vmodus 

I had a few minutes this morning to migrate one of my systems (Heating Oil, swing) to MultiCharts. I plugged in the code, tweaked it a little, and got it working. SAT2021-07 HO This is one of the systems that passes my criteria for live trading. If you are interested in the details of how I developed this system, you can check it out on my blog: https://systematicalgotrader.com/2021/03/19/sat2021-07-fractals1/ I will update this as I progress through my other systems.

Nice! I am curious, what makes this "tradable" to your wife's employer? Do you have to stick to a certain holding period, or certain markets, etc?

kevinkdog 

Nice! I am curious, what makes this "tradable" to your wife's employer? Do you have to stick to a certain holding period, or certain markets, etc?

This is not tradable for us at all, as we cannot trade futures. Tradable means it passes our criteria for backtesting and performance (and by extension, your criteria, as I grew from your trading tree). This system was developed earlier this year.

Not trading commodity futures makes zero sense, since she works corporate actions (equities), but it is a blanket policy that applies to the CEO and the custodial staff.

vmodus 

This is not tradable for us at all, as we cannot trade futures. Tradable means it passes our criteria for backtesting and performance (and by extension, your criteria, as I grew from your trading tree). This system was developed earlier this year. Not trading commodity futures makes zero sense, since she works corporate actions (equities), but it is a blanket policy that applies to the CEO and the custodial staff.

Gotcha. So you could trade commodity ETFs then, assuming they passed all the tests?

kevinkdog 

Gotcha. So you could trade commodity ETFs then, assuming they passed all the tests?

Correct. I was not even thinking of commodity ETF's, so that is a great avenue to explore, especially for those systems I have that work well in one sector, i.e. energies. ETF's are the easiest thing for me to trade at this point, as there is less oversight by compliance for these instruments. Thanks for that inspiration, @kevinkdog!

vmodus 

Correct. I was not even thinking of commodity ETF's, so that is a great avenue to explore, especially for those systems I have that work well in one sector, i.e. energies. ETF's are the easiest thing for me to trade at this point, as there is less oversight by compliance for these instruments. Thanks for that inspiration, @kevinkdog!

It is a bummer you cannot trade futures right now, because you have created some nice algos!!!!

I hope your success continues!

I am still slowly getting my Systematic Algo Trader systems back online (part of a hypothetical portfolio I track), while taking care of a bunch of non-trading related activities.

Before yesterday, I had not touched a piece of code for nearly 4 months. I was happy to find that I was able to pick up from where I left. I was able to bring up two more systems to MultiCharts and results match what I had in TradeStation.

There is one feature I will be exploring in MultiCharts: Portfolio Trader. There is Portfolio Maestro in TS, so I am wondering about the similarity in tools. The big thing for me is that one of my systems is equities based and I have quite a few instruments, each optimized differently. Hopefully this tool will allow me to manage these. Good times!

I have one final observation of being offline for the past 4 months: system performance. One of the tenets of a true algo/systematic trader is that you let your systems run and you do not interfere with the rules, assuming everything is running as it should. Coming back to these systems, which I tracked and reported weekly in my newsletter, I was forced to accept the results. It provides me with a sense of peace knowing that the systems will just follow the rules without my intervention. I'm not sure if this makes any sense, but it makes sense in my head. It is satisfying to see four months of results match the expectations based on prior walk-forward analysis.

Here are the charts for my two mean-reversion systems running on Wheat and Copper:



More to come tomorrow!

Well it has been a busy week trying to get all the pieces working together. One issue I have run into with MultiCharts and IB is continuous contracts. They don't have them, at least not how TS did. I have to create custom contracts (I think), then I can indicate what 'continuous' means to mean (volume based, etc.). This offers more flexibility, similar to Sierra Charts, but it is more difficult that SC. I'm still working through that.

I finally got my SAT2021-11 system (mean reversion for equities, long only) updated. My assistant Taby helped update the code (about 24 separate strategies/signals), as there are minor differences between EasyLanguage and PowerLanguage.

I haven't figured out portfolios yet, so this is what I have (hypothetical results):

MC Workspace


For this system, running 24 equities, here is my equity curve to-date, from inception (April 2021):



I prefer futures, of course (this is not equities.io after all), but the methodology remains the same regardless of instrument.

