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6 Month review of MC64 and IB
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6 Month review of MC64 and IB

  #1 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: Multicharts, Prorealtime
Broker/Data: Interactive Broker, Premiumdata
Favorite Futures: Currency Futures
 
Posts: 1 since Jan 2018
Thanks: 2 given, 0 received

6 Month review of MC64 and IB

Hello all,
this is my first post here, so let’s introduce myself. Iīm a former software developer but work with systems engineering today, living in Sweden. Interesting in investing and especially in systematic trading in stocks.

The idea with this post is to summarize my 6-months experience with Multicharts and Interactive Broker and maybe help someone in same position. My previous experience is mostly from Prorealtime from IG and other local tools/softwares.

First of all, I would like to thank MC support team, they are very helpful and accessible.

My setup is MC64 (not MC.net version) and Interactive Broker, IB TWS (or IB Gateway), a new powerful Dell laptop with Win10, Office 365, external 32" 4K monitor, 100/100Mbit fiber connection to Internet.

The reason why I bought a MC license was the ability to use different data sources and portfolio trading. Easylanguage (or powerlanguage as they call it) is very powerful, easy to learn and the optimization is very powerful and fast, you can optimize a strategy using many stocks at the same time and several instruments for market regime input to the strategy. Very good!

Here is an unsorted list of issues I have been struggling with:
  • Powerlanguage is hard to debug, almost no features for that. You can’t single step, inspect variables or set breakpoints as in other languages. You have no idea if the code is executing or not. Built in help is limited. Old fashion editor from last century…
  • Donīt change the description field in instrument database! If you do you get unpredictable results in different time frames. This is confirmed limitation in MC if you use IB. It works for me in 1day time frame but when I change to 1 hour it did not for some stocks, BUT no warning at all that hundreds of bars were missing in charts and during backtesting.
  • No handle of names of instruments, just symbols. I think year 2018 that is strange?
  • Walk forward optimization is hard to use, I got almost all the time “none of the samples have sufficient data for optimization". If you run this on several symbols in a portfolio and some of them has too few bars, MC will halt the process completely without any explanation.
  • The Portfolio Trader is powerful with multi strategies and baskets of instruments, but when it comes to money management itīs very hard to use. Probably very few users to this great feature due to lack of understandable user interface and examples with documented code.
  • No possibility to create groups of favorite stocks. There is a scanner, but it has very limited features. Letīs say I backtest or screen 100 stocks and find out that 50 of them works out, then I would like to create a group of those stocks that can be used later on.
  • MC has no data integrity check, so if 500 bars are missing in the middle of a period, you canīt even see that on the chart, no warning at all!!! Scary!
  • No possibility to combine fundamental analysis with technical analysis, maybe not so common today, but I think that is the future to get an edge. Interactive Broker has a great Portfolio Builder tool in TWS, but no such tool in MC.
  • If you have identified some bad data for a symbol and edit the data, after that you canīt do Refresh in a chart, because then all your changes are lost without warning. If you import quality data to a symbol, and then do a refresh I believe it will be overwritten with data from connected broker…
  • Overall an old fashion layout, with many issues regarding usability like sortable columns, moving around panels inside windows, copy/paste.
  • The data is handled in memory during usage (probably to speed issues), but not saved into the database before all applications are closed and all background processes are closed. Therefore, you need to quit running trades too be able to save/backup data. I have lost all collected data many times. There are no way to manually save or schedule a save to database.
  • Fetch data from IB is very slow, IB limit the speed and also have service time each night/weekends. So, it can take several hours/days to get data from 150 stocks, daily bars for 3000 days.
  • If you want to run MC on two machines, one for backtesting and one for live trade, you need two licenses. As soon MC has a connection to Internet, that license is activated to that machine. If you accept that the backtesting machine has no Internet connection, you can use one license only.
  • No Client/Server installation possible, so you canīt have the database/applications on different machines. So, if you need to restart the PC, all running strategies need to be stopped.
  • After a Windows update, MC sometimes crash or canīt find the folders any more or unable to compile the code, line 0 , column 0 error. MC suggestion is to uninstall MC 😊 https://www.multicharts.com/trading-software/index.php/Compilation_Error_(errLin...ineEnd_0,_errColumnEnd_0)
  • Donīt use OneDrive/Dropbox for folders, MC canīt handle that. For example, restore of backup from OneDrive is NOT working and sometimes not backup to Onedrive.
  • MC does not fully support the commission model IB use

    I have tested different ways to use data from local sources. I need a data setup both for historical backtesting and live trading/EOD. Here are my conclusions:
  • DDE to Excel: No historical data. Not working with current version of Excel due to lack of DDE feature in Excel. Also, no handle of symbol ticker from Excel, so itīs not practical to use if you have many stocks.
  • Metadata: Historical data ok for backtestting and optimization, but no real-time stream. I have bought US-data from Premiumdata (Norgate) and it works very good. I really recommend this to speed up the backtesting and the quality of the outcome.
  • Free data from Yahoo: historical data ok, but not in live trading of EOD, the strategy is not executing when new EOD is available.
  • ASCII Mapping: Both historical and probably live update of EOD works, but after a database crash I haven’t tested it any more. If you add live data to the ASCII file, the data need to be added at the end of the file without creation of a new file, just fileappend works. This is a strange “feature”, but MC lost connection to the file if itīs recreated. This mean that you can’t use YLoader for file updates.

I havenīt decided yet if I will go on with MC and put in real money, too many unwanted behaviors, so right now I just donīt trust it.

