Sistema de negociação de informações

Desenvolvendo Sistemas de Negociação no RightEdge.

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O desenvolvimento de sistemas de negociação no RightEdge estará disponível em.

Por que eu prefiro o RightEdge para modelagem de estratégia.

Escolher uma boa plataforma para modelos de estratégia, simulações e geração de sinal é fundamental. A triste realidade é que a maioria dos softwares de teste de back-up é horrivelmente ruim. Eles são voltados para consumidores com conhecimento e experiência limitados e eles atendem ao que seu guru analógico de análise técnica, raro e rápido, afirma que você precisa. Muitas vezes eu perguntei minhas opiniões sobre as plataformas de simulação, e nesta publicação eu mostro você minha própria perspectiva e escolhas.

Os não codificadores não precisam se inscrever.

Esqueça a criação de sistemas de arrastar e soltar. Isso não é como você faz modelos comerciais reais. Se você não estiver preparado para aprender uma programação simples para construir suas estratégias, então você pode entender e controlar todos os detalhes, então você provavelmente não deve estar fazendo isso em tudo. Você não precisa ser um programador especialista, mas você precisa escrever um pouco de código. Deixe-me dizer isso novamente.

Se você não está disposto a aprender sobre a codificação, você deve desistir de todos os esforços para entrar no campo do comércio sistemático.

Esta não é uma cirurgia de foguetes. Aprender programação suficiente não é tão difícil, assumindo que você é de média inteligência ou acima e não tem medo de abrir um livro. Houve um tempo em que os profissionais se consideravam bons demais para aprender a digitar. Por que um advogado escreve? Ele tem uma secretária. Os dias Mad Men estão no passado e um advogado que pode digitar corretamente agora é reduzido a um grande bebê indefensado. Saiba como codificar. Apenas faça isso.

O que é importante em uma plataforma de simulação?

Todos valoramos coisas ligeiramente diferentes. Este artigo é, obviamente, escrito muito do meu próprio ponto de vista. Eu valorizo ​​a flexibilidade.

A maioria das plataformas de nível consumidor atraem uma caixa muito estreita ao seu redor. Eles não permitiram que você fizesse algo fora dessa caixa. Eles assumem que você quer fazer uma pequena variante de algum sistema padrão e nada mais. Eles não são para uso profissional.

Um grande problema com essas plataformas de nível consumidor é a lógica de nível de portfólio. A maioria não tem isso. Alguns o têm, mas apenas como uma aplicação horrível após o fato, eles derrubaram em uma plataforma antiga apenas para obter o Portfolio como uma caixa de seleção de marketing.

A arquitetura de desenvolvimento e o ambiente também são importantes. Quanto mais eles simplificam para atender às pessoas preguiçosas, pior a plataforma tende a obter. Eu tenho uma alergia severa contra linguagens de script proprietárias e plataformas fechadas.

Aqui é o que eu quero ver:

Idioma de desenvolvimento padrão da indústria. Não & # 8220; ambiente estilo C & # 8221; ou alguma outra maneira de dizer que você tem uma sintaxe de script fechada que se parece vagamente a um idioma real. Eu quero o verdadeiro negócio. Meu idioma preferido é C #. Não necessariamente porque é melhor, mas porque é certamente bom o suficiente e, se você estiver em um ambiente de Windows, é uma ótima linguagem para padronizar. Arquitetura extremamente aberta. Quero poder fazer absolutamente nada. Coisas que nunca ocorreram para as pessoas que desenvolveram a plataforma. Quero poder alterar ou adicionar qualquer funcionalidade que eu goste. Odeio ser encaixotado em uma esquina ao codificar. Ninguém coloca Clenow na esquina. Possibilidades infinitas. Eu simplesmente disse isso no último ponto? Sim, mas vale a pena dizer de novo. Eu quero ser capaz de fazer e ligar dll & # 8217; s para qualquer coisa. Novas visualizações, adaptadores de dados, adaptadores de corretores, conectividade de banco de dados, etc., etc. Lógica de portfólio adequada. Isso é raro em plataformas acessíveis. A capacidade de rever modelos de negociação de testes em milhares de instrumentos, como um portfólio real. Isso deve ser feito da maneira correta, na ordem correta. Mais sobre isso depois & # 8230; Manipulação de moeda. A maioria das plataformas assume que existe uma única moeda no mundo. O dólar dos Estados Unidos. Se você trocar instrumentos em múltiplas regiões, essa suposição é rápida.

WealthLab versus RightEdge.

Eu mencionei WealthLab e RightEdge no passado. Ambos são muito bons, mas minha preferência claramente está com o RightEdge. Eu gosto deles porque ambos são baseados no CLR, o que significa que você escreve o código correto de C #. Eles podem ser estendidos e modificados, conectando suas próprias DLLs. Ambos podem fazer simulações de nível de portfólio, embora diferem nas implementações. Apesar das semelhanças aparentes, eles são muito diferentes para trabalhar.

Usabilidade geral.

WealthLab é amigável. As manipulações de gráficos são fáceis. Fazer um primeiro sistema simples não leva muito tempo. Parece um ambiente confortável. A documentação é boa e há muitas amostras das quais você pode trabalhar. Se você comete erros, tende a obter relatórios de erros bastante educados, facilitando a depuração dos codificadores principiantes.

O RightEdge parece um compilador quando você o abre. Isso é porque basicamente é um compilador. Se você não estiver acostumado a um compilador, isso pode parecer que você já passou por pára-quedas na selva. Existe definitivamente uma curva de aprendizado mais acentuada para começar com o RightEdge.

Manipulação de dados.

Antes que você possa realmente fazer qualquer coisa, você precisa obter seus dados no aplicativo. Ambas as plataformas, obviamente, possuem alguns adaptadores padrão para obter dados de várias fontes gratuitas. Para uso profissional, você provavelmente quererá obter dados de alguma fonte personalizada. Afinal, você não pode confiar nos dados do Yahoo e para o uso da vida real.

A boa notícia é que é bastante fácil criar adaptadores de dados para ambas as plataformas. Não há diferença real lá. Existem amostras disponíveis que você pode modificar. Essencialmente, você cria sua própria DLL no Visual Studio que implementa sua interface. Haverá uma interface semelhante a (pseudo-código): Public DataSeries GetTheData (Symbol, StartDate, EndDate) e você simplesmente colocou seu próprio código para correr e buscar em seu banco de dados ou qualquer fonte que você prefira. Fácil.

No entanto, uma diferença importante é o que acontece com os dados após a DLL fornecer. O WealthLab perguntará a sua DLL para uma nova entrega de dados sempre que o aplicativo o precisar. Toda vez que você abre um gráfico ou executa uma simulação, sua DLL será incomodada.

O RightEdge, por outro lado, possui o próprio armazenamento de dados otimizado. Quando sua DLL retorna os dados, o RightEdge irá colocá-lo nesse armazenamento de dados. Quando um gráfico é solicitado ou um sim é executado, o RightEdge receberá os dados a partir daí. Mais rápido, mais eficiente, mas pode levar a duplicações de dados e problemas de manutenção.

Minha solução é liberar o armazenamento de dados diariamente e substituir por novos dados da minha fonte principal (meu MySql interno). Isso evita problemas de duplicação de dados e discrepâncias. Eu faço isso com scripts simples, usando um bom arquivo de morcego antigo.

Escrever seu próprio adaptador de dados requer algum conhecimento básico de C #. Somente. Aprender. Isto.

Modelagem de portfólio.

Aqui começamos a bater a primeira fraqueza do WealthLab. A arquitetura do WealthLab claramente não foi construída para testes de portfólio. É muito óbvio que este foi um pensamento depois. WealthLab processa um instrumento por vez, passando cada dia para esse instrumento antes de passar para o próximo instrumento. Não é assim que o mundo real funciona. Tem a infeliz implicação de que a própria lógica comercial é totalmente inconsciente de qualquer coisa acontecendo com outros instrumentos. Não conhece as participações atualizadas da carteira ou mesmo o valor da carteira. Como poderia, já que todos os instrumentos ainda não foram processados.

WealthLab itera barras em um loop para / next. Isso provavelmente impactará os programadores. Aqui é o modo como o processo funciona para WealthLab:

Sim, isso parece bastante primitivo e # 8230;

RightEdge, por outro lado, tem uma implementação correta e moderna. It & # 8217; s evento conduzido, o processamento de cada barra como ele vem dentro. Isso funciona da mesma maneira se você usa dados diários estáticos ou streaming intradía dinâmico em tempo real. O modo RightEdge parece mais lógico. NewBar é chamado cada vez que uma nova barra entra, qualquer que seja a frequência.

Isso também significa que o WealthLab tem um potencial perigoso para o snooping de dados. Quando você estiver nesse loop, você tem acesso a todos os dados. Você poderia simplesmente ler toda a série. Se a barra de variáveis ​​no loop for / next acima for 5, você ainda pode verificar a barra 6, 7 ou 500. Você pode ler o futuro. Você também pode negociar o futuro no WealthLab. Ou o passado.

O RightEdge não tem conhecimento de dados que você não conheceria na realidade. Quando o NewBar entrar em 10 de junho de 2018, você não tem como acessar os dados em 11 de junho. Você também não pode negociar preços passados ​​ou preços futuros. Você pode negociar agora, ou você pode definir ordens de limite / parada. Como na vida real. Isso evita os erros muito comuns do comércio em informações que não estavam disponíveis na realidade.

Dimensionamento das posições.

Todos os tamanhos de posição fornecidos com plataformas de simulação são ruins. Não use-os. Construir o seu próprio não é tão difícil. Bem, é em WealthLab.

Deixe dizer que deseja fazer algo de tamanho de portfólio simples algo. Pegue o dimensionamento ATR clássico, estilo tartaruga. Matemática fácil. Você apenas leva o ATR atual como um proxy para vola e dimensiona sua posição para ter um certo risco de nível de portfólio. Há apenas um problema. Para este cálculo simples, você precisa saber o valor do portfólio. Agora, obviamente, a maneira como o WealthLab itera um instrumento de cada vez, seu código não tem acesso a essa informação. No momento em que seu código faz um comércio, não processou outros instrumentos e, portanto, o valor do portfólio é desconhecido.

WealthLab primeiro itera todos os instrumentos como mostrado acima, registra-se quando nós devemos comprar e vender, e primeiro quando é feito com tudo isso, ele volta a descobrir quantas ações / contratos para comprar ou vender. Feio.