Anyhow, that is it for now. Once I figure the continuous contracts I will be a lot more comfortable. Yikes, this is a lot of work....

I want to clarify a couple points on the hypothetical results for equities I showed in my last post:

• Position Size = $10,000 / Close price, rounded down to nearest 1
• Leverage is 2:1, so $5k of capital required per position
• Account size required, to date: $25,000 (I have not had more than 5 positions at the same time)
• These results include slippage and margin finance costs
• A simple return calculation puts this at 24.7% annualized return; 14.4% over the 7 months.

This 'live' period performed about the same as the 6 month incubation period I used ($3.5k , 14.1% return on $25k capital, 28.2% annualized).

I am posting a small update, as I continue to adjust and adapt to my new paradigm. Lately, I have been inundated with client work (oh darn, I'm making money), which has left little time for any focus on trading.

I have learned how to stitch together future contracts in MultiCharts and it was not nearly as painful as I expected. The main issue I am dealing with at the moment is the amount of data available. For now, I only have two years of futures contract data through IB. I am looking for a reliable and relatively inexpensive solution, considering my work with futures systems is merely in the development and not the execution. I have some data for minor exchanges, but need it for the big boys and girls: NYMEX, CBOT, LME, etc. To be continued....

I have been researching a list of pre-approved ETF's that I can trade without prior clearance, meaning that I do not have to get permission to trade these from the compliance department. They are subject to the 30-day holding period 'recommendation'. I dusted off one of my favorite system ideas that I have used with some success in energies, mainly because several of the ETF's I was reviewing looked ideal for the type of swing trading I tend to favor. This system is based on Bill Williams fractal concepts which I have written extensively about in this journal.

Early results are very interesting for 3 of the equities based ETF's. Here are my general rules:

• Risk Capital: $16k
• Leverage: 4:1
• Margin Interest Rate: 2% (I have a lower rate, but this what I use for testing)
• Purchasing Power: $64k
• Position Size: Purchasing Power / Last Close
• Long entries only (as required)
• All trades are made on the original risk capital; since this is a preliminary test, I do not increase or decrease position size based on accumulated profit or loss. I can do that if I develop this further.

The results are interesting and promising. On ITOT (the ETF's symbol), weekly timeframe, here are some stats starting with 2011:

• Annual Rate of Return: 31.9%
• Profit Factor:4.15
• Adjusted Profit Factor: 2.05
• 53% profitable

The annual return fits into my ambitious goal of 30%.

Here is an interesting view of annual performance, generated from MultiCharts:
Run-up and Drawdown - Annual


One interesting thing is that it was profitable in the difficult years of 2018 and 2020. The key would be to trust, monitor, and measure the system.
ITOT is considered a high quality ETF, but I need to be cautious with respect to selection bias.

Overall, I think this system may have merit with ETF's. The other two random ETF's I selected showed similar results (going back as far as 2001). It is soooo weird trading a weekly timeframe, but it helps satisfy the longer holding period requirement. There is more work to be done, but I will probably commence trading again in January if I am able to pass this system through my development process.

I'll update again in a week or so when I have time to breathe.

Okay, I'm back with an update a little earlier than expected. I've been learning more about MultiCharts, since moving from TS, and I am loving it. One thing I need to learn is the Portfolio Trader. I am just getting to know it, but I really like it and it performs much better than TS' Portfolio Maestro.

This is one of the many cool features of this tool that I want to share: Correlation Analysis. Here is the correlation for a set of symbols on the system I have been developing this week (to be featured on my website next week):

Correlation for SAT2021-25


The type of system I am showing here is not important (it is trend reversal on a monthly timeframe if you must know), but seeing correlation of a given system with a set of instruments is highly valuable.

The Portfolio Trader has some features that I will find useful, particularly as I continue to develop systems for my Systematic Algo Trader blog/website (and trading, of course):

• Back-testing
• Walk-forward testing/analysis
• Optimization
• Portfolio level performance reports
• Drill-down to individual instrument

The next important thing I want to determine is: can I have different combinations of systems and instruments? If I can do this, it will be easy to manage my workflow in the entire development process.

More to come next week...