MultiCharts Portfolio Trading Strategies

Dear users,

We are currently working on the design and features of the MultiCharts Portfolio Trading. We would like to hear your thoughts and suggestions regarding the Portfolio Trading strategies you would like to have implemented as the default strategies. Please describe the logic, provide code examples with comments of what functionality you would love to have, create screenshots and diagrams. This will help us to create the prebuilt studies and introduce the features all our users are waiting for.

Within Portfolio Trading, apart from the obvious basics, I would like to see the following functions as an option when configuring the portfolio rules:

1 - Being able to assign our own custom signals to a portfolio. We have already programmed our own custom signals using MC.Net.

2 - Ability to split a list of portfolio instruments into custom groups/lists (asset classes, instrument types or exchanges)

3 - Assign group/list level asset allocation rules based on a portfolio % or $ value (i.e no more than x allocated to group 1)

4 - Ability to set signals at the group/list level (apply different signals to groups if required)

5 - Ability to set custom position sizing (risk management) rules based on a portfolio % or $ value, or group % or $ value. i.e. risk no more than x % or $ value per position/trade.

6 - Custom automated trailing stops. Depending on the variables set for the custom stop, these will be used when calculating the position size (difference between entry price and custom stop loss price). These stops will then automatically be set as an exit signal.

7 - Ability to prioritize entries if 2 or more signals/set ups trigger at the same time. i.e. a method for deciding which of the instruments should be bought if the portfolio or group level allocation rules only permit to buy one signal. I would like to see this based on risk management - i.e. based on the position sizing rules; buy the signal that has the lowest initial risk (entry price vs initial stop price)...

8 - Ability to trade more than one portfolio at a time (maybe in a different workspace?)

If these customizable options or something very similar could be part of portfolio trading, that would be great.

Hi Henry,

Does this mean you guys are almost done with portfolio trading, and it will be available for public beta testing soon?

I would like the ability to access each individual symbols as well as every symbol in the list via power language. This would allow you to create a generic strategy instead of having to change your code when you change your symbols.

eg.

if symbol1 ... then begin - refers to the first symbol in the list
if symbol2 ... then begin - refers to the second symbol in the list
for each symbol - refers to every symbol in the list

instead of if symbol = "MSFT" ... then begin

Pairs and Spread Trading

Give us the ability to trade sub charts - data2, data3, data4, etc. This will reduce the numbers of chart required for pairs and triplets trading.

Currently, we need to open two charts to do pairs trading because we can only trade data1. Each chart requires two subcharts - data1 and data2. That is a total of 4 charts for one pair. You need a total of 9 charts for one triplet. This can quickly get out of hand.

Sample code

if spread of (data1/data2) is low then
begin
Buy 100 shares next bar at market for data 1
SellShort 100 shares next bar at market for data 2
end;

if spread of (data1/data2) is high then
begin
Buy 100 shares next bar at market for data 2
SellShort 100 shares next bar at market for data 1
end;

add Strategy in Market Analyzer and global variables, for check how many position open and other ...function for terminate strategy

if run Strategy on 100 ticker's, need open 100 chart's this crazy idea ?

...but for this need WathcList !!!

Multichart's add millisecond, but if run Strategy on splited stock's, may have good result ))

Henry:

Thanks for asking for our input. I would like to be able to print a daily report listing the securities being traded in my portfolio, the current status of any open positions, i.e., long, short, or flat, as well as any changes generated as a result of data updates and signal parameters being met.


virginiatrader

I am unable to create and test strategies on multicharts for 2 reasons.

1. There is no trade data saved when testing strategies. I am required to manually export performance reports or I lose all the data if program crashes or restarts. I do not see how anyone can test in this environment.

2. I have to open a chart for each strategy to test it.

I think the online Market Scanner has some good features that would be of great use to the Portfolio backtester:
- the ability to add an indicator and SORT the instruments by that indicator value, like in Market Scanner. Essentially, a set of arrays/variables specific to each indicator (each variable is based on simple operations like min, max, avg of the symbol list close values, top most or top less ...) should then be updated with each bar and kept into a global space. It would be great to be able to define your own custom formula for such a variable.
- get access to these global aggregate variables (specific to each indicator applied to a portfolio of instruments) from within each instruments' signal thread.
- there should be a signal with a "Strategy" scope, that could reference each and every symbol, and each global variable. orders could be placed here on any of the available symbols.

Any updates on when portfolio trading will be made available?

Any updates on when portfolio trading will be made available?

Portfolio Trading will become available in MultiCharts 9. If you want to participate in the beta testing of this functionality - please send an email to support@multicharts.com

Ability to preform correlation analysis on list of ranked symbols from the market scanner and submit trades with position sizing determined by results of analysis. For example :
1. Insert your chosen custom or standard indicator into the scanner to base the ranking on.
2. Rank the list and use the top ranked symbols, say the top 40 based on the selected indicator.
3. Preform a correlation analysis on the resulting list to determine position size of each symbol. This type of analysis can currently be preformed using the solver feature in Excel. For example by solving for a maximum gain over some time period with a not-to-exceed level of volitility.
4. Used this result to rebalance an account. If using an IRA account buy and sell timing must be implemented to avoid exceeding account balance at any given time. This same buy and sell methodology could also be used for a margin account but would not be required.

Some parameters to consider :
1. Maximum leverage, this could be 1.0 or less for an IRA account and above 1.0 for a margin account.
2. How many of the symbols from the ranked list to consider.
3. Maximum position size, for example 10% of account value.
4. Maximum allowable risk, such as drawdown amount or % or standard deviation.
5. Minimum number of positions.

Hopefully this will serve as a discussion starter.

I agree with dougb, when trading a portfolio good money management (position sizing) is key otherwise you will quickly find yourself in a margin call or blown up.

Please add position sizing to MC 9 as it is vital.

Vote for it now: https://www.multicharts.com/pm/viewissu ... no=MC-1492

I agree with many of you that the bigger drawback of portfolio backtester is that it can’t consider the relation between each portfolio element.
In my view should be helpful to introduce a kind of a table accessible from the strategy code each time it is executed on each symbol.
For example it will be helpful in order to:
1) Calculate indicator value on each symbol in portfolio
2) Store that value in a list
3) Sort that list
4) Access to that list from the strategy

I'm looking forward for these improvement

hi, I would like to see the ability to use mc to manage risk and capital based on any combination of:
1. Equity available at the time each new trade comes up.
2. Amount of risk and number of positions across the portfolio.
3. Amount of risk and number of positions across a system.
4. Amount of risk and number of positions within a sector.
5. Amount of risk and number of positions for a particular stock or future.
6. Amount of risk and number of positions for long trades.
7. Amount of risk and number of positions for short trades.
8. Amount of risk and other metrics for a trade under consideration.
Margin requirements.
Start-up capital and starting date.
Current market volatility.
9. User-defined metrics.

easy to incorporate of money management rules to a portfolio of system and assets is critical .

Another very useful improvement could be introducing a max number of open position on the whole portfolio.

Actual function "max position number" is referred instrument by instrument, and the other function on the max equity percent doesn’t work as I want when equity go up.
It could be nice to have a "max position number within the whole portfolio"..

For example I’ve developed a system that scan 3k stocks, but I don't want to open more than 10 positions at the same time. Today I can't use it because I can't limit the risk!

I thanks in advance support & development staff for taking care of our request!

Best regards