Em WealthLab você precisa fazer sua própria classificação de tamanho de DLL. Sim, você não consegue mudar os tamanhos de posição adequadamente no aplicativo e você precisa programar sua própria DLL no Visual Studio apenas para definir o tamanho da posição. É uma bagunça, não é isso. Eu fiz um ajustador de posição ajustado pela volatilidade há um tempo atrás e publicado com o código fonte completo aqui: comerciante / loja / volatilidade-baseado-posição-sizer-for-wealthlab /

Então, o que é o RightEdge? O mesmo que precisa ser feito em uma DLL de plugin complexo para WealthLab pode ser feito em uma única linha de código para o RightEdge. Não há necessidade de soluções de soluções feias, já que o RightEdge implementou o mecanismo de dados desde o início.

Moedas.

Se você quer fazer um trabalho de simulação sério, você precisa contabilizar as moedas. E eu não significo moedas de negociação, quero dizer, atribuição de moeda. Se você negociar em ações internacionais, você terá uma exposição cambial em posições abertas em mercados estrangeiros. Para os futuros, é menos, claro. Lá você só tem exposição FX no seu P% L aberto. Ainda assim, você precisa lidar com esse problema.

RightEdge faz isso de forma realista novamente. Você marca cada instrumento com a moeda base, fornece séries temporais para traduções de moeda, define sua moeda base da conta e suas simulações serão feitas corretamente. Claro, a documentação sobre como fazer isso está faltando um pouco, mas ainda funciona bem. Sim, se você me incomodar o suficiente, eu escreverei um tutorial sobre como usar esse recurso.

No entanto, no que diz respeito ao WealthLab, existe uma única moeda. Simplesmente não há como resolver esse problema para o WealthLab. Todos os seus instrumentos precisam estar na mesma moeda, ou você acabará com um erro enorme, mas invisível.

Política de preços e vendas.

O WealthLab custa $ 800 por conta e tem uma taxa anual de manutenção de US $ 150. Em comparação com muitos concorrentes, o preço está bastante longe. O único problema é que se você mora na América do Norte, você só pode comprar este produto se você tiver uma conta com a Fidelity. Essa é uma limitação bastante grave.

O RightEdge não é afiliado a bancos ou corretores, e não tem taxa anual. Custa apenas US $ 500 uma vez. Na verdade, você receberá um desconto de US $ 50 se você usar o código de cupom Tradersplace ou conte-lhes a frase mágica Clenow Sent Me.

Escalabilidade.

WealthLab não é um sistema ruim para modelagem rápida e suja. É muito fácil fazer algo rápido e apenas experimentar como isso parece. Não é, na minha opinião, um bom sistema para coisas pesadas e de verdade.

Eu tentei implementar modelos altamente complexos em ambas as plataformas e é muito claro que o WealthLab está lutando em termos de funcionalidade e desempenho.

Aqui é um exemplo de uma estratégia que eu dirijo diariamente no RightEdge:

Equity momentum stock picking model. Considera mais de 4 000 estoques em todas as nações desenvolvidas, incluindo estoques excluídos. Verifica quais ações são parte de uma lista de componentes de índice específico em qualquer momento e apenas as negocia. Classifica todas as ações que estavam no índice em um determinado dia de negociação em um conjunto complexo de critérios. Implementa a lógica do estrato, acompanhando o estrato de um estoque, com base no ranking. Define os limites do portfólio em termos de estratos, alocação geográfica, alocação de setor, etc. Construa automaticamente um portfólio realista das melhores ações, dentro dos limites de alocação definidos. Reequilibrio constante do risco e adesão às restrições de alocação.

Fazer isso no RightEdge levou algum tempo e codificação, mas não houve problemas técnicos. Em WealthLab, eu corri para uma parede bastante rápido. Várias paredes. No final, apenas para começar uma segunda plataforma, eu tive que colocar muita lógica dentro de um servidor de banco de dados, já que WealthLab simplesmente não conseguiu lidar com algo assim.

Recebo o pagamento de peddling estas plataformas?

Não, pelo menos, ainda não.

Entrei em contato com ambas as empresas para ver se eu poderia fazer um acordo com elas. Eu estava recomendando-os de qualquer maneira, então por que não. A minha sugestão foi que eles oferecem um desconto para as pessoas que eu me refiro a eles e que eles me dão uma pequena coisa em troca. Daniel no RightEdge rapidamente concordou e ofereceu um desconto de US $ 50 para usuários que inserem meu código de cupom e # 8216; comerciante & # 8216; ao fazer o pedido. Eu também recebo a mesma quantia. Até agora, ninguém realmente usou esse código de cupom. Eu sei que as pessoas compraram depois que eu os recomendou, mas até agora todos esqueceram de entrar nesse código # 8230; Ah bem.

E WealthLab? Bem ... eles são uma organização um pouco maior e isso pode ser visto em suas respostas a tais pedidos. Demorou alguns meses para eles voltarem para mim, e então eles vieram com uma contra sugestão. Eles propuseram que eu altere meu modelo de negócios. Eles sugeriram que eu me tornasse um provedor de seminário on-line em tempo integral, fazendo sessões de treinamento sobre como usar seu software. Hm .. Bem, é bom saber que tenho opções no caso de eu explodir meus hedge funds.

Conclusão.

Se você deseja fazer parte do campo comercial sistemático, faça as coisas corretamente. Don & # 8217; t fazer soluções semi-assed. WealthLab é uma boa droga de entrada para começar, mas RightEdge é o bom. Ter duas plataformas não é uma má idéia se você tiver tempo e paciência para isso, mas se você for com uma, minha sugestão é o RightEdge.

A criatividade é importante neste campo. Chegando com uma idéia de cérebro de cabelo e testando. Às vezes, um estranho da idéia da caixa pode realmente levar a um enorme avanço. Se você estiver preso com uma plataforma de simulação que não permite que você seja totalmente criativo, você tem um problema. Então, você está envolvido na implementação de modelos de análise técnica da idade da pedra.

Artigos relacionados.

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129 comentários.

Obrigado, realmente valeu a pena & # 8211; I & # 8217; m nos estágios iniciais de olhar para este & # 8211; Você tem alguma opinião sobre quantada ou ninjatrader /?

Ouço coisas boas sobre o NinjaTrader, mas nunca usei isso. Provavelmente, eu provavelmente deveria dar uma olhada mais cedo em breve.

Ainda não tenho certeza sobre a QuantConnect. O que há para ganhar de mudar para um navegador? Tudo que você realiza é perder o controle e a flexibilidade. É uma boa tecnologia e felicidades para os caras que conseguiram isso, mas não vejo por que alguém gostaria de usar essa solução.

Hey Andreas, por que usar QuantConnect?

& # 8211; Temos 15 anos de dados de resolução de carrapatos FX e ações e estão crescendo esta biblioteca o tempo todo. E é grátis.

& # 8211; Nós temos uma pilha de nuvem massivamente paralela, permitindo que você respire 5-10 anos de dados de tiques em minutos vs dias. Permitir iterações mais rápido do que nunca.

& # 8211; Seu C # nativo e # 8211; infinitamente extensível e poderoso. Não há limitações de linguagem zero ao contrário de Ninja ou Tradestation. Nenhuma maneira de perder flexibilidade.

& # 8211; Temos centenas de algoritmos de código aberto que as pessoas estão compartilhando para a comunidade para que outros aprendam e cresçam.

& # 8211; Nós fornecemos tudo de graça e estamos procurando monetizar as receitas de negociação com corretoras.

& # 8211; Fazemos apresentações para hedgefunds de parceria quando as pessoas geram estratégias com mais de 3,0 sharpe e redução de menos de 5%. Dimensione sua estratégia uma vez que você tenha trabalhado para obter o máximo lucro.

& # 8211; Nós somos comerciantes algorítmicos e fizemos todos os erros iniciantes possíveis antes que nossas estratégias começassem a ganhar dinheiro. Dado isto, os Quants proporcionados gastam 90% do tempo construindo o mecanismo quando eles devem se concentrar em sua estratégia, acreditamos que podemos ajudar as pessoas a entrar no mercado mais rapidamente.

Você tem 15 anos de dados de triagem? Hm .. Isso realmente é bastante significativo.

O acesso de dados de marcadores geralmente está fora do alcance de não profissionais devido aos custos e às dificuldades de fazer uma configuração adequada para análise de nível de tiquetaque.

Você pode compartilhar de onde os dados são fornecidos? Os dados de verificação de limpeza podem ser difíceis, como você sabe, por isso seria interessante saber quem está fornecendo para você.

Para os dados do tiquetaque, eu vou adicionar-lhe os Sites que eu gosto aqui.

Como já mencionei antes de você, Jared, eu gosto do que você está fazendo. Ainda tenho algumas reservas sobre como mudar para um navegador, mas eu realmente não sou o público-alvo. Pode ser uma boa plataforma para os outros.

Apenas por curiosidade mórbida: se sua plataforma realmente tiver limitações de linguagem zero, e tem todos esses dados de nível de tiques muito valiosos, o que está me impedindo de escrever um sistema de negociação & # 8217; que na verdade apenas descarta seu banco de dados de tiques para o meu próprio servidor?

Obrigado Andreas, fornecemos a lista de nossas fontes aqui: https: // quantconnect / data Temos tic-trades marcados com o tempo para o segundo mais próximo, e trade-bars no segundo e minuto para todas as 16.000 ações (sem viés de sobrevivência).

QuantQuote possui algoritmos proprietários para limpeza de dados & # 8211; Eles pré-limpam e nos dão as ferramentas para ajustar os dados para divisões e dividendos para trás.

Re-curiosidade & # 8211; É uma preocupação e nós precisamos encerrar algumas contas. Monitoramos o tráfego e os logs e sugerimos registrar-se com identidades reais, mas felizmente as pessoas tiveram muita integridade.

Maldito seja por me forçar a questionar minhas idéias confortáveis ​​e preconcebidas, Jared! Eu estava perfeitamente contente com a desistência da sua solução desde o início.

Eu não sou o seu grupo-alvo, mas eu estou começando a pensar que sua solução pode realmente ser muito interessante para muitas pessoas.

Aqui é o que eu vejo agora:

Seu principal ponto de venda é, ou deve ser, o acesso a dados. Além de nós, os porcos de hedge, muito poucas pessoas têm acesso a dados de ticks ou dados corretamente ajustados por dividendos. (as divisões e as ações corp são fáceis)

Ser capaz de modelar em um ambiente desse tipo pode ser muito valioso para pessoas sérias que querem invadir o negócio, desenvolvedores de hobby, pequenas empresas comerciais e até mesmo para empresas maiores como um ambiente sandbox.

