphodB

I am trying to refine my entries and also realizing the shortfalls of backtesting vs reality when it comes to actual fills. As we know, the biggest aspect of whether your order gets filled (when trading does occur at your desired price) is who got their orders in first at the desired price. Is there...

ZaphodB

I am transitioning from using TS to using IB. When I add IB as a Data Source there are all sorts of settings that weren't available for TS, ie "Ignore bars with zero volume". My backtesting and forward-testing is all based on TS data. What settings should I use for the IB Data Source to ensure that ...

ZaphodB

Excellent, thank you

ZaphodB

If I were to allocate parts of my strategy code to functions, would that slow down the calculation time? Let's say it's a pretty simple strategy and you move parts of the code to functions with all things pretty much being equal, what percent effect would this have on speed?

ZaphodB

Hello Zaphod, Here is a code example as an option for you: once cleardebug; [IntrabarOrderGeneration = true] Input: drowdown(500);// positive value inputs: LECondition( C > O ) ; inputs: SECondition( C < O ) ; var: intrabarpersist trade_on(true); var: intrabarpersist maxEQ(0); var: intrabarpersist ...

ZaphodB

That's a very good idea. My plan was to watch the signals and manually trade at first, but your method is probably better. Thanks so much

ZaphodB

Greetings gang, I have been using TS to trade while using MC to backtest. I had bought MC while it was on sale because I thought I'd use it eventually to trade and it seemed to have a bigger community. Now the time has come where I'm switching from TS to MC+IB. Are there any landmines I should watch...

ZaphodB

Good afternoon, I'm working on a strategy that day trades only one instrument. Several trades per day. I want the strategy to stop trading for the day if a certain drawdown is reached and I want to be able to backtest it. I'm familiar with MaxIDdrawdown, however, that doesn't reset each day. If one ...

ZaphodB

Greetings,

I would like to put my 2 cents in and request that you can backtest a strategy using % of equity per trade. That would be a more realistic way to trade in a stock account and the results would be more applicable.

Thanks,
Zaphod

ZaphodB

Ah, I see! The signal won't start at all unless it can view the entire MaxBarsBack, even if the referenced input isn't used in the signal logic... When I had the chart date start earlier on Data2, it had enough bars to start the trading earlier in 2017, hence the lack of 2 trades if I started both D...

ZaphodB

I just tried making Data2 go back a few more days further than Data1 and it corrected the issue. I don't understand why that would make a difference though, because Data2 isn't referenced anywhere else in the code except initially as an input..... Trying to figure out the workings of MC because I th...

ZaphodB

Actually, I just did an update on MC and now I can't duplicate changed results from adding BlahBlah input but I CAN duplicate changed results from adding input from Data2. I was getting delayed error codes on the chart view when I was using the BlahBlah input, so I did the update on MC. However, lik...

ZaphodB

Thanks, by MaxBarsBack, do you mean the setting under "Strategy Properties"? It stays at 50 bars back whether the code has the Data2 input or not. I haven't checked to see what trades are missing because this didn't seem like a code issue and like it was something beyond that... I also tried somethi...

ZaphodB

Have been trying for the past few hours to figure this out with no luck. Appreciate any help. I noticed that simply having an input that uses Data2 will affect the trade signals even if none of the trading logic references the Data2 input. I loaded AAPL charts for 01/01/2017 to present date with 10 ...

ZaphodB

Thank you! I also found the Highest and Lowest functions through reading an old post on another forum. I was starting to worry that I hit a roadblock with capability of EL/PL and it would negatively affect my performance. Seems like I can reference historical data sufficiently and what I'm trying wi...

ZaphodB

Hi, Perhaps the MRO and LRO functions could be useful to you That is supremely helpful. I could compare the MRO of deviation exceedance to MRO of buy signal to create the switch I think. Thank you! On another note, is there a way to get the lowest or highest value of an array of a specified lookbac...

ZaphodB

Crap, this doesn't solve it because I still have issue with storing deviation exceedance over prior bars but I think I just need to add another array variable. A job for tomorrow.

ZaphodB

I may have found a way to do this but not sure if my understanding of arrays is correct. I'm not sure if the variables have to be initialized as an array or just using these style brackets [ ] turns a variable into an array whilly-nilly. I attempted below to get the low price of the last 5 bars IF t...

ZaphodB

What is your chart resolution? 1 hour chart Can you draw a diagram to illustrate your thoughts? I think I can. Will that help you answer my question if I do? What are the "What-if" scenarios you will encounter? Not sure what you mean by what-if scenarios. This is intended as an exercise. My goal is...

ZaphodB

Also, if I'm understanding correctly, I'm going to have a problem with "ZaphodLow" where the value will be the Low of the current bar and won't stay at the lowest low of recent bars (which is what I'm intending to do). This also is part of my original query of how I can get a variable to store a val...

ZaphodB

Greetings community, I have been spending free time whenever I can working on learning EL/MC. I am getting stuck on storing data in a variable for future bars and with setting trailing stop ENTRIES. I spent many hours scouring the internet and manuals trying to figure this out and I am new to progra...

ZaphodB

Awesome, thanks for the help! Regarding dailyOpen, I reckon I can plot it somehow to see what it is referring to. I'm inclined to think it's referring to the beginning of premarket (instead of regular session) based on how it's behaving. I think there's also a way I can get a readout of the value of...

ZaphodB

Thanks, fixed the appearance of the code. Do you have any knowledge you can share on the questions I asked?

ZaphodB

Greetings MC Community, I have spent several hours toying around with MC and PL and have a few things I haven't been able to figure out yet but thought I would by now. I've tried to find answers to these with no luck. Any help is appreciated. 1. How are negative numbers coded in PL? I know the "-" s...

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