Thank you for your answer. Seems that retail platforms are inferior to what is capable with one programming his own platform. I just could not grasp what you were asking in the first paragraph? I define a trade as entering and exiting a position (round-trip). I define transactions as entering or exiting a trade. Are you asking the frequency I trade? Not more than 2 trades per day per instrument (signals based on H1 charts). What do you mean by "average entry and exits"? Are you asking the number of trades?
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Systematic/Quantitative Trading Testing and Analysis Environment
- Thread starter kojinakata
- Start date
Thank you for your answer. Seems that retail platforms are inferior to what is capable with one programming his own platform. I just could not grasp what you were asking in the first paragraph? I define a trade as entering and exiting a position (round-trip). I define transactions as entering or exiting a trade. Are you asking the frequency I trade? Not more than 2 trades per day per instrument (signals based on H1 charts). What do you mean by "average entry and exits"? Are you asking the number of trades?
Please read my comment again. I think it's self explanatory. I gave a set of trades and wonder what exactly you define as a trade. What would be your entry and exit prices and time stamps, using the specific data given?
Thank you for your answer. Seems that retail platforms are inferior to what is capable with one programming his own platform. I just could not grasp what you were asking in the first paragraph? I define a trade as entering and exiting a position (round-trip). I define transactions as entering or exiting a trade. Are you asking the frequency I trade? Not more than 2 trades per day per instrument (signals based on H1 charts). What do you mean by "average entry and exits"? Are you asking the number of trades?
Please read my comment again. I think it's self explanatory. I gave a set of trades and wonder what exactly you define as a trade. What would be your entry and exit prices and time stamps, using the specific data given?
My most basic trade is as follows:
I use MACD crossover as an entry to short/long position with a %2 risk calculated by the distance of the stop loss and the position size. The exit is just closing the position either by a trailing stop or a reverse signal from MACD. I don't reverse my position (long->short).
Does that answer your question? If not, can someone clarify what volpunter is asking?
As a side note: I emailed Mr. Thomas Wiecki about the blog post on Quantopian (http://blog.quantopian.com/parameter-optimization/), and I am waiting for an answer. The blog post was closed for comments.
I was asking whether you have understood yourself what a trade would be given the fills I posted as example. Forget your MACD strategy for a moment, after all you posted trading system requests that your MACD strategy would never require, so there is no connection. I simply asked, given the fills I posted, how would you construct trades? I really do not mean to be condescending when I say this but if you do not understand what I am saying then you should really start with the absolute basics. Before even ever reading about machine learning, genetic optimizations and the likes you should have a firm understanding of what a trade, for example, is. I say this for your benefit, certainly am I not wasting time to belittle you. So please take this how it was meant to be, a suggestion to be solid in fundamentals before approaching more advanced topics.
My most basic trade is as follows:
I use MACD crossover as an entry to short/long position with a %2 risk calculated by the distance of the stop loss and the position size. The exit is just closing the position either by a trailing stop or a reverse signal from MACD. I don't reverse my position (long->short).
Does that answer your question? If not, can someone clarify what volpunter is asking?
I write Trading strategies in many langauges. After long research and long time spent on various platforms, i came to the point that i have started to develop my own trading api in c#. Almost everything is supported what you have mentioned.
If you dont have programming skills or enough experience in internal dynamics, is it kind of patch work.
I even think that all these trading environments are made intentionally for basic needs, so traders cannot find edges or dont have the opportunity to see a statistical edge.
If you dont have programming skills or enough experience in internal dynamics, is it kind of patch work.
I even think that all these trading environments are made intentionally for basic needs, so traders cannot find edges or dont have the opportunity to see a statistical edge.
All of what you're talking about doing is extremely basic and codable in about 15 minutes in, and about 20 lines of code, Amibroker. Theres absolutely NO reason to build a system from scratch if that is all you need to do. The only thing that wouldnt be included is the paper trading reports, but you can build an automated system to interface with an Interactive Brokers Paper Trading account, ONLY trade that system on it and use IB's reports that will be far better than ANY software package you will be able to get.
Theres literally NO reason to spend 1000's of hours coding an entire trading architecture if you're not doing anything that Amibroker, or even some of the more basic BT softwares can do in an afternoon. Just because you're using a harder language, more code, more time and introducing WAY more probability for coding error if youre new, doesnt mean that gives you an edge.
Theres literally NO reason to spend 1000's of hours coding an entire trading architecture if you're not doing anything that Amibroker, or even some of the more basic BT softwares can do in an afternoon. Just because you're using a harder language, more code, more time and introducing WAY more probability for coding error if youre new, doesnt mean that gives you an edge.