Se o seu ambiente realmente permite o roubo de dados, de uma perspectiva técnica, isso parece bastante flexível. Eu, naturalmente, esperava que você dissesse que isso não era possível e, assim, negava sua declaração anterior sobre zero limitações & # 8230;

Ok, Jared, você está começando a me convencer de que a QuantConnect pode realmente ser realmente boa.

Andreas & # 8211; Muito obrigado pela comparação detalhada, autoritária e ocasionalmente humorística de RightEdge para WealthLab. Estava bem feito. Como alguém que lutou recentemente para avaliar ambas as plataformas armadas com apenas habilidades de codificação anêmicas, sua avaliação é muito apreciada.

Seu foco na borda de RE & # 8217; s para uso na manipulação de simulação de nível de portfólio é a chave; Isso pode explicar, por exemplo, por que obtive resultados diferentes em RE e WL executando dois sistemas de negociação construídos de forma idêntica usando os mesmos dados e combinando regras de gerenciamento de dinheiro. A diferença entre eles era de apenas 20 a 60 pontos base e # 8212; mas ainda assim, o suficiente para fazer você se preocupar que algo não está certo. Obrigado por explicar o que realmente está acontecendo sob o capô.

Além disso, notei algo mais estranho com WL & # 8212; Se você executar o mesmo sistema exato várias vezes seguidas, você às vezes obtém diferentes resultados de simulação.

Sim, é verdade que os filisteus lá fora (incluindo eu) sem, no entanto, boas habilidades de codificação C # serão incapazes de aproveitar o RE para qualquer coisa além de testes de sistemas muito básicos. No entanto, eu acho que muitos lá fora ainda preferem ignorar o WL completamente e usar RE como seu ambiente de teste de sistemas primário & # 8212; mesmo quando as suas habilidades de codificação progridem.

Um ponto brilhante é como RE garante que o código de teste do sistema seja o mesmo & # 8212; se você está criando no arrasto e solte, ou em um idioma. Isso permite um novo usuário RE & # 8212; que está lutando para solucionar um problema usando a GUI DnD & # 8212; para simplesmente conectar e executar algum código personalizado fornecido por outros membros do fórum RE. Em contraste, dentro da WL, eu não consegui fazer funcionar de forma consistente.

Resta saber se # 8212; e quando & # 8212; O RightEdge poderá tornar sua aplicação mais amigável, sem diminuir a tremenda flexibilidade e potência do aplicativo. Eu não sei se isso realmente vale o risco & # 8212; mas se eles tiverem sucesso nisso, isso resultaria em uma base de usuários significativamente maior, o que traria benefícios a todos.

Separadamente, eu aceito uma coleção para comprar Andreas uma camiseta que lê & # 8220; Ninguém coloca Clenow na esquina! & # 8221 ;. Por favor, entre em contato para mais detalhes.

O que você quer dizer, ocasionalmente.

Haha. Mantenha seu (s) dia (s) trabalho (s).

Ha! Você acha que eu tenho um trabalho de dia!

Este é realmente o comportamento esperado em richlab. Isso acontece quando você gera vários pedidos no mesmo ponto no tempo, mas não tem o patrimônio para executá-los todos. Ele então randomizou as ordens a serem tomadas. A maneira como você evita isso é definir um ranking para suas ordens simultâneas, então você obterá resultados consistentes para cada teste de volta.

Verdade. Eu costumava fazer exatamente isso quando usei RE para modelos de equidade há muitos anos. Calcule um valor de classificação e use isso para priorizar negócios.

Desejo que você escreveu um ano antes.

Eu também cheguei à conclusão de que a maioria dos SW disponíveis não permite que você faça o que quiser, a estratégia deve ser feita. Para piorar as coisas, prefiro usar o Linux, o que reduz suas escolhas para nenhum.

Comecei a criar meu simulador, testador de volta e ferramenta de gerenciamento de portfólio usando Python e use Pandas (Python para biblioteca de análise de dados) para fazer a maior parte da codificação. Por enquanto, tudo bem. Acabei de incorporar futuros, espero que eu acabei em breve.

No entanto, depois de ler o seu artigo, sinto que cometi um erro. Assim como richlab, estou executando minha estratégia & # 8220; # 8221; sobre cada instrumento durante o intervalo desejado de data (para backtesting) e, em seguida, construir o portfólio para os instrumentos que desencadearam. Achei que isso era mais rápido por algum motivo. Bem, é o que é por enquanto, mas vou manter em mente o que você blogueu ao construir o próximo sistema.

Obrigado por escrever.

Alguns meses atrás, depois de ler o seu livro, decidi comprar uma licença Matlab como um passo de entrada, porque a versão de casa é bastante barata e há uma abundante documentação disponível para desenvolvedores, o que minimiza o risco de ficar preso para há muito tempo, tentando programar a ferramenta para fazer o que você deseja.

O RightEdge parece realmente poderoso e adequado como uma solução a longo prazo, no entanto, encontrei uma revisão negativa sobre a qualidade da documentação do usuário, por isso temo que a curva de aprendizado possa ser muito íngreme no início.

Na sua experiência, como é a qualidade do material de desenvolvimento com o RightEdge? Além dos problemas de programação C #, ao começar do zero, você pode confiar apenas na documentação do usuário e em exemplos de código disponíveis on-line?

A documentação não é excelente, mas o maior problema é em termos de expectativas.

A maioria dos comerciantes de varejo são usados ​​para serem mantidos por software de simulação. Aponte e clique, maneira rápida e fácil de fazer as coisas. RightEdge é claramente construído para pessoas que se sentem confortáveis ​​com um ambiente de tipo compilador.

RightEdge não tenta ensinar-lhe como funciona C #. Isso lhe dá um modelo de objeto e o deixa no fundo. Não há tentativa de guiá-lo quanto às diferenças entre o uso de uma matriz, uma sugestão, uma pilha, um dicionário, IList etc. Para ser justo, eu não penso nisso é responsabilidade de RightEdge para ensinar C #.

Existem exemplos de sistemas incluídos, bem como plugins de exemplo para várias coisas. Isso vai assustar pessoas que não sabem nada sobre a programação e não estão dispostas a aprender, mas se você estiver familiarizado com o básico do uso do Visual Studio, você estará em casa.

Eu incluo também exemplos de códigos regulares no meu relatório de análise semanal, com soluções de tipo de vida real.

Grande artigo Andreas.

Eu estou imaginando pensar, você pode realmente fazer qualquer coisa com o RightEdge? Digamos que eu quero usar uma biblioteca estatística do terceiro pari, talvez execute o GARCH ou algo assim, repita várias vezes com parâmetros variáveis ​​e, em seguida, trace os resultados como uma função de parâmetros com alguma biblioteca de gráficos de terceiros, faça algum Monte Carlo executa e depois disso coloca uma gestão de risco sofisticada em cima de tudo isso, otimiza parâmetros para isso, etc. Isso pode ser feito com o RightEdge? As opções são realmente ilimitadas, desde que você saiba codificar?

Sim, acredito que você pode fazer qualquer coisa. Claro, se você entrar nas coisas realmente extremas, você pode acabar usando tão pouco da aplicação original que você começa a questionar por que você não criou a partir do zero & # 8230;

Se você preferir, você pode visualizar o RightEdge como apenas um conjunto de bibliotecas. Você pode fazer toda a sua estratégia no Visual Studio, se quiser, apenas referenciando as bibliotecas RE. Escolha o material que deseja, como o motor da série de tempos do núcleo, e crie sua solução em torno dele.

O que você deve descrever deve ser possível diretamente no IDE dos aplicativos. Ou construir tudo bem ali, ou fazer uma DLL auxiliar para cuidar de alguns deveres. Muitas vezes, crie estas DLL auxiliares por conveniência.

Boa. É sempre bom saber que a opção existe se necessário. Escrever suas próprias coisas a partir do zero pode ser demorado e propenso a erros e, provavelmente, não vale a pena (dado o preço do RightEdge), a menos que você seja, como você diz, coisas realmente extremas.

Novamente, obrigado por tomar o tempo para escrever isso. É ótimo ouvir como um profissional faz isso. Esbocei como eu gostaria de desenvolver meu sistema, e eu escolhi, pelo menos, começar com python e bibliotecas associadas (livre em comparação com $ 500) para construir minha estrutura de simulação. Posso facilmente extrair dados de um banco de dados, codificar sinais, acompanhar as posições e gerenciar riscos em matrizes numpy. Você ainda recomendaria algo como RightEdge sobre uma estrutura personalizada em python (ou matlab se você quiser gastar o dinheiro)?

Além disso, pensei que seu livro era fantástico. Talvez essas perguntas tenham sido respondidas em algum lugar já, mas eu estou interessado em saber mais sobre seus antecedentes e progresso na carreira. Além disso, parece que as taxas de tendência estão sendo compactadas e oferecidas cada vez mais como produtos de varejo. Quais são as suas opiniões sobre o futuro desta indústria?

Obrigado, J. Muitos fundos de hedge criam suas próprias estruturas a partir do zero. Faz sentido se você tem o orçamento para isso. Se você é um comerciante de varejo ou um comerciante institucional menor, é difícil justificar o tempo gasto na construção e manutenção dessa solução.

Em termos de tecnologia, eu sou bastante agnóstico. Procuro apenas soluções pragmáticas. C # faz mais sentido para mim no meu ambiente, mas existem muitas opções de ambientes válidas. Considere o tempo que você gastará tanto construindo quanto mantê-lo. Provavelmente não vale a pena poupar algumas centenas, a menos que, claro, a diversão de codificação seja parte de sua motivação.

Meu passado é incomum. Talvez eu escreva algum dia sobre a experiência incrível e o caminho improvável que eu andei. A história pode realmente fazer um bom livro, se eu fosse capaz de realmente escrever um livro real. E para todos vocês que acabaram de cair suas cadeiras (ou armar suas armas), não se preocupe demais. Eu irei manter seu nome fora dele & # 8230;

O negócio está mudando com certeza. Mais importante ainda, os regulamentos estão criando grandes barreiras de entrada e eliminando pequenos jogadores. As estratégias estão ficando mais complexas à medida que os ativos se consolidam com alguns jogadores de grande porte. Estão disponíveis estratégias de replicação de baixo custo, pressionando os gerentes de estratégia únicos. O mundo está mudando e nós com isso. Aqueles que não passam pelo caminho do dodo.

O código & # 8221; Clenow Sent Me & # 8221; didn & # 8217; t trabalho 😉 (Então eu usei um comerciante em vez 😉

Basta piadas. Eu realmente gosto da maneira que você está me mostrando como depois do trabalho trader insights para o trabalho de um profissional. Isso inspira e melhora tanto o meu pensamento como o meu comércio. Espero que você esteja aqui para mais algum tempo!

