Multicharts developers asleep

Questions about MultiCharts and user contributed studies.
oscar
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Multicharts developers asleep

Postby oscar » 30 Sep 2006

I bought this program 6 months ago and have not seen one update, What a joke.

Sigma Trader
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Postby Sigma Trader » 01 Oct 2006

Only 6 months? Try waiting two years or more for expectations to be fullfilled. Fact is this list is sounding more and more like the evolutionary path of TS4, TS2k, lots of complaints.

Teresa_Lo
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Stop the Whining

Postby Teresa_Lo » 01 Oct 2006

It is stated that the current price of MultiCharts reflects the software's development stage, so it would be more helpful to provide useful feedback instead of whining.

Guest

Postby Guest » 01 Oct 2006

Feedback has been provided, and many months later features promised 9 months ago are still missing or incompletely functional. Delivery of the additonal options keeps slipping month after month, whatever the reason... It is more a statement of fact than whining. I still have high hopes for MC in the future, but in the meantime its limitations are too limiting and not coming fast enough for what i need to do, so it goes on the back burner while some class acts are being used...akin to a short term trade becoming a long term hold. No offense intended, just fact, just reality. Perhaps someday MC will too be a class act. Come to think of it, i have never seen a completed product by any trading software vendor. They all go through the same iterations. Any perceived negativeness in this comment is mean't to be positive, if the translation comes through properly.

Teresa_Lo
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K.I.S.S.

Postby Teresa_Lo » 01 Oct 2006

I have used almost all of the charting software out there, and all I can say is that yes, users ask the developers for a lot of esoteric features thinking that it will make them money. But will more bells and whistles make them more money? I suspect not.

I mean, if one cannot look at a simple bar chart and see the direction of the market, how would all the bells and whistles help?

From my vantage point, MultiCharts is what it is. It gives a lot of power to those trading on a shoestring, but again, if the user can't differentiate between "up", "not up", "down" and "not down" by just looking at the chart, then the whole exercise is hopeless.

No software can help a clueless person make money.

A challenge: name some features MC does not have that you think would make you money?

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TJ
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Postby TJ » 01 Oct 2006

Hi Teresa:
How is your indicator working?
Would you have a 12 months performance report? Say for ES and 6E?
best regards
TJ

Guest

Re: K.I.S.S.

Postby Guest » 02 Oct 2006

A challenge: name some features MC does not have that you think would make you money?


Portfolio backtesting, Automated trade execution

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Alex Kramer
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Postby Alex Kramer » 02 Oct 2006

We have not had a release version for some 6 months, this surely is lots of time - but such is the nature of software development; we haven't been making any loud claims about extraordinary breakthroughs and stuff during that time.
Instead we developed and made available in the beta version a feature that we consider one of critical importance - backtesting.

Soon, as the beta testing completes, this will be incoroporated in our next stable release and we'll follow feature development with portfolio backtesting and optimization.

Sigma Trader
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Re: K.I.S.S.

Postby Sigma Trader » 02 Oct 2006

re: KISS
A challenge: name some features MC does not have that you think would make you money?[/quote]

I too have used a lot of software over the years and have betatested some of it, not only as a new owner, but as a betatestor. MC does have promise.

Looking at an OHLC chart can lead to deception and provides no edge. For example as price is moving up(eyeball method) the floor may being pulled out from the late buyers, or it may be strengthening. How can you tell with only a OHLC bar? Some may say C-O or some derivative oscillator or trendline, but by measuring and quantifying the inside bid/ask ratio the trader has a risk edge. MC Power Language should have the Intrabarpersist and Intrabarordergeneration functions added to its capability. To go one step further with the Intrabarpersist, MC should have a user option to store the data for recall for use when the chart is reopened and also used with a dll to push it to other charts. TS data for this vaporizes, i.e. is not saved for future use. Investor/RT has a user option to save the data, but is a kludge to setup. Ensign has done a nice job with it. Thus to sharpen the perception of the OHLC analyst and provide an edge, this is being submitted in responce to Teresa's challenge. Between vodka shots and FX trading during waking hours the MC developers can slip these functions into the PLE.
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Alex Kramer
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Postby Alex Kramer » 02 Oct 2006

Intrabarpersist already exists in the internal versions, so I guess the vodka and Forex aren't getting the upper hand of us. We'll consider the Intrabarordegeneration, thanks for the input.

