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Multiple strategies on one instrument
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Multiple strategies on one instrument

  #1 (permalink)
Trading Apprentice
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Multiple strategies on one instrument

I just came to realize that it's technically infeasible for TS to run multiple strategies on one instrument on one account without any compromise.

Does anyone know if this is feasible on MultiCharts?

Thanks!

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  #2 (permalink)
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daniely View Post
I just came to realize that it's technically infeasible for TS to run multiple strategies on one instrument on one account without any compromise.

Does anyone know if this is feasible on MultiCharts?

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.

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  #3 (permalink)
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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.

Hi Jura, thanks a lot for this!

As I know, there are trade-offs when combing multiple strategies into one script on one chart. For example, I can't use SetStopLoss, as such functions would treat all sub-strategies as one, and calculate open profit/loss altogether. Do you have any ideas how to go with your suggested approach without giving up any flexibility?

Thanks again!!

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  #4 (permalink)
Market Wizard
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daniely View Post
Hi Jura, thanks a lot for this!

As I know, there are trade-offs when combing multiple strategies into one script on one chart. For example, I can't use SetStopLoss, as such functions would treat all sub-strategies as one, and calculate open profit/loss altogether. Do you have any ideas how to go with your suggested approach without giving up any flexibility?

Thanks again!!


This is the approach I am using these days. You give up some features, but I've found it useful for my own trading:

3 Part Article, here is part 1

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

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #5 (permalink)
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daniely View Post
Hi Jura, thanks a lot for this!

As I know, there are trade-offs when combing multiple strategies into one script on one chart. For example, I can't use SetStopLoss, as such functions would treat all sub-strategies as one, and calculate open profit/loss altogether. Do you have any ideas how to go with your suggested approach without giving up any flexibility?

Thanks again!!

I think you can label the entry and exit signals in the strategies so that different stops will apply to different signals.

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  #6 (permalink)
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solotrader View Post
I think you can label the entry and exit signals in the strategies so that different stops will apply to different signals.

Do you mean it's possible to "setstoploss" individual strategies? Or, just use "sell/buytocover" to exit?

Thanks!!

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  #7 (permalink)
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daniely,

I am sure he meant use different stop orders for the entries, as you can't use different setstoploss commands for multiple entries.

Regards,

ABCTG

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  #8 (permalink)
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daniely View Post
As I know, there are trade-offs when combing multiple strategies into one script on one chart. For example, I can't use SetStopLoss, as such functions would treat all sub-strategies as one, and calculate open profit/loss altogether. Do you have any ideas how to go with your suggested approach without giving up any flexibility?

I don't think this is possible because combining several strategies into one file is by default a loss of flexibility. As you already note here, using different functions for the strategy's logic is also troublesome because functions don't have access to the same information and functionality as signals have. So if you want to combine several signals into one script (and not use the individual signal scripts), there's always a loss of flexibility. It's just a matter of if that loss of flexibility suits your workflow or not.

Perhaps the 'elephant in the room' is how you plan to deal with conflicting situations from the different strategies. Because combining different signals into one script is 'just' coding once you know how you want to combine them. But the biggest challenge might be how to combine them, because if you have a clear picture of that, writing the code to implement it becomes much easier.

Good luck; you've got quite a challenge here.

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  #9 (permalink)
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In order to run 5 strategies on the same instrument, I had to divide my capital to 5 different accounts an run 5 charts, each one connected with a different account.
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.
I do not know if it is feasible to overcome this problem by intergating all the strategies in the same signal and making use of a book keeping routine to handle the positions from the different strategies.

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  #10 (permalink)
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kecha1 View Post
In order to run 5 strategies on the same instrument, I had to divide my capital to 5 different accounts an run 5 charts, each one connected with a different account.
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.
I do not know if it is feasible to overcome this problem by intergating all the strategies in the same signal and making use of a book keeping routine to handle the positions from the different strategies.

It is possible, but as @Jura says, it probably entails a loss of flexibility.

I do it in my own trading, and it works well where I've done it. The problem I have found is that unless you initially build the strategy with this in mind, it is a lot tougher (if not impossible) to do this.

So, almost all the strategies I develop going forward are going to employ the model shown in the article link given earlier.

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