De qualquer forma, eu tive que mudar meu antigo software de negociação, já que era bastante limitado. Fico feliz por ter obtido o seu livro no momento certo, considerado ambos, WL e RE e comprei a WL porque obtive acesso mais fácil a ele (fácil de usar). Ainda tive a sensação de que RE é mais & # 8220; trading & # 8221 ;,

Estou aprendendo as cordas com C # agora e # 8230; e depois de ler o seu artigo considerado RE novamente & # 8211; e acabei de comprá-lo. Eu aprecio muito o que você já fez para suavizar a curva de aprendizado com ele, mas se você pode pagar algum tempo e ter mais idéias & # 8211; mantenha-se vindo!

Btw: começando a procurar o segundo livro pelo autor Andreas Clenow. Como eu gosto do estilo que você escreve, eu aposto que esta será tão boa como a sua própria.

I & # 8217; ll mais algumas publicações sobre como criar sistemas e plugins no RightEdge. Eu também planejo incluir sistemas mais completos e idéias de design com o código RightEdge no meu relatório de pesquisa semanal. Eu mencionei que eu ofereço um relatório de pesquisa semanal? E que você pode se inscrever aqui? seguindo a tendência / clenow-futures-intelligence /

Provavelmente vou fazer um segundo livro mais cedo ou mais tarde. Demora muito tempo para escrever um, e # 8230; Eu considero aventurar-se em estratégias de equidade com um livro de acompanhamento. A complexidade aumenta significativamente nessa área, mas, por algum motivo, a maioria das pessoas parece ignorar isso. Manipulação de dividendos, viés de sobrevivência etc. abre uma nova lata de worms.

A. Adorei seu livro.

B. I have a license for Ami-Brioker that I have let expire and am contemplating the upgrade. Do you have any insights to possible short comings of that platform? Would this product be a comparable to WealthLab for a back up to RightEdge?

Thanks in advance for your response.

Thanks, Brian. I never used AmiBroker, but I know some people who do. Nick Radge (https://thechartist. au/) for instance loves it.

My understanding is that it uses some proprietary scripting language, and for me that’s a deal breaker. It might not be for everyone of course, depending on what you need.

I never used it, so I might be wrong here, but it seems to me as if AmiBroker is a pretty strong platform. The core weakness is likely that it seems to be a closed platform, which triggers an allergic reaction for me. If anyone reading this has interesting experiences to share, please chip in.

I got your book, just starting to read it. Any thoughts on developing on Seertrading, Multicharts, Tradestation, Ninjatrader, Trading Blox or Trade Navigator?

Also, what is the name of the hedge fund you manage?

I’ve got limited experience of them. You can’t try them all, or you’d spend all your time learning and testing new platforms.

Seer Trading: Never heard of it. R integration seems interesting though. The native multi system simulation seems interesting as well. Seems like you have to use FXCM or IB though, which is a huge negative.

TradingBlox: Seems to have very good functionality built in. Too closed platform for my taste. Extremely overpriced. Who pays $4,000 for retail trading software?

MultiCharts: Looks quite interesting. Over priced, but a little less extreme than TradingBlox. Hard to tell from the docs if it can do complex tasks or not. Built in Bloomie real time adapter is a nice extra.

TradeStation: Last time I used this, admittedly some years ago, it was strictly low end retail. I’d be very surprised if they managed to enter the field of complex portfolio simulations.

NinjaTrader: Seems ok and I know people who use it. A worrying phrase in the docs is “C# based NinjaScript”, which makes me worry. Either its real C#, or its a proprietary scripting language similar to a real language. And I’m allergic to scripting languages.

TradeNavigator: Never heard of it. Doesn’t look promising from their own marketing: “Unlike other analysis platforms that use Pascal, C# and Java, Trade Navigator uses English and simple math symbols to allow for easy implementation of strategies”. That seems to say “We think you’re an idiot who don’t understand computers or simulations”.

My funds: The only fund I manage that open for new investments is the Globalanced Systematic Fund. I very deliberately avoid mentioning my asset management business on this website, as regulations around hedge fund marketing are getting very strict and I don’t want this website seen by regulators as fund distribution.

I use Trade Navigator and my experience using it has been excellent. I’ve been using it for 2 years now. I do not use overly complicated functions but for what I use it for it has been fantastic. I am technical trader, use of EMA’s and support and resistance in the futures, forex and CFD markets.

I know one of the best futures traders in the world ( Peter L Brandt) uses their platform…that’s where I learned of them.

Hi Andreas, hi all,

1.) Absolutely outstanding book you’ve written, Andreas. Many thanks for writing it.

2.) AmiBroker: When reading the part about Wealth Labs’s portfolio-level testing, you could as well described AmiBroker portfolio testing.

As with Wealth Lab, the portfolio-level testing part has been added late in AB’s development (the old – individual instrument-based – backtester is even still there as an alternative). So as with WL – two separate runs, the first one calculating the entry - end exit-signals within the single instrument’s array (AB is heavily array-based), the second one doing all portfolio-based calculations (position sizing, etc).

Thus, the first run (the one in which your “normal” code is run) has no clue about all portfolio-based variables (equity, cash, etc), the second – porfolio-based – run (that can be accessed via AmiBroker’s “Custom Backtester Interface” – which AmiBroker’s manual regards as “the advanced stuff”, and which is a completely separate part of code within the main code file) has no clue what instruments are or have been processed. So the difficulties come in when a calculation needs information from both of these runs (i. e. position sizing, risk management, etc).

Of course there are ways for solving this. The easy ones are fixed functions like “SetPostionSize()” which bridge the gap between the first & the second run with some simple out-of-the-box position sizing algorithms which are rather inflexible, the more complex ones involve many rather awkward & errorprone workarounds.

If you have a knack for slightly more complex position sizing & risk management algorithms, AmiBroker can be a real pain in the a**.

The favorite sentence from AmiBroker’s developer is that “you can do *everything* with AmiBroker”. While this might be true, oftentimes the process of reaching an often rather simple goal is surprisingly and unnecessarily complicated, error-prone, time-consuming, and in the end frustrating.

On the other hand, primarily because of AB’s heavy use of arrays (generally, you don’t loop through the bars, but rather manipulate the complete e. g. price array of a given instrument with one single function), it’s very easy to code indicators, scans, and quantitative research (the kind Cesar Alvarez or Quantifiable Edges’ Rob Hanna does). But imho it’s really not ideal in the way of efficient for serious portfolio-level system backtesting.

Thanks, Torsten! Excellent write-up on Amibroker.

I’ve got a couple of people I trust who are urging me to try out AmiBroker, so I might have to test it myself. It sounds very much like they’ve landed in the same trap as WealthLab though.

One thing that puzzles me is that people I trust are claiming that AmiBroker has a built in method for only considering stocks that were part of a given index at a given date back in time. Taking historical index constituents joiners/leavers info into account. I’ve got a pretty complex solution for that myself, so I’m quite curious if this is really solved by Ami.

The position sizing and risk management mess created by the dual run hack makes it a non-starter for heavy duty work though. Still, from what I hear, it sounds like a good competitor to WL. I’ll have to give it a spin soon.

Funny enough, I replied to a thread on LinkedIn recently about C# trading platforms. A guy working for WealthLab quickly jumped in, assuring everyone that with their platform you can get rich in no time by spending just five minutes every evening at the computer. Amazing that they don’t just fire people dumb enough to make such claims in public. It reflects very poorly on their organization.

Historical index constituents: Yes – but it’s not really a build-in functionality of AmiBroker. I guess your friends are using the Norgate Premium Data database ( https://premiumdata/ ) – which currently is the database of choice for AB users (as it’s of good quality & nicely integrated into AB).

While the version of the database offered on Norgate’s site (v3.x) doesn’t have the historical index constituents functionality, the non-public alpha version of v4.x does (plus some more improvements). Norgate’s developers have written a plug-in for AmiBroker which adds a couple of historcial index constituents related new functions to AB’s scripting language (AFL).

While this version has been labeled “alpha” for several years now (don’t ask me why), generally it’s working pretty well. As a Norgate subscriber, you can just send them a message about being included as an alpha tester.

Speaking of Norgate, RightEdge sounds pretty promising, and I really would like to test-drive it sooner or later with Norgate’s database. But in order to do that, I obviously have to code a data plug-in. And coding plug-ins generally sounds somehow intimidating. While I’m sort of confident that I can learn C# (I coded assembly language as a hobby as a teenager), in order to play & learn with RightEdge, I need something to play with, i. e. dados. For which in turn I need a data plug-in… Additionally, I guess one has to solve that historical index constituents thingy by oneself, as there’s no related plug-in for RightEdge as there is for AmiBroker (yet?).

Regarding AmiBroker, in order to get an overview of its concepts, you could just read the following pages of its manual:

Understanding how AFL works [concept of arrays in AB]:

Back-testing your trading ideas:

Pyramiding (scaling in/out) and mutliple currencies in the portfolio backtester:

Interesting, thanks. I’ll take a look at Norgate as well. My current data sources are priced beyond reach for retail traders and I’ve been searching for a good equity data provider accessible to retail.

As for plugins, data providers etc: RightEdge comes with enough sample code for most people to figure it out. Of course, you’ll need Visual Studio to make the compiled DLLs. If I like the Norgate data, I might even make an adapter and publish the code here. I’ll check with them if they have an API for the historical constituents data. Should be easy to make a RightEdge adapter for that too.

In my current solution, I’ve made a RightEdge indicator that shows 0 for days where the stock was not part of the specified index and 1 if it was in. The indicator queries my MySql db in the constructor and builds a time series out of it.

Ah, I think I found the Achilles heel of Norgate. They don’t adjust for dividends, nor do they provide dividends info. Oddly enough, they say that the reason for this is to “stay in sync” some index providers who don’t adjust for dividends… Sounds like a pretty poor excuse for not handling data properly.

In reality there are dividends which can greatly affect returns over time. Portfolio models using stock ranking and selection mechanisms will end up picking the wrong stocks without this info.

Not so fast :-). Both of these issues have been addressed in the alpha of v4.x (that’s what I’ve been refering to when speaking of “some more improvements”).

The plug-in has an “options” window where you can change the behavior regarding a) date padding and b) adjustments for corporate actions. While v3.x only adjusts for Capital Events and Special Cash Dividends, in v4.x you additionaly can choose to adjust for Ordinary Cash Dividends.

