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Running an automated strategy on multiple instruments
Started:January 25th, 2013 (12:10 AM) by tmcdonough10 Views / Replies:1,805 / 1
Last Reply:February 15th, 2013 (06:54 PM) Attachments:0

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Running an automated strategy on multiple instruments

Old January 25th, 2013, 12:10 AM   #1 (permalink)
Trading Apprentice
Newport Beach, CA
Futures Experience: Beginner
Platform: Amibroker, MultiCharts
Favorite Futures: Stocks
Posts: 2 since Jan 2013
Thanks: 0 given, 0 received

Running an automated strategy on multiple instruments

Hi all,

Perhaps I am missing something very obvious. Up until now, I've used AmiBroker to backtest trading systems on all (or nearly all) of the currently traded equities in the U.S. This equates to over 5000 stocks. Amibroker is able to scan all of them at the same time without opening new charts for each equity.

I now want to use MultiCharts or a similar software package to set up automated trading. I.e., I want to program in a set of rules regarding entry and exit (both long and short), factor in position sizing, and then have MultiCharts (or similar) do the following: 1) Download data (30-sec or minute are both acceptable) from provider for all 5000+ stocks. 2) Scan the stocks for entries/exits (some of my rules will reference up to 60 days of prior data--though I would only need EOD for those rules. I believe it's possible to use multiple time-frames in your systems in MC?). 3) determine proper position size based on total account equity. 4) enter/exit positions through my brokerage, including stops as per system rules. 5) repeat process every 30-sec or minute.

So far, it seems like you can only run your strategy by opening up a chart. I doubt my computer would be happy with me having 5000 charts open concurrently.

There has to be something I am missing; I have looked, but have yet to find an answer to this seemingly simple question. Any advice is greatly appreciated. Thanks guys.


P.S. I had heard that MC .NET could be useful. My friend is proficient in C# and is happy to help me program a .dll that will help me achieve this, if need be. I only need to tell him what to code...

EDIT: I recognize that MC offers the backtested aspect of this feature via Portfolio Backtester--I am wondering if I can apply that same functionality to real time, automated trading.

EDIT2: Also, I can probably limit the number of tickers to around 500 each day by running some scans before the market opens

Last edited by tmcdonough10; January 25th, 2013 at 12:39 AM.
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