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Multiple strategies on one instrument


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Multiple strategies on one instrument

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  #1 (permalink)
daniely
Taoyuan, Taiwan
 
 
Posts: 11 since Dec 2015
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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)
 Jura   is a Vendor
 
 
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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)
daniely
Taoyuan, Taiwan
 
 
Posts: 11 since Dec 2015
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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)
 kevinkdog   is a Vendor
 
 
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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

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  #5 (permalink)
 solotrader 
Cyprus
 
 
Posts: 68 since Jul 2013


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)
daniely
Taoyuan, Taiwan
 
 
Posts: 11 since Dec 2015
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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)
 ABCTG   is a Vendor
 
 
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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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 Jura   is a Vendor
 
 
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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)
 kecha1 
Thessaloniki, Greece
 
Experience: Intermediate
Platform: Multicharts, MT4
Broker: Interactive Brokers, LMAX
Trading: FX, Gold
 
Posts: 2 since Jul 2014
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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)
 kevinkdog   is a Vendor
 
 
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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.

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  #11 (permalink)
 solotrader 
Cyprus
 
 
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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)
 kecha1 
Thessaloniki, Greece
 
Experience: Intermediate
Platform: Multicharts, MT4
Broker: Interactive Brokers, LMAX
Trading: FX, Gold
 
Posts: 2 since Jul 2014
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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)
 alko 
San Diego, USA
 
Experience: Intermediate
Platform: MC
Trading: All
 
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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)
 ABCTG   is a Vendor
 
 
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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)
 kevinkdog   is a Vendor
 
 
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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.

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