Historical dividend info is there as well; the Norgate plug-in puts it into the “Aux2” array for each symbol in AmiBroker.

Now it’s getting interesting! They really need to update their website with this info.

You’re welcome, Andreas. I would contact Richard Dale of Norgate – he’s pretty open to sensible suggestions.

I’ve asked them about supporting RightEdge some time ago, but they’ve never heard of it at that time (but obviously it’s been put on some “to-do” list).

PS & # 8211; just a personal observation: I am aware that AB has plenty of very happy users. But over time, I’ve got the impression that this user-base – apart from the basics – is not very interested in (dynamic) position sizing and more complex risk management (e. g. dynamic control of position risk, sector risk, portfolio risk, directional risk, etc). I. e. I’ve very rarely seen discussions (let alone code examples) about such topics within AmiBroker’s community. Personally, I’m very interested in those things, which probably is the reason why I tend to constantly run into walls with AB. Another topic would be multiple systems with AB. While I’ve seen several discussions about it, I’ve never seen a real solution (AB’s developer said it would be “possible”, though).

I just spoke with Richard at Norgate and I’m very positively surprised. Their low prices and quite horrible website set my expectations low, but they actually seem very professional and their data looks very interesting.

They seem to have some critical data that to my knowledge no other retail data provider holds. If they can deliver what they promise, they seem severely under priced.

I’m going to try out their data and if it all seems as good as it sounds, I’ll help them integrate it into RightEdge. I’ll report back with my findings later on…

Great to hear that, Andreas! I think I’ve made a good decision when choosing them as my data provider – imho they’re absolutely excellent.

Just don’t persuade them to increase their prices – we small-timers need some affordable quality data as well 😉

Also, it would be fantastic if you could help them integrating into RE. When one is just starting out on a new platform and/or programming language, having to do one of the harder things (i. e. coding plug-ins) right at the beginning is probably sort of challenging.

What about Matlab, or Matlab + C#? Since most trading ideas go nowhere, a fast prototyping language that is flexible seems ok.

Absolutamente. Matlab is just fine, when used by someone skilled in the platform. I know of at least one billion dollar hedge fund using Matlab as their main modelling platform.

Matlab might not be the most intuitive language environment for beginners of course. For those who already learnt Matlab during university studies, it’s a great platform to continue using.

I’m all for quick prototyping. Getting the job done is more important than getting all the details right from the start.

Thanks for the great book it’s now one of my favorite books.

I am new to systematic/strategic trading after going through your book I came to know about Rightedge. As of now for I been using Amibroker but I am currently working on developing my own automatic trading system. Currently bit confused and require a little help.

1st I am planning to buy rightedge , but as I still own Amibroker lifetime license I am not able to make the decision if should explore rightedge or continue with learn Amibroker AFL language (I do not really like the AFL codes).

2nd how an ideal algo system should look like.

Base de dados no sistema separado Mysql?

For charting, strategies and backtesting rightedge or amibroker ?

Whats for Trade execution?

Você pode por favor ajudar.

I never used AmiBroker, but I hear it’s good if you’re not much into programming. I prefer standard architecture and strong APIs, so RightEdge is more for me.

Please tell the guys at RightEdge that I referred you, and you’ll get a discount. Use my coupon code, ‘tradersplace’. I get a small fee ($50), but more importantly the more people I refer the more they’ll listen to my improvement suggestions.

I’m planning on doing a post about my views on how to set up the infrastructure, databases etc. In brief, I get my data from various sources and have my own C# applications collect, standardize and push into a MySql. From there I make data adapters for RE to fetch data from my DB.

You can do execution straight from RE if you like. I don’t though. Mostly because I’m a control freak and I don’t want a computer to take over my executions. We execute everything manually here.

I guess you’re already in the process of evaluating Norgate – but at least for everyone else – Cesar has recently written a nice post on their “eternal alpha” software:

Hi Thorsten, i know this is almost two years since your post but as an AmiBroker user who is also interested portfolio management, dynamic position sizing and more complex risk management i was wondering if you stuck with AmiBroker?

If yes, I’d be happy to get in touch to discuss how to best use Amibroker for those purposes.

Hi Larry P, I am also very interested in this topic. You can contact me at jofnilsen@hotmail.

I truly enjoyed reading your book. It really made me curious to learn more about trading based on trend while at the same time focusing on volatility and diversification. However, your book focuses on the professional with an institutional investor base.

Personally, I find it hard pitching to investors a simulated result without any hard track record. Thus, I would like to ask you how a ‘newbie’ without any coding and future trading experience can become a ‘professional’ trader. In fact, one of the major hurdles is the small cash base in a retail portfolio.

I would like to implement strategies for my own personal retail portfolio resulting in sane, realistic investment returns. I would be interested in your opinion pertaining to starting in this field with a retail portfolio constraint by a low cash base while at the same time having no experience in this market. Is it possible to replicate your strategy i. e. with mini futures? And how to gain in a quick manner coding and future trading experience without allocating to much time in coding rather than in finding profitable strategies.

Again, I would like to point out that your book is superb and that it really motivated me.

With scandinavian greetings,

Getting in is tough. I’ve never taken the traditional route with anything, so I’m sure if my own path is of much help.

I generally believe that having a solid science background is very helpful. It’s more useful to have a degree in physics than in economics. I say that despite the fact that I have a degree in economics myself.

Since you’re in Europe, you could use CFDs to trade in smaller scale. It’s a little more expensive to trade, but would enable you to take smaller positions. Expect to lose money early on, so don’t trade big.

My view is that you need to have a good understanding of coding in order to be a systematic trader. You’d be helpless without it. This is the core of the business and if you don’t fully understand every detail, you’ll be at the mercy of others.

Overall, focus on the portfolio level. The idea of single systems for single markets is amateur world. You need to focus on overall portfolio returns, not on position or instrument level.

Thanks for the comparison of Wealtlab and RE, that is truly helpful!

At the moment I’m using several platforms to backtest my trading strategies (AmiBroker, Investox, Excel/VBA) and every platform has its limitations.

Especially in the area of risk based position sizing and portfolio back testing I came to the limits of Amibroker and Investox pretty fast, so I used good old Excel/VBA to program my future trading strategy.

Regarding Amibroker I totally agree with Thorstens statement. The tool might be capable of everything but sometimes you spend 3 days to achieve a rather simple objective and it is frustrating if you just want to test your trading ideas (e. g. ATR based position sizing in the custom level backtester).

At the moment I am taking a more detailed look at RightEdge and there are two topics I would appreciate your (and all others) opinion on, before switching platforms:

RightEdge Community: The RightEdge forum looks quite abandoned to me. There are a handful users and the developer discussing several topics. I understand you talked to the developers. Do they have a roadmap for the further development and maintenance of RightEdge?

Availability of plugins: I’m surprised that even standard data connections (e. g. metastock) are not part of the RightEdge installation. It seems that several users have the same issues and have developed plugins for themselves. Besides the Right Edge forum, do you know a place where users share their experience regarding plugin development or even share their plugins?

Obrigado pela ajuda!

I’m concerned as well with the low activity in the RightEdge forums and the lack of improvements and developments of the product.

I really like RightEdge. I think it’s a great piece of software and I’d gladly pay ten times the asking price for it. But, it’s not without worrying elements. It seems to have gone from a ‘real’ company to a hobby project. The developers are not focusing full time on this product, but rather have other jobs in the software industry and see RightEdge as a side revenue.

That makes RightEdge more of a boutique software. The current version, which came about around four years ago, is really good. It’s just a pity that they don’t continue and built upon it, making new versions.

The problem with the overly commercial competitor platforms is the opposite. They keep doing new versions, usually making them less useful for high-end developers and catering to the get-rich-quick retail crowd. Of course, that’s where the volume is for charting/systems software.

For me, the issues you point out are clearly a concern and something to be taken into account. It’s not however a showstopper for me.

As for a dedicated forum for high-end RightEdge developers, perhaps I should just start one. If there’s interest, I could set one up on this site. For such a forum to be useful though, we would need several people willing to contribute ideas and help answer questions. I’d be happy to help out, but I wouldn’t want it to become a “Q&A with Andreas”. It would have to be based on everyone helping out.

If there’s interest, I’d be happy to host such a site though.

As a long time user of another ‘comercial’ software I, I moved to WL / RE after I read your book. As I have a full time job, I am still in the learning stage with everything, the software, C# and programming my systems. Some things are trial and error but fort me this is where I learn the most for myself. I’d be happy to share and contribute (although it isn’t that much atm ;-).

If we can build a large enough base of eager traders, this could be a useful resource for all of us.

On a side note: I’d like to get an adress as I’d be glad to have signed my copy of your book. You may PM me if that is OK.

Hi Torsten, i know this is almost two years since your post but as an AmiBroker user who is also interested portfolio management, dynamic position sizing and more complex risk management i was wondering if you stuck with AmiBroker?

If yes, I’d be happy to get in touch to discuss how to best use Amibroker for those purposes.

I have been using RE since about day dot when it started and helped develop some of the ideas they have in there now. I am one of the old forum users who lingers around every now and then.

I also use it with Norgate data (metastock) so it can be done with a bit of work.

I like there platform for every reason Andreas lists but also agree it looks a bit abandoned at the moment.

I believe the biggest problem for RE is actually the low price. 500 once off, with no maintenance fees, means that there’s a limited economic upside for the developer. I’d much rather see a yearly fee of 500 bucks and a more active development cycle. I’ve told Daniel my view on that in the past.

I’ve even contemplated making a bid for the whole thing and turn it into a much larger business, but frankly I’ve got far too much going on at the moment to be able to commit proper time to oversee it.

I’m hoping my articles are getting them enough new users to increase the activity a bit. It’s an amazing platform with great potential.

Shoot me an email –I can’t find yours – Just about your last post. I have though about the same thing as well.

Great article again, Andreas! And good follow up discussion! As i’m new to portfolio level simulations, it had saved me lots of research time.

This was such a good article, it has inspired me to try to use RightEdge for our own trading! I just created a post where I lay out some of our use cases:

Perhaps you have some insight or opinions you would be willing to share? Also, feel free to email me.

And thanks for the excellent work!

I heard great things about Genesis Trade Navigator. Have you ever heard about them? They offer tick data for backtesting back 30 years because they have own database. And also a very simple programing language.

I looked into them briefly after someone asked a while ago. I believe my conclusion was that it seemed like just another simplistic retail package. ‘Simple programming language’ is actually a bad thing. All these proprietary languages are all horribly bad. They are all severely limiting and they’re not fit for professional use.

Can one execute live trades via RightEdge or WealthLab? What do you use for executing live trades? Saxo Trader?