Teresa_Lo
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For TJ

Postby Teresa_Lo » 02 Oct 2006

An upgrade of PowerTools is pending. You can try it for yourself and see how it goes.

Teresa_Lo
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For Sigma Trader

Postby Teresa_Lo » 02 Oct 2006

Let's extrapolate the argument about OHLC price bars not being "enough".

What if there is something else in addition to measuring and quantifying the inside bid/ask ratio? How do were really know that the inside bid/ask ratio is indicative of anything? There could be many other market microstructure factors, right?

Regarding intrabarordergeneration...well, it's like this. A trader might think that a 10-minute bar might be too long, so he dials down to 5, then 3, then 1, then ... ????

Teresa_Lo
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For Guest

Postby Teresa_Lo » 02 Oct 2006

Again, if your foo doesn't work on one symbol, it probably won't work any better for a portfolio.

Teresa Lo

Risk Adjusted Returns to Technical Trading Rules

Postby Teresa Lo » 02 Oct 2006

Here's some food for thought:
ideas.repec.org/p/sce/scecf1/147.html

Background
This paper is a continuation of our investigation of the paradox of technical analysis in the stock market (Fyfe, Marney and Tarbert (1999), Marney et. al (2000)).

The Efficient Markets Hypothesis (hereafter the EMH) holds that there should be no discernible pattern in share price data or the prices of other frequently traded financial instruments, as financial markets are efficient. Prices therefore should follow an information-free random-walk.

Nevertheless, technical analysis is a common and presumably profitable practice among investment professionals.

Applications of Genetic Programming and Genetic Algorithms to the extraction of Technical Trading Patterns from financial data. The subset of technical trading research which is concerned with the application of GAs, GPs and neural networks is very new and underdeveloped and therefore of considerable potential.

The most notable empirical work which has been done in this area is that of Neely, Dittmar and Weller (1996, 1997), Neely and Weller (2001) and Neely (2001). We have also done some work in this area ourselves (Fyfe et al. 1999, Marney et al. 2000).

The theoretical underpinning for this kind of approach to finding technical trading patterns is provided by the work of Arthur et al. (1997). Using the main six trading currencies, Neely et al. (1996, 1997) find strong evidence of economically significant out-of-sample excess returns to technical trading rules identified by their genetic program.

In Allen and Karjaleinen (1999) a genetic algorithm is used to find technical trading rules for the S&P index. Compared to a simple buy-and-hold strategy, these trading rules lead to positive excess returns which are statistically and economically significant.

In Fyfe et. al. (1999), a GP is used to discover a successful ÎbuyÌ rule. This discovery, as such, however, was not really a refutation of the EMH, as it was really a form of timing specific buy and hold, which was triggered only once. Nevertheless, the return is superior to buy and hold.

Using the S&P 500 index, Neely (2001) finds no evidence that technical trading rules identified by a GP significantly outperform buy-and-hold on a risk-adjusted basis.

For the case of intraday trading on the forex market, Neely and Weller (2001) find no evidence of excess returns to trading rules derived from a GP and an optimised linear forecasting model.

Indeed Neely (2001) observes that a number of studies have generally evaluated raw excess returns rather than explicitly risk-adjusted returns, leaving unclear the implications of their work for the efficient markets hypothesis' (2001, p.1).

On the other hand, Neely et al. (1996, 1997) did calculate betas associated with foreign currency portfolio holdings, and did not find evidence of excessive risk bearing.

Brown, Geotzman and Kumar (1998) and Bessember and Chan (1998) can also be cited in favour of the hypothesis of superior risk-adjusted returns from technical trading signals.

Marney et al. (2000) looked again at their 1999 findings by, amongst other things, adjusting for risk. It was found that although there were other rules which apparently performed well by being very active in the market, the impressive returns to these rules turn out on closer inspection to be illusory, as risk adjusted returns did not compare well with simple buy and hold.

Nevertheless, paradoxically, we did find a useful role for technical trading. It is possible to substantially improve on buy and hold by timing it right. Hence our argument is that it is worth analysing the market to find a good intervention point.

Purpose and method of the investigation
Given that very little work has been done on generating technical trading rules which produce excess risk-adjusted profits, and given that the empirical evidence is somewhat ambiguous, there is clearly considerable scope for additional work in this area.

