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Automated CL Spread Trading in Multicharts
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Automated CL Spread Trading in Multicharts

  #1 (permalink)
Elite Member
Denver Colorado
 
Futures Experience: Intermediate
Platform: Multicharts
Favorite Futures: Forex
 
Posts: 23 since Apr 2013
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Automated CL Spread Trading in Multicharts

How would you go about programming in automated spread trading in Multicharts? I have quite a few fully automated systems, but I don't have any that trade two instruments. My first thought was to create the rules and apply the signal to a chart with the front month CL contract, and reverse the rules for a chart with the second month CL contract. I have seen a little on the forums about global variables, but am unfamiliar. I'd greatly appreciate any input on how you might implement spread trading in Multicharts.

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  #3 (permalink)
Market Wizard
Hamburg Germany
 
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JHall65,

you can do that much easier now than before with the Portfolio Trader (available in MC9 beta). Take a look at the examples, they even provide a spread trading strategy.

Regards,
ABCTG

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  #4 (permalink)
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I have actually been developing a spread strategy with the new beta portfolio trader. It is totally possible, and seems to work. However the trading and debugging can be unclear because all you see is the performance report as a result. Its much harder to detect what exactly is going on.

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  #5 (permalink)
Market Wizard
Hamburg Germany
 
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That's true as you don't have the chart for "debugging" visually. Adding print statements to the strategies and money management strategy seems like the only way to do it. You might also be able to show a little bit of more information with the pmm_set_my_status and pmms_strategy_set_status reserved words within the portfolio trader.

Regards,
ABCTG


treydog999 View Post
I have actually been developing a spread strategy with the new beta portfolio trader. It is totally possible, and seems to work. However the trading and debugging can be unclear because all you see is the performance report as a result. Its much harder to detect what exactly is going on.


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  #6 (permalink)
Elite Member
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ABCTG View Post
That's true as you don't have the chart for "debugging" visually. Adding print statements to the strategies and money management strategy seems like the only way to do it. You might also be able to show a little bit of more information with the pmm_set_my_status and pmms_strategy_set_status reserved words within the portfolio trader.

Regards,
ABCTG

Yes print statements are pretty damn critical here. I have even had to format and export them because the output window is just not good enough.

Something I have also done is isolating specific trading rules that can be put onto a chart. Like a single side of the spread, then cross checking that with my output of the file and performance report. Extremely annoying but possible. There are a lot of little things that can shift what you see on the chart and what the performance report from the portfolio trader tells you.

Lets just say I was getting different entries, and multiple 2nd instrument hedges for no reason. But was finally able to get the isolated rule to match the trading report from portfolio.

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  #7 (permalink)
Trading Apprentice
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IMHO, you'll get picked off far too frequently. If I can get picked off doing it in an office within the CME building with a co-located server using TT AutoSpreader - my suspicion is that your results might be similar. Not worth it.

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  #8 (permalink)
Trading for Profit
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Isn't TT spreader one of the best for spread trading ?

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  #9 (permalink)
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shanemcdonald28 View Post
Isn't TT spreader one of the best for spread trading ?

Yes but thats only for execution, it does not provide any analytic tools that i am aware of.

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  #10 (permalink)
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JHall65 View Post
How would you go about programming in automated spread trading in Multicharts? I have quite a few fully automated systems, but I don't have any that trade two instruments. My first thought was to create the rules and apply the signal to a chart with the front month CL contract, and reverse the rules for a chart with the second month CL contract. I have seen a little on the forums about global variables, but am unfamiliar. I'd greatly appreciate any input on how you might implement spread trading in Multicharts.

Yes, that is how I did pairs trading with stocks back in 2008 with Multicharts. So for example I had CVX data1 and COP data2 on one chart and on another chart I had COP data1 CVX data2. Its been a while since I've used that program but I recall having to have intrabar execution enabled on both strategies. You also need to ensure that your strategy is absolutely symmetrical so that the signal is the same value even if you flip the symbols. I had to modify the strategy specifically to get it to be symmetrical in Multicharts, but it certainly is possible.

I had it running with ~50 pair trade strategies running across multiple co-integrated stock pairs. Good luck.

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