Thank you in advance for your reply!

WealthLab is gimped after they limited themselves to one single broker.

With RightEdge you can execute automagically with any broker you like, as long as they support some sort of API. RE has a strong API for making your own broker plugin if you need.

We use several different brokers. I’ve worked with most large banks over the years. We do all execution trading manually and don’t use automated software for that.

I thank you for your reply! Does it mean you use RE for charting? That you see your signals and then execute them manually? Since I am looking for a good software where I could also manually execute my trades.

I use RE for a number of things. It’s a great platform for simulation work of course, to develop strategies in. Then I also use it for signal generation for trading models, where I let RE output the alerts to email, database, popups boxes etc.

RE can also be a pretty good portfolio management tool, if you extend it a little. Pre-load the exact real positions and perform analysis from there.

Finally I also use it for automated reporting and analytics. For instance, the ‘trends of the world’ page on this site and many similar things are done with RightEdge.

Andreas, in terms of signal generation, is RE aware of the current portfolio when it generates signals? For example, if one has remaining capital for one more position only, will RE generate only one signal? I know it can be done in backtesting, but what about the live trading?

Yes, it can be done properly. By default, the application is aware of the current (simulated) portfolio, and takes it from there. It prioritizes trades in the order that they were submitted and takes the ones that are possible given cash constraints etc.

If you want to improve it further for live use, you can load your actual live portfolio to get a real life starting condition before signals are generated. You’d have to code that functionality yourself of course, but it can be done.

Andreas, how are things going with the RE’s PremiumData adapter? I thought you were beta-testing it last year. It seems its development has stalled. Perhaps, building industrial-strength adapters for RE is not that easy after all. It’s a pity as this is a major road blocker for me.

Last I heard, it was delayed but still on the way. Premium Data is attempting something very different, going far beyond just a regular data adapter. They’re doing instrument selection based on current and historical index constituents, cash dividends adjustments etc. Quite complex work. I should know, we’ve built the same for our own in-house environment, using a different data source…

Good to hear the project is not abandoned.

Interesting discussion re Amibroker as I’ve been attempting to replicate Andreus’ back tested results using virtually the same market set he states in the book and keep hitting a brick wall in the Amibroker results. Despite being reasonably confident in the code I’m using and a quality Norgate data supply there always seemed to be a disconnect to the backtested returns which you demonstrate in the book so it’s interesting to hear from Thorsten that description of how Amibroker position sizes and why it potentially would not be accurate. The big question mark over my mind now is whether to start again from scratch with Right Edge (and learn how to code in C# which sounds like a very long road ahead) or to continue to attempt to code in Amibroker. As I’ve already got a data subscription and the data itself I’m not sure how difficult it would be to get that data into Right Edge and it doesn’t sound as though it’s as supported as the Norgate/Amibroker currently is…

I spoke with Richard Dale at Premium data last week. He tells me that they’re almost done with a fully integrated RightEdge adapter. They were waiting for some improvements to the symbol watchlist API, which was just released in build 34 a week or so ago.

You don’t need any deeper knowledge of C# to write trading models. Get the trial, drop me a mail and I’ll send you some sample trading models for you to start off with.

Thankyou so much for this update and your kind offer. I will kindly bite your hand off to that suggestion and will be in touch once that Premium Data adapter is released. Have already purchased my C# Programming Yellow Book and as this is a medium/long term path I’m on this help is enourmously appreciated. I’ll keep you updated along my journey as being based in London I’m using SAXO CFDs also whom I understand you have a business relationship with…

I got the same experience as you Simon, I just can’t see to get the same results as Clenow, I get in the proximity of his results, but that is not good enough for me, I can’t trade not knowing that my system is 100%. Now Im converting to rightedge.

Since I have paid for premiumdata for amibroker, I will try and use them, they said they had a plugin for rightedge, but they still had some minor bugs needed fixing… Im waiting a few more days, if they can’t fix it I will use quant quote and mySQL solution.

I think they’re finally done with the RightEdge plugin. They’ve given me an access code for it, but I didn’t have time to try it out yet.

You mentioned Saxo Bank Switzerland as a honest bank/broker to go. I don’t know how the Swiss branch, but almost all other branches of Saxo Bank are terrible, especially the Danish one. I read several terrible reviews on Saxo. I laso asked a few friends of mine who used Saxo for some time.

I found that they manipulate with price and their support is terrible. Also the Saxo Trader has a lot of bugs.

I hope it is not the case for the Swiss branch. I guess you know their trading platform well. Can traders add new indicators into the platform if they are programmers?

Thank you in advance for your reply!

All I can say is that I’ve dealt with quite a few investment banks around the world and I’ve got nothing but good experiences with Saxo.

I’m also aware of this trend of hating on Saxo by the anonymous kids in the hobby trading forums. Frankly, all I’ve seen is a bunch of people hiding behind fake names throwing random accusations in anger. They even keep spamming the comment section on Tradersplace with these ‘saxo stole my money’ Absurdo. They sound like every other internet child trash talking Rebecca Black, Justin Bieber or whatever the hate object of the day is.

Bottom line is simple. If you’ve got something real, then present it. This is Europe. Saxo is a regulated bank. If there’s price manipulation, go sue them. File a complaint. Get a lawyer. Instead these people are behaving like little children throwing tantrums, hiding behind fake screen names and throwing vague accusations around.

This is a grownup game. I have no patience for these childish internet troll cultures. If these people can’t play a grownup game, perhaps they should do something else.

Now, I have no idea of whether Saxo has ‘manipulated prices’ whatever these people mean by that. I also have no idea if Goldman has done so. But if I thought a bank had ripped me off, they would hear from my lawyers. Not from my anonymous hate comments on some daytrading site.

I thank you for your reply! I will give them a try! I trust you since I really like your book and I tested everything mentioned in the book and everything is as you said … you are definitely not a scam artist! 🙂

I tried their demo, but I couldn’t find the ATR stop indicator in Saxo Trader 2 you mentioned in the book. I want to program it. Do you think is it possible? I worked as a programmer over 2 decades, so it shouldn’t be a big deal for my programming skills.

Thanks, Tom. I should mention that while I do have a business relationship with Saxo, I have no economic interest in them gaining clients (like you). My relationship with them is both that they’re one of several banks we use for my firm and that I write occasional paid articles for their website.

As for their platform, I don’t use it much. We do some execution via that but I wouldn’t use it for charting, analytics etc. Most banks have pretty horrible platforms for that, even the big prime brokers.

If you have no problem with programming, I’d get RightEdge instead.

Using Saxobanks platform you’d use the trailing stop function based on the x multuple of ATR(xx) that you’re getting from another data source which you’d need to update periodically for changes in ATR.

I don’t use Saxo for thier data, just for their brokerage services, for data I use Norgate Premium.

thanks for sharing your thoughts and insights on this site an in your books!

A question regarding software platforms. I use Matlab for my models which is fine but not always the nicest way to go if you want to try some new ideas. I wonder if it could be worthwile to use a more “ready to go” platform for protoyping? I was thinking of trying Mechanica as it seems to offer some relevant features (PF Simulation, Multi-Systems). There may be other platforms offering the same, but my question is not product related. Do you think using a different platform for prototyping could make sense?

I can’t say that my MatLab skills are very good, but as far as I know MatLab is really meant to be a prototyping environment. It’s fine for production as well of course, but prototyping is supposed to be where it really shines, right?

I’ve never used Mechanica, but I absolutely balk at the price tag. I haven’t seen any explanation of why it costs so much and what makes it better than more moderately priced solutions. Their website looks like it hasn’t been maintained since 1999, which isn’t a very good sign for a software company. They charge 25 thousand bucks for a product that they absolutely fail to explain on their site. Their pitch is kind of a one liner about how they are the most powerful on the markets, with zero substance to back it up. I can’t really take that seriously.

We work primarily with RightEdge, using our own quite substantial modifications and additions to it. Standard language environment, open architecture, easy to extend… I take that over some 25k black box product any day.

thanks for the quick response!

“I take that over some 25k black box product any day.”

Bom ponto. It’s indeed amazing how little details they offer.

MatLab ist fine, especially in the derivatives space, but I don’t know if it would be my number one recommendation for trading systems, if had not had to learn it earlier on anyway. But of course you can extend the possibilties quite freely.

The features of RightEgde, especially the use of a real programming language, are fine, although their site does not look as if they were earning a lot of money. Anyway, as C# ist even more versatile and your work is speaking for itself I think I will give RightEdge a shot then.

Great blog and very useful information. I am just getting started with RightEdge but given I have a compsci background I love the fact that I can build plugins and add funtionality.

2 quick questions.

1. How are you accessing general meta data from within your strategy? Are you directly accessing your SQL database from your strategy code or are you loading this meta data into the symbol information somehow? One example would be “Point Value”. I have a lookup table in my database for each product and all the relevant data associated with it but I’m just figuring out the best way to make this available. The new SymbolSource service allows me to load symbols from my database into a Watchlist but that relies on the RightEdge Symbol class having fields for all the data I might want to load. I was therefore wondering if I could/should just load my meta data from my SQL database directly into my strategy (perhaps in the SystemBase startup?). Im sure there will be more data other than just contract details that I will want later so having this ability seems like it would be useful.

2. How are you configuring contracts such as Eurodollars. RightEdge only has contract size and tick size but if you input contract size = $1,000,000 then I would guess the PL calculations will be wrong as 1 point move should be $2500 per contract and not $1,000,000. Do you just configure RightEdge’s contract size to be the PointValue in these cases?

Apologies if these have been answered before. I have been googling around and looking at other posts and I couldn’t quite see anything.

Exactly the reason why I love RE. You can do whatever you want, as long as you’ve got a decent tech background.

MetaData: I load all the fields that RE are designed to hold, using a script of course. There’s an xml file in the user profile called something like symbolconfig. xml. You can write to this to auto add large amounts of metadata, populating from your db etc. Just be aware that RE is a bit touchy about this file, and if you make a mistake in the XML RE won’t start. So be sure to back it up… Anyhow, editing is easy if you’re familiar with XML.

Use this to populate point value, sector, industry etc. Don’t set a tick value, since that wouldn’t work well with back adjusted series. Setting tick value forces that minimum move, and with back adjusted data you might get something very different.

For other metadata, I just let the system ask the db directly. Could be market cap for a stock, dates where a stock is part of a particular index etc.

Eurodollar (and all rates markets): Use the point value, not the contract size. The two are the same for almost all markets, but not for rates. But you already know that, because what you say is absolutely right. For ED, divide by 100 and then by 4. For bond futures, divide by 100 (for most of them anyhow). Your numbers are absolutely correct, Dan, 2500 for ED etc.

