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MultiCharts lag time?
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MultiCharts lag time?

  #161 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
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Jura's Avatar
 
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bobbakerr View Post
(..)
I don't think I'll ever be able to compete in an automated mode with the Big Boys. I'm still working on another version of it though. I need to find a strategy that doesn't require instantaneous execution, where not being the 1st one in doesn't kill me. As it is now, I'm probably the last one in and either miss the profitable trades or get the losing trades.

A little disappointed, but I will never give up. And yes, MultiCharts is the best charting program out there.

How's it going Bob? Have you created a good working automated trading strategy, or have you chosen another path?

Regards,
Jura

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  #162 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
Broker/Data: Optimus Futures, Rithmic Data, TradeStation
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bobbakerr's Avatar
 
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Hi Jura,

No, I haven't been able to create a good working automated strategy yet. Things slowly got pushed onto the back burner for awhile. But I've been looking every now and then. I've stopped working on strategies that make hundreds of trades per day. I'm now looking at ES, where there is huge volume and where the little guy can get in and out without real competition (as opposed to CL).

However, the best I can come up with (so far) is + 4200 Net on 41 R.T.'s in the last 2 months with a maximum drawdown of only -680, based on TradeStation's data. I can't get more than those 2 months history with Range bars. Either TradeStation won't load it or it takes nearly the entire day to get it on the screen. And Backtesting is a nightmare due to the above problem.

The strategy works with 8-pt. Range bars and basically is just the price crossing a 6-bar moving average for a 2nd time, with a profit target and a stop-loss. But I just can't get enough trades to suit me. It's terribly frustrating to watch the ES go from 1072 to 1221 (which it has done in the last 10 days) and make only 3 R.T.'s, which resulted in only + 12 'profit'.

So, things are not right yet. Thanks for asking.

-- Bob

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  #163 (permalink)
Elite Member
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bobbakerr View Post
I can't get more than those 2 months history with Range bars. Either TradeStation won't load it or it takes nearly the entire day to get it on the screen. And Backtesting is a nightmare due to the above problem.

You have tons of tick data on this website and should be able to backtest over few years.

And if the issue is due to tradestation but the code is written in easy language you can always use our dear multicharts

Good luck.

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  #164 (permalink)
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Two months of backtesting is worthless, imo.

You need 2-3 years at minimum. Backtesting = curve fitting. Backtesting such a short time frame = ultra, ultra, ultra, ultra curve fitting. On top of that, 42 trades = worthless. 42 trades = ultra, ultra, ULTRA ULTRA curve fitting.

You can find several years of tick data in the main Elite Circle section, sticky posts at the top.

If your computer can't handle backtesting months of tick data, then I would stop using tick data and use minute bars instead. MultiCharts has a good algorithm to prevent inaccurate executions from unknown OHLC order, you are somewhat 'safe' using a 1 minute bar.

Mike

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  #165 (permalink)
Elite Member
Riverdale, Idaho, USA
 
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TheTrend View Post
You have tons of tick data on this website and should be able to backtest over few years.

And if the issue is due to tradestation but the code is written in easy language you can always use our dear multicharts

Good luck.


Thanks, Trend. I REALLY MISS MultiCharts, but I didn't renew when I got a little disappointed awhile back.

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  #166 (permalink)
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bobbakerr View Post
Thanks, Trend. I REALLY MISS MultiCharts, but I didn't renew when I got a little disappointed awhile back.

OK, then let's not use this thread any more if this isn't even about MultiCharts. This is off-topic.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #167 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
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Posts: 106 since Aug 2010
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Big Mike View Post
Two months of backtesting is worthless, imo.

You need 2-3 years at minimum. Backtesting = curve fitting. Backtesting such a short time frame = ultra, ultra, ultra, ultra curve fitting. On top of that, 42 trades = worthless. 42 trades = ultra, ultra, ULTRA ULTRA curve fitting.

You can find several years of tick data in the main Elite Circle section, sticky posts at the top.

If your computer can't handle backtesting months of tick data, then I would stop using tick data and use minute bars instead. MultiCharts has a good algorithm to prevent inaccurate executions from unknown OHLC order, you are somewhat 'safe' using a 1 minute bar.

Mike


Thanks for the response, Mike. And you're entirely right in everything you wrote.

I didn't know we had all that data for our use on your site. I'll for sure check into it.

And my program is based on Range bars -- not time. My computer can handle the backtesting -- it is a quad-core with 8 mb of memory. It ran very well with MC. But it and TradeStation don't get along well (!).

If I can find something anywhere near profitable (that can be traded in automatic mode), then I'm back to MultiCharts for some real backtesting. Perhaps I'll try the 1-minute bars with TradeStation if it won't handle my 8-pt. Range bars over an extended period. (When I say '8-points', I mean 8 FULL points, or 32 ticks.)

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  #168 (permalink)
Elite Member
Riverdale, Idaho, USA
 
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Platform: Optimus Futures + MultiCharts + TradeStation
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Big Mike View Post
OK, then let's not use this thread any more if this isn't even about MultiCharts. This is off-topic.

Mike

Yes, Mike.

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  #169 (permalink)
Site Administrator
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bobbakerr View Post
And my program is based on Range bars -- not time. My computer can handle the backtesting -- it is a quad-core with 8 mb of memory. It ran very well with MC. But it and TradeStation don't get along well (!).

Yes I understood. TradeStation is single threaded. MultiCharts will be 4-8 times faster on backtesting, probably more, on a modern quad core computer.

Add to that, Range bars are constructed using tick data. Minute bars have basically four properties per bar: Open, High, Low, Close. Whereas a single range bar has dozens, hundreds, possibly thousands of ticks associated with it depending on the market instrument and size of the bar. The disadvantage to minute charts (other than structure) is the ordering of the OHLC is not known. But like I said, MultiCharts has a safe guard that means that it will assume the worse, while other platforms tend to assume the best. This means that if you are long, MultiCharts will assume the low of the bar came after you got long, and before the high of the bar, therefore generating a loss.

Anyway, you should create a separate thread now that you are no longer using MultiCharts.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.


Last edited by Big Mike; October 16th, 2011 at 08:06 PM.
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  #170 (permalink)
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OK. Thanks for your help, Mike.

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