I think MC as a company has a strange attitude, very good support, but many sever issues/bugs in the system that they donīt take care of, some of my issues above are over 10 years old I you can find them in several blogs at Internet. Many times, the support team ask me to write a feature request, instead of schedule a solution for the bug…

Please feel free to comment or let me know if you suggest any other trading tool

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  #2 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,592 since Jun 2009
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Svinninge View Post
...
I think MC as a company has a strange attitude..
Please feel free to comment or let me know if you suggest any other trading tool

Mike, owner of this site started out with Ninja then he moved to MC then he dropped it.

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  #3 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,755 since Oct 2009
Thanks: 3,132 given, 4,637 received


@Svinninge

Try to reach out to Kris at https://robotwealth.com or contact@robotwealth.com and explain your case. He might offer you different solutions to explore. I know he is a big fan of zorro and python for developing systems and trading them. He recently developed a basic course for starting with zorro. Very easy to follow. This might be interesting for you.

Good luck.

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  #4 (permalink)
Elite Member
Yorktown, VA
 
Futures Experience: Intermediate
Platform: Motivewave,TS,Tradingview
Broker/Data: IQFeed, Oanda, TradeStation
Favorite Futures: Currency
 
TradeTheLevel's Avatar
 
Posts: 379 since May 2017
Thanks: 178 given, 577 received


trendisyourfriend View Post
@Svinninge

Try to reach out to Kris at https://robotwealth.com or contact@robotwealth.com and explain your case. He might offer you different solutions to explore. I know he is a big fan of zorro and python for developing systems and trading them. He recently developed a basic course for starting with zorro. Very easy to follow. This might be interesting for you.

Good luck.

After looking up zorro trader. This might be something worth looking at. Thanks!

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  #5 (permalink)
Elite Member
Yorktown, VA
 
Futures Experience: Intermediate
Platform: Motivewave,TS,Tradingview
Broker/Data: IQFeed, Oanda, TradeStation
Favorite Futures: Currency
 
TradeTheLevel's Avatar
 
Posts: 379 since May 2017
Thanks: 178 given, 577 received

I just wanted to follow up on my last post.

I did look into Zorro Trader and I did join robot wealth.

First of all, I have no idea how to program. I finished robot wealth and have programmed about a dozen systems already in Zorro. Now, I'm still working on making one worthy of live trading. Not there yet. But kudos to Kris and his website. Really did a great job and it was very professionally done.

Second, Zorro is super simple to write code for. It uses Lite-C and 90% of everything can be called on via functions. I can take any data and just manipulate it. It has its short comings as well tho. First, if it wasn't for robot wealth, id probably never of figured it out. Also the charting feature for review is not a simple scrolling chart. Its presented to you via a png image. I know they working on some upgrades where I think they are going to make this a little bit better. The platform can be coded to work with any API, however the built in ones work with a few major brokers. Unless you have a MT4/MT5 terminal to your broker as many futures broker now do, it has a built in bridge to execute the trading through the bridge.

Overall, I'm pretty impressed and I am super surprised at how awesome zorro trader is. didn't expect it as on its surface, it looks like a simple GUI with some buttons. Also it can use R and python for all your financial machine learning inputs. It even has some machine learning functions built under the hood as well.

So, for not knowing poo about coding to writing my own simple stuff in such a short period of time. I'm pretty excited. So thanks @trendisyourfriend for mentioning it!

Here is some code I did just playing with entries using a Stochastic and some moving averages. Wasn't any good, but it does show what the coding looks like.

 
Code
/*

Stochastic 
Work is being done to develop and strengthing my own skills. 

Predictive stochastic oscillator by John Ehlers

Implemented oscillator to be able to plot.

Looked at the indicator with price to see if there is any visual ideas on best way to use it for trading. 

Found with settings that I entered, price goes from 0 to 1. I also noticed I could probably take trade from 0 to 1 and 1 to 0. Ill need a bias filter which I can use a EMA. Price above or below. 


Ran many tests. Nothing to write home about. Even tho I found many settings that made great annual returns. The profit curve was very rough and I was never comfortable with the strategy. 



*/


function run()

{

set(PARAMETERS);


//in-sample data

StartDate = 20170101;

EndDate = 20180728;

set(PRELOAD);

LookBack = 400 + UnstablePeriod;

//BarPeriod = 5;
//BarOffset = 1;
MaxLong = MaxShort = 1;


//set up data

vars Price = series(price()); //Median price HL2
vars PriceC = series(priceClose());

//set up Ehlers Stochastic

int etime = 8;
double cuthigh = .8;
double cutlow = .8;

vars Osc = series(StochEhlers(Price,etime,cutlow,cuthigh));


//set up EMA
int emaPeriod = 200;
vars slowEMA = series(EMA(PriceC, emaPeriod));


//set up KAMA a volotility moving average

int kamaPeriod = 10;
vars kMA = series(KAMA(PriceC, kamaPeriod));


//Stop Loss settings

//TradeExitTime = 4;

Stop = 2 * ATR(24);

//TakeProfit = 50*PIP;







//ENTRY REQUIREMENTS

//BUY

if(Osc[0]  slowEMA[0] && PriceC[0] > kMA[0])

{

enterLong(1);

}


if(Osc[0] >= 1 && PriceC[0] < slowEMA[0] && PriceC[0] < kMA[0])
{
enterShort(1);
}

//plots

PlotBars = 250;
plot("EMA", series(EMA(PriceC, emaPeriod)), LINE, RED);
//plot("EMA2", series(EMA(PriceC, emaPeriod2)), LINE, BLUE);
plot("KAMA", series(KAMA(Price, kamaPeriod)), LINE, PURPLE);
plot("EhlersStoch", Osc, NEW, RED);
set(PLOTNOW);
}
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Last edited by TradeTheLevel; August 17th, 2018 at 01:50 PM.
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