Thanks for the quick response! Sounds great. For all the other data I will just setup some sort of clean way for strategies to request data directly from my SQL database.

Have you noticed that CSIData “PointValues” seem strange? I think the issue is that what we really want is what they call “Whole Point Value” (I’ve seen this in some CSI Future factsheets) but it doesn’t seem to be available as part of the download. I think I will just configure these myself. There aren’t all that many and it will just be a one off setup.

There are so many things that I will want to do both for backtesting as well as daily trade generation and keeping track of live trading systems and risk but because it seems so flexible I don’t see any reason they wont be possible with RightEdge and Visual Studio… I mean…the strategy code is clean C# with full CLR/ capabilities meaning I can pretty much do whatever the hell I like inside the strategy code…. (within reason 🙂 )

I seem to remember some oddities with how CSI label their meta data fields, but it was a long time ago. We make our own lookup tables, and just ensures that the incoming data is in the right format. (heads-up for classic dollars vs cents issue…)

The first time I set up all the symbols in RightEdge, I made an Excel spreadsheet with all data, and then a quick little VBA hack to make the necessary xml changes. For futures, it’s at least possible to do manually. Try entering a few thousand stocks with names, sectors, industry, currency etc 🙂

An interesting thing with RE is that you can use it for much more than it’s intended to. Among other things, we use it as a reporting engine, calculating analytics and pushing results into databases. The premium report on this site (which by the way is really neat and everybody should sign up to right now!) is almost completely automated with RightEdge. We make results plugins for RightEdge that really just gather relevant data, inserts into databases and generates nice looking reports.

Just FYI while were we’re talking about PointValue etc. I noticed that your PointValue for JPY CME futures in Following The Trend appears to be wrong…

As far as I know the contract is quoted in cents (ie. currently 1 yen.

0.8 USc) and the contract size is 12,500,000 unless you trade the minis/micros.

I would therefore expect the pointvalue to be for a 1 cent move (ie. from 0.8 USc to 1.8 USc) which would change the value of the contract by 12,500,000 yen.

In your table you have it as 1,250 but in units of MM JPY. That would make it a 1.2Bn Yen PointValue.

It would make sense if your your point change was a $1 change (ie. 100 cents). Maybe I’m missing something.

Also, the EUR/JPY future has a Unit of CHF in your table in the book.

P. S. I wasn’t sure if there was an errata published anywhere but couldn’t find one on Wiley website.

so I gave RE a shot! Here are my impressions from the first 12 days (ok, 4 active evenings to be honest) of evaluating the software.

What you do need to get ahead are basic programming skills in a higher language like JAVA or sth like that. Any language of this kind will do, C# is very easy to learn if you know the basics of any similar language.

If one does not know anything about coding then I think learning the language on this system is not the easiest way. If somebody does not know a lot about coding, I think it to be smarter to learn the basics of C# separately for some weeks before trying RE. This will slower you in the beginning but will be a lot more motivating to keep going.

After reading through the documentation it was quite easy to create the first simple model. I just recreated one of the simple trend following models and used the historical data of the Dow 30 Stocks. I also implemented the ATR based position sizing. These steps are very easy, and apart from looking up something in the API reference to really understand, how the system works, there are no bigger obstacles. Taking some time to review the possibilities given for adjusting the result output, I may say that after some days of serious trying one is able to test ones own ideas.

I will now install mySQL, get some real data feed and try to put it all together. Andreas, if you have any suggestion or could tell me about some possible problems, please let me know. Obrigado!

The RE website should not discourage anybody. The software is fine, the documentation is good and the flexibility is great.

Sounds about right, Nick. It matches my own experiences with it.

Frankly, the largest hurdle for most will be to get the data into the application to begin with. That’s something that they could have made so much easier.

Be sure to look into the class MySystem. It opens up for many interesting tricks. Most people only use MySymbolBase. Really horrible class names, btw…

Just wondering if you have any experience of CSI’s applications or RightEdge on Windows 8/Windows10? I am currently running Windows 7 and am, for now, ignoring Microsoft’s free Win10 upgrade as I don’t really have a need but just for future planning it would be good to know if it works…With RightEdge being CLR/ I expect it should but you can never be sure and I have no idea about CSI’s apps.

I cant find any comments anywhere so wondered what version you run/have tried. No problem if not, I can just email and ask.

I’m running both on Windows 10 without any problem.

So far, I’m very happy with Windows 10. They took out the annoying parts of Windows 8 and everything just works.

Do you know of a provider who has got adjusted data for European stocks (LSE in particular)? Norgate looks great but only covers USA & AUS.

Assuming you would like something resembling reasonable pricing, I don’t really know. I haven’t bothered researching it too much, since I don’t like trading UK stocks. The stamp duties is a huge problem, and the market in the UK has been performing horribly bad for a very long time…

If budget isn’t a problem, Bloomberg or Data Stream should be able to sort you out. That’s not exactly retail pricing territory of course.

Thanks for the comparison. Have you heard or used OpenQuant, any comments on this platform? Recently they published OpenQuant 2018, which provides much more flexibility. I’ve tried the software for several days(trial version), and it does provides all the advantages that you mentioned about RightEdge, like built-in database, portfolio level backtest, dynamic position rebalancing, self-implemented GUI dlls and data/execution providers.

I haven’t used OpenQuant, but I hear good things about it from friends in the business who use it. It seems to be a solid platform.

Of course, the price tag is a little different from RightEdge. Their lowest tier version cost about as much per month as RightEdge cost in total, and their full package will set you back about $22,000 per year. It’s unfair to compare that to the once off $500 for RightEdge.

I have demo’ed RightEdge and I quite like it but my only concern is that there doesnt seem to be to many active users of it or much new development going into it. Have you taken a look at NinjaTrader 8? It is in public beta and is much more extensible than the prior version. Take a look at the AddOn extensions which essentially allows you to leverage their low level objects to build your own mini applications within Nt8. Another platform to take a look at is Iqbroker which is in a closed beta(email them for access). It has an excellent object model for portfolio level back testing and even lets you construct portfolios of strategies. I would be interested what your thoughts are on these platforms.

I’ve looked at NinjaTrader briefly a few years ago, but I don’t have enough knowledge of it to have an intelligent opinion to share.

I also wanted to mention after reading the comment chain is that ninjascript isn’t a proprietary language. It is essentially just the base class that strategies are based on in NinjaTrader.

Big fan of Following the Trend, and I just finished Stocks on the Move. I am currently learning to program, and I’m trying to decide on system development software. I was thrilled to see your recommendation for RightEdge, because the features are ideal and the price is very affordable. I’ve heard very good things about Bob Spears and his Mechanica Software. Have you used Mechanica and have any opinions about it?

I find the pricing of Mechanica to be somewhere between insane and laughable. I don’t get how these software packages can sell at such outrageous prices. There are many similar ones in this segment, with horrible 1998 style websites and no real explanations about why they’re worth the crazy money they ask for. Same with things TradingBlox and PowerSt.

If you charge a very steep price, at least you need to be able to explain why.

A few years ago I asked the guy behind PowerSt why his software was worth something like 50 times RightEdge (per year). He listed only standard features which every serious (even free) simulation packages have and got really upset when I wasn’t convinced.

I’ll going to try RightEdge. One thing that I’ve heard that Mechanica does differently is to Automate the system and execution. I’m assuming if one is running an investment management company or fund, and uses Separately Managed Accounts for clients, the necessity to execute the strategy on each account gets inefficient eventually. Have you experienced this, or is it not a large problem in the professional management arena?

You could automate execution with RE too if you like.

I find that the industry is more or less split down the middle on automatic executions. Some automate everything, some have trading desks with execution guys. I prefer do have the execution handled manually, but I see nothing wrong with either approach.

For managed accounts you can also get the execution workload down significantly with platforms like DB Select.

I will keep in touch and update you on the journey.

Hey Andreas, hope your new years was enjoyable!

I am running through the steps for system development and backtesting. Obviously the first step in any strategy test is to get the data. I was working on a version of your momentum strategy from the book, but wanted to test a futures strategy as well. Is the data import much simpler? It seems that all I would need is the historical end of day data for my chosen universe of futures. I’m assuming CSI would be sufficient for this purpose, but I’m struggling with finding out the step from data import to the beginning of the backtest. Are there any adjustments that need to be made? Can I simply import the historical data and run the system code? Would I have to create my own database or plugin to get the CSI data into RightEdge? I know there are too many questions, but I appreciate any time and effort you spend on any advice. Agradeço antecipadamente.

The data handling (and everything else) is immensely much simpler for futures. Proper equity simulations are painful. Futures are easy.

The data from CSI is just fine. You remembered to use my discount code when you bought it, I hope? 🙂

You could just import the data without a real data adapter. That might open for a few issues that you’ll need to address though. My preference is to use a MySql database in between, which makes the data handling much easier.

Some markets may be quoted in cents, and that’s always a pain. I do automatic conversions to major currency units, feeding dollar values to RightEdge instead. Don’t forget the metadata too. You need to set up each market with the correct metadata for the simulations to work. You also need to configure currency time series, so that the fx impacts will be correctly accounted for.

You don’t have to use a database in between like I do, but in my view it makes life so much easier.

Matt, sounds like we are in about the same place with RightEdge. I’m using binary data store that ships with RE, not a MySql database (project for another day). For the CSI data adapter, I started with the example code provided by Andreas and tweaked it to convert the markets provided in cents and to correct bar data errors. CSI doesn’t seem to provide exchange rate data (am I wrong?) so I found another source for that and was able to use import data tool under tools tab to suck it all into RE. Had to set up symbols and metadata manually (a real pain!). I believe Andreas said there is a way to populate metadata automatically with a. xml file but that is beyond my programming skills at the moment. As for backtesting, I started with replicating the trendfollowing strategies from chapter 4 of Andreas’ book. Por enquanto, tudo bem. Good luck, Matt! If Andreas doesn’t mind, happy to share experiences and questions on this board since the Rightedge forum is pretty dead. Greg B.

Feel free to share what you like here, Greg.

I was, and still am, planning to make a proper discussion site. I had a brand new vBulletin forum set up on this site recently, but during testing it got overrun by spammers and hacked several times, and I don’t have time to deal with that… Perhaps I should revive the old Tradersplace site again, but in a less complex implementation this time around. I took that site down for the same reason, that it was taking far too much time just to keep the hackers and spammers at bay.

