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Multiple strategies on one instrument
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Multiple strategies on one instrument

  #11 (permalink)
Vendor self-promotion
Cyprus
 
Futures Experience: Intermediate
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kecha1 View Post
To add 5 signals on the same chart is possible, but if one strategy is long and the other short the position will be flat, so strategies will interact..

Isn't this what you want? I think exchange rules prohibit holding simultaneous long and short positions.

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  #12 (permalink)
Elite Member
Thessaloniki, Greece
 
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solotrader View Post
Isn't this what you want? I think exchange rules prohibit holding simultaneous long and short positions.

Solotrader, you are right. Exchange rules in the US prohibit holding simultaneous long and short positions. The solution that I use with multiple accounts works, but it is not efficient in terms of margin and computer recources. However, thanks to ideas I took from Kevindog and the other contributors of this topic, I am working on a software solution to sum my strategies in one signal. At the moment I am testing to see if limit orders can be correctly emulated. I also want to calculate the correct value of a safety type of Stoploss, using the StopLoss limit order, so that I know that the SL is always available at the broker.

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  #13 (permalink)
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San Diego, USA
 
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Jura View Post
It's possible, and when the different signals (that is, trading strategy scripts) are added to the same chart then it's also easy to do: just add the different signals to the same chart and MultiCharts will combine them into one strategy.

Things will get more complicated if you trade the same instrument from different charts since then each signal will need to account for a range of conflicts that can happen (like an open position on chart A and a sell signal on chart B, or a stop-loss order on chart A while chart B triggers a limit order).

While this second situation is still possible in MultiCharts, I can't comment on how feasible it is for you since it does require a considerable amount of extra code and adds complexity.

I personally wouldn't try this second approach with multiple signals but instead copy all of the signals' code to a single script. That would make managing conflicts like those mentioned above easier, but your preference may differ.


What works for me is running each model for a given instrument on a separate chart in MC on the same account. I am not using stoploss, etc, however, i believe MC reads that from the screen as opposed to your brokerage account, thus it works. If you combine models on one chart, it screws up the logic. If you combine models in one script, it in most cases becomes inflexible and will not be able to post similar result if run separately.
Any further feedback on this would be much appreciated from anyone who runs numerous algos on the same instruments.

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  #14 (permalink)
Market Wizard
Hamburg Germany
 
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alko,

that's correct. In general everything is chart specific, unless you specifically use reserved words that are not (like MarketPosition_at_Broker or AvgEntryPrice_at_Broker for example).

Regards,

ABCTG


alko View Post
What works for me is running each model for a given instrument on a separate chart in MC on the same account. I am not using stoploss, etc, however, i believe MC reads that from the screen as opposed to your brokerage account, thus it works. If you combine models on one chart, it screws up the logic. If you combine models in one script, it in most cases becomes inflexible and will not be able to post similar result if run separately.
Any further feedback on this would be much appreciated from anyone who runs numerous algos on the same instruments.


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  #15 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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alko View Post
What works for me is running each model for a given instrument on a separate chart in MC on the same account. I am not using stoploss, etc, however, i believe MC reads that from the screen as opposed to your brokerage account, thus it works. If you combine models on one chart, it screws up the logic. If you combine models in one script, it in most cases becomes inflexible and will not be able to post similar result if run separately.
Any further feedback on this would be much appreciated from anyone who runs numerous algos on the same instruments.


Trading Multiple Strategies With Same Instrument

Trading Multiple Strategies With The Same Instrument ? Part 1 - System Trader Success

Trading Multiple Strategies With The Same Instrument ? Part 2 - System Trader Success

Trading Multiple Strategies With The Same Instrument ? Part 3 - System Trader Success



Since writing that article over 1 year ago, I have slowly moved my trading from using these methods (listed in article):

Option 4 - Use outside tool to manage positions

Option 5
- Trade multiple accts

Option 6 - Recode strategies to work together


Now I use Option 4 with Ninja as my primary method. So, right now, I am trading 62 unique strategies (charts) with 16 instruments. It works pretty well. In cases where I only have 1 strategy for an instrument, I trade those the normal way.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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