Hello Everyone,
I have a need to test my strategy but hopefully as realistic as can be in market situations. I am going to explain what it would need. Please let me know if it's possible with MC.net
I want to trade a portfolio of 100 stocks, say the SP100.
My account balance would start at $100,000 and I would select say 5 positions max. As a result of the parameters, it would automatically purchase the proper amount of shares, in this case up to 20% of the account balance per position.
By enabling the strategy, it would then enter and exit positions based on the strategy. It would enter either 1-5 positions depending if the criteria are hit. Once the max positions are reached, it will no longer enter new positions until a position is exited. It will calculate new positions based on profit/loss. If a position exited with a 5k profit, it will enter a new position based on the new account balance of 105k and enter 20% fo that and vice versa if a loss.
One additional feature needed would be a way to rank the symbols so it picks the best symbol to enter out of the ones that meet the entry criteria. So if there are currently 3 symbols in the portfolio, that means there is room for 2 more symbols. If 6 stocks fit the entry criteria, it will enter the best 2 based on ranking. If the ranking were based on say ADX indicator, it would pick the 2 with the highest ADX number.
This type of portfolio trading "engine" should be able to be backtested, optimized, walk-forward, and run live.
I feel this type of testing is important because it can simulate how the strategy would trade in different types of market environments.
Can something like this be built with Multicharts? I don't know all the capabilities but wanted to ask before I researched for weeks and then found out it's not possible. I am not a good programmer, but if it's possible and somebody can point in the right direction, either a link, or perhaps a template, or sample strategy that has the functions I need, would be very very appreciated.
Thanks so much.
Jeff
Simple Portfolio Trading Simulation engine
- fbertram
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Re: Simple Portfolio Trading Simulation engine
Hi Jeff,
While I am not overly familiar with the .Net version of Multicharts, I can tell you that I am successfully doing what you are describing with the EasyLanguage version.
Have a look here:
http://www.multicharts.com/trading-soft ... lio_Trader
There are also some examples how to use Portfolio Trader, have a look at these.
Cheers, Felix
While I am not overly familiar with the .Net version of Multicharts, I can tell you that I am successfully doing what you are describing with the EasyLanguage version.
Have a look here:
http://www.multicharts.com/trading-soft ... lio_Trader
There are also some examples how to use Portfolio Trader, have a look at these.
Cheers, Felix
Re: Simple Portfolio Trading Simulation engine
Thank you Felix,
Ok, it's good to know that it can be done. I just have to play around with the code since I'm not that great at coding. I took a look at the link (thank you), but it doesn't give an example of how to actually integrate it what I need.
The problem I seem to have is getting the ranking/sorting to work with the portfolio trading and entering the right symbol based on the ranking.
Do you, or anyone have a sample code that I could look at, to integrate the ranking into the portfolio management strategy?
I am not asking for anyone's proprietary trading strategy, just the integrating of ranking into the trading. Either a website, or somebody's simple strategy (buy when 10ma crosses 30ma), just to look at how the code is written to integrate it.
Again, thanks so much.
Jeff
Ok, it's good to know that it can be done. I just have to play around with the code since I'm not that great at coding. I took a look at the link (thank you), but it doesn't give an example of how to actually integrate it what I need.
The problem I seem to have is getting the ranking/sorting to work with the portfolio trading and entering the right symbol based on the ranking.
Do you, or anyone have a sample code that I could look at, to integrate the ranking into the portfolio management strategy?
I am not asking for anyone's proprietary trading strategy, just the integrating of ranking into the trading. Either a website, or somebody's simple strategy (buy when 10ma crosses 30ma), just to look at how the code is written to integrate it.
Again, thanks so much.
Jeff
- fbertram
- Posts: 166
- Joined: 16 Oct 2014
- Location: Seattle, USA
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- Contact:
Re: Simple Portfolio Trading Simulation engine
Hi Jeff,
Did you see the link to the samples at the bottom of the page I pointed you to?
Here is some sample code:
http://www.multicharts.com/trading-soft ... y_Examples
This code is in EasyLanguage (or PowerLanguage). If you are not great at coding that's what I would recommend to you instead of .Net... That's also what I am using myself.
Cheers, Felix
Did you see the link to the samples at the bottom of the page I pointed you to?
Here is some sample code:
http://www.multicharts.com/trading-soft ... y_Examples
This code is in EasyLanguage (or PowerLanguage). If you are not great at coding that's what I would recommend to you instead of .Net... That's also what I am using myself.
Cheers, Felix
Re: Simple Portfolio Trading Simulation engine
Thank you Felix,
I will take a look at them. However, I already purchased the .net version and I figured that would be more flexible in the long term as my needs may grow.
My friend who has more programming experience will help me w/ the general structure of it. However, he is not familiar w/ MultiCharts.net so that ranking part, I hope he can use the easylanguage sample you gave me, and somehow "convert" it to the .net version.
If there is a working sample of the ranking strategy that would be easier
trying my best
Jeff
I will take a look at them. However, I already purchased the .net version and I figured that would be more flexible in the long term as my needs may grow.
My friend who has more programming experience will help me w/ the general structure of it. However, he is not familiar w/ MultiCharts.net so that ranking part, I hope he can use the easylanguage sample you gave me, and somehow "convert" it to the .net version.
If there is a working sample of the ranking strategy that would be easier
trying my best
Jeff
- Henry MultiСharts
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Re: Simple Portfolio Trading Simulation engine
Hello Jeff,
There is a prebuilt working example of portfolio ranking system. Please see the following signals:
Portfolio_Rank_MM
Portfolio_Rank_Signal_Base
There is a prebuilt working example of portfolio ranking system. Please see the following signals:
Portfolio_Rank_MM
Portfolio_Rank_Signal_Base
Re: Simple Portfolio Trading Simulation engine
ok thank you, will look at it, and hope to incorporate it