What we propose to do then is to re-examine our previous findings, this time within a more rigorous framework which makes use of a wider data set, more extensive use of techniques of risk adjustment, and more demanding assessment of the robustness of the result with respect to GP representation.

1. Hypotheses - Can the GP generate technical trading rules which will generate risk-adjusted excess returns out of sample? Secondly, the is there any further evidence for 'timing-specific' buy and hold. Thirdly, are there any technical trading rules which generalise across data sets or time-periods?

2. Data Set - Our data set is drawn from long time series for 5 US shares from a disparate set of industrial sectors and also the S&P 500.

3. Risk adjustment - In this study we look at a variety of risk measures including Betas, Sharpe ratios and the X* statistic.

4. The GP - As in Marney et al. (2000) we consider how robust our conclusion is with respect to the GP method used.

Guest

Re: For Guest

Postby Guest » 02 Oct 2006

Again, if your foo doesn't work on one symbol, it probably won't work any better for a portfolio.


You are right but I was thinking about portfolio return variance.
Anyway portfolio backtesting is less important than automated trade execution for me.
Because MC wants to compete with TS, it must have automated trade execution as soon as possible !

Teresa Lo

MC vs. TS

Postby Teresa Lo » 02 Oct 2006

Personally, I don't think MC (or any other charting product out there) is competition for TS. Their business models are different.

That said, I don't think anyone who uses TS would ever use MC, just like those who use CQG and Bloomberg would never leave those services. They have too much invested, having gone up the learning curve.

Teresa Lo

For Guest

Postby Teresa Lo » 02 Oct 2006

The thing about portfolios is that there is the assumption that the user knows how to put one together in the first place. They generally leave out the "diversitication" part.

An extreme example: if a system "doesn't work" ABC index, how would the results be any different if the user has a portfolio of stocks that are highly correlated with the index?

Guest

Postby Guest » 02 Oct 2006

I think MC+IB ( or others ) will compete with TS.
New users will compare fees, markets... and I am sure MC+IB will beat TS.
I think that is why MC chose an EasyLanguage®-compatible language !

I just want to select stocks with good signal/noise ratio, long memory ( Hurst ) for my portfolio in order to beat the "random walk".

Nick
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Postby Nick » 04 Oct 2006

I agree with the orinal poster and Terresa. It makes a traders job much much much tougher if his or her tools are not reliable and consitant. I made that point here.

http://forum.tssupport.com/viewtopic.php?p=7735#7735

(if it dosen't link its the end of the beta thread).

AS for reporting bugs I suspect I have supplied more feed back than most (maybe all) beta testers. Here are a load of basic interface things for example.

http://forum.tssupport.com/viewtopic.php?t=2175

The interface and general look and feel of a progaram are again key to a trader if you are 'driving' it each day. For me these are far more important than the latest flashy indicator (the whole point of easylanguage is you can conjure that up in 10 minutes or maybe a day if its complex). I would wager that the largest majority of succesful traders use pretty simple tools - a trend line or channel, maybe a moving average, price action round these areas (perhaps a simple oscillator for those that can not read price action!) maybe some volume or order flow analysis.

Of course to attract the 90% of grail seekers genetic optemisation or the latest fractal rotaional velocity indicator are required! Still even these guys will probably not be seduced if the program is 'quirky'.

Cheers,
Nick.

shanoballs
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Postby shanoballs » 04 Oct 2006

I think the MC developers are doing a pretty damn good job. However, I have only been "holding the bag" for a month or 2. Compared to the other products that are available offering the same type of features, MC is a damn good deal. I think once these guys gets the backtesting sorted out and the automatic order routing implemented, this product will dance circles around other competing products. I only hope that MC developers continue to work to get these features (backtesting and auto order routing) fully working. I think those are the most attractive features for MC, at least they are the reason for my purchase. In any case, thanks for a great product, and keep up the good work. :wink:

Shane

gpw797
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Postby gpw797 » 04 Oct 2006

I purchased the software and have patiently been awaiting automated trading (why I bought it). I am doing automated trading now with a front end but really looking forward to an integrated solution that handles extries AND exits. My 2 cents (wait a minute 399 dollars) :) votes for keeping/putting automated trading highest on development priority list.


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