I believe you can get exchange rates from CSI, but I haven’t done that myself. I’m pretty sure someone recently told me that works though. Else just get it from Yahoo Finance or Quandl.

Populating metadata isn’t that difficult really. I’ll write up a post for the premium section on how to set up an Excel sheet that automates these metadata xml files. And I’m not mistaken, you’ve already got access to those articles, Greg. 🙂

Btw, the model from my first book is in the premium section of the research library. You can download the full source code there and compare with yours, Greg. Of course, keep in mind that the model for that book was never meant to be some sort of optimal system, just a demo model to show how trend following works. It’s an ok model, but not a great model, and easy to improve.

Do you have the code that you use to rank all stocks in the book ‘Stocks on the move’ shared somewhere on the site? or could you share it here or by email to download it and have a trial with RightEdge to see how it all works?

Or if it’s a code that could be used in a different software, that would help as well as most platforms offer a few days of trial where we could try things.

My current code makes use of my local environment, making direct database calls etc, so it wouldn’t be of too much use to others.

But I’m planning to fix that soon. I’ve been working with Norgate Data to help them make a RightEdge plugin that solved the issues that I used direct database calls for. Their plugin looks very good so far, though there are a couple of bugs to sort out before it’s released.

Once this plugin is released, I’ll publish source code for the momentum model in the book.

Thanks for the how-to articles in premium section. I guess a couple more such articles and you’ll have only a fraction of your subscribers left, as the whole trading game turns out to be very complex and not something magical like Forex ads promise)

I have a suggestion if you don’t mind. Apparently the stock market environment is really volatile at the moment, and the Momentum strategy is moving to cash. You have mentioned in your book that being in cash means allocating funds to money instruments. Would be great if you provided more info on this topic.

Thanks, Vitaly! Yes, that could make sense for an article.

Bring back PTSD style flashbacks from 2008… There was a time when we were analyzing banks daily, moving cash in the late afternoon into whatever bank had the best chance of surviving the next 24 hours. It’s hard to imagine now just how bad the situation was back then.

I should mention of course that most countries have some sort of depositor guarantee, and if someone has a lower amount of cash than their local limit, the cash is guaranteed by their government. So this is an issue that affects professional money managers and HNWIs.

Hi Andreas, do you have any recommendations for software that keeps track of trades/performance/statistics of a live trend following system? RightEdge is great for backtesting but not sure it can be used to track live system(s) without some very heavy customization. Excel could work too, but again, lots of unnecessary work if there is a ready-made product out there. Thanks for your thoughts.

Yes, I should write something about that soon. A proper market data system can be very important and tracking portfolios is just one of many things they can do for you.

It’s essentially a rebranded Reuters Eikon, normally sold for about 2k/month. This rebranded version is sold for around 100/m but only non-professionals are allowed to buy it. It has a great market data application as well as the best financial Excel addin in the market.

Hello Mr. Clenow:

I just purchased your book Stocks on the Move and would like to try using your system. I have a MAC computer, but neither RightEdge nor WealthLab run on a Mac.

1. Can you recommend a Mac-friendly trading software package or website that I can use to SCAN for stocks with high Adjusted Slope (cf Table 7-1 Top Stocks Ranking) in both the US and the Canadian markets?

2. Can you recommend a Mac-friendly system that I could use to do BACKTESTING?

Andreas has created a subscription service that performs all the number crunching for you and provides all the rankings.

If there is an alternative application for Apple, I’m not aware of it. It might be difficult to find financial software for Apple environments, since the industry runs off Windows on the front end side.

I suppose you could dual boot into Windows, if that’s a viable solution. Or, as Ed kindly suggests, subscribe to this site and get the data there. I only cover US markets though.

Thank you for your replies, Ed and Andreas. Your S&P-500 subscription service is very appealing and I may start using it. I am looking at both the US and Canadian markets, however, and at the stock of companies smaller than those in the S&P-500.

I have been inspired by your book “Stocks on the Move”, and also by Antonacci’s book “Dual Momentum”, and the idea that a stock tends to do better if its Sector is going up.

I am developing an evaluation system that takes Price slope and Smoothness into account (Clenow), along with Earnings growth and Revenue growth (Antonacci) as well as Sector strength.

I now have a basic technique with rules but a lot of manual work is involved, and I would really like to automate it. If I could also do do some backtesting, that would be a great bonus!

Any comments on the above would be most welcome! (I could send you more details if you wish.)

PS: I may try to run RightEdge on my Mac with a Windows emulator or some-such, or purchase a PC.

Ken / Andreas – I had exactly the same problem in trying to automate the strategy in an Apple environment. In the end, I coded it up in Java (I’m a professional software engineer) and developed a web front end for visualisation.

Essentially I wrote everything from scratch in Java, getting historical data, cleaning the data, ranking the stocks, applying position sizing, applying buy and sell rules, applying slippage and commissions, tracking stock and portfolio PnL, equity, etc.

I essentially wrote my own backtesting engine. I’m running it against UK stocks and backtesting a UK stock portfolio from Jan 2006 to May 2018 I get 18% CAGR and 16% Annualised Vol.

I’m going to expand it so it covers multiple stock exchanges (US, EU, UK, SG, etc) and supports multi-currency portfolios. I’m also looking at implementing interfaces to my broker so I can automate the trades.

Happy to share any details if anyone is interested.

If what you developed is a self-contained backtesting engine, I would be very interested. How can we get in touch?

Ed – For now the backtesting engine is used primarily for equity momentum strategies. However, there is no reason why it can’t be modified to accept other types of strategies. The core architecture has been designed so that it can handle large amounts of data concurrently, that we otherwise be too large to fit into memory. In fact my next project is to backtest mean-reversion strategies aka ‘pairs trading’. I will be setting up a blog very soon to demonstrate it. You can contact me via LinkedIn – https://uk. linkedin/in/ravi-cheema-1bbb60.

Awesome article, thanks so much.

I’ve been (discretionary) trading for many years – now looking to get serious with modelling and back-testing, etc.

I’m going to learn to code, so I think it makes perfect sense to choose a platform that uses ‘real’ code and not waste time and energy on the wrong platform (just because it may be easier to begin with).

So, it’s early stages but given the top 10 products that are out there at the moment, I’m thinking that Quantopian and QuantConnect seem to be the ‘new breed’ that offer everything that, say an RE does, and more?

From what you know of them, would you imagine much downside in going this way? What would RE have that these don’t? A better reporting environment perhaps? Can I run “scans” as well as “back-tests” in these applications? (I would like to replace my scanning software with a single platform that can scan and back-test if possible?).

Quais são seus pensamentos?

The online environments are certainly improving, but they are in a very different category than RE.

I looked into Quantopian in detail before going to speak at their conference in NYC a few months ago. They have done a remarkable job, I’ll give them that. The integrated data access alone is worth a lot, as is the cloud based calculation engine. It’s a great environment if you’re just starting out or if you have no desire to do anything customized.

In terms of openness and flexibility though, there’s no way any online environment can compete with RE. It’s just not a fair comparison.

With the online solutions, you only get exactly what they give you. Nothing can be added or changed. So in this case, you get only US equity data and only from 2003. No futures, no currencies, no custom continuations, no spread series etc.. You get only the system results analytics that are built in and you cannot do creative things. The first thing I built for RE was a historical portfolio allocation and attribution analysis plugin.

And what if you want to output your data? Say you want to run a complex portfolio model in a bunch of different iterations, spit out the daily equity curve and differences in portfolio allocation to a local database or a text file for further analysis? Possibilities are limitless in an open environment.

RightEdge is an open API while Quantopian and Quantconnect are closed websites. They are very good closed websites, but that’s still what they are. That’s great for a lot of people, if you don’t want to do much coding, if you don’t need any flexibility, if you need exactly what they provide for you, if you can’t afford a local setup etc.

Yes, Quantopian is a great platform but they can never play in the same league as RightEdge. That’s not what they’re trying to do and that’s not the technology choices that they have made. They’re going for a different audience.

Thanks very much for that Andreas, that has helped a lot.

Next I need to consider the choice (and trade-offs) between ‘easy language’ applications (particularly interested in Amibroker) and a package that requires a ‘real’ língua. I’ve got a huge preference for jumping in and learning C# or Python due to the longer-term benefits, but I’m also mindful that it might take me a lot longer to generate something productive and useful.

I’m wondering how much I will need to ‘re-learn’ if I start with Amibroker and run with that for say, a year, and then move over to a RE later on, and whether that would ultimately be less productive. I know that’s probably impossible to answer. Let me ask this:

What other packages such as RE are out there that utilise C# or Python? Do you feel RE is the “easiest”?

Can I use RE to conduct basic stock market scans? Is that fairly straight-forward? This would be the perfect entry for me, as I could use it to replace my scanning software, and get into back-testing and then strategy construction from there.

Thanks so much once again,

I haven’t used AmiBroker, so I can’t help you there. I hear it’s pretty good. For a proprietary scripting platform. 🙂

There are a few other platforms using CLR, but I haven’t gone into real depth with them. NinjaTrader and MultiCharts, I believe.

Using RE to scan stuff is easy. No, it’s not a built in features, but I wouldn’t want it to be. You want to output something? Just write a few lines of code. Just build a normal system run, calculate what you need calculated and output it. You want it displayed in the application? Fine, make a little plugin to show your stuff after a system run. Fácil.

Thanks again Adreas,

Really enjoyed your interview on Top Traders Unplugged by the way.

I’ll have a good look at Multicharts and compare it against RightEdge.

It’ll interesting to see your opinions on Mulitcharts. I’ve heard less than a stellar opinion from a systematic portfolio speculator. Individual instruments tested fine, but portfolio didn’t, compared to WealthLab. This was a few years back, though.

RightEdge Plugin Configuration Guide.

Changing to the Norgate Data Store and Watchlist.

Set "Data Store" to "Norgate Data Store". Set "Watchlist" to "Norgate Data Watchlist". Click Setup to configure the plugin settings for "Date Padding" and "Price & Volume Adjustment". Please note that these settings can be changed at any time by way of RightEdge > Tools > Options.

Referencing the Norgate Data plugin in your trading systems.

The NorgateData-RightEdge assembly now needs to be referenced in all of your trading systems. You can either do this via RightEdge's GUI or via editing your trading system. rep file.

Trading System Software.

As I continue to get more and more interested in building and backtesting trading systems, I am beginning to look into purchasing trading software. This is an overwhelming experience, to say the least. There is a seemingly endless selection of different software packages, and there doesn’t seem to be any clear guide to selecting which one would best fit my needs. To be honest, I don’t even know what my needs are at this point.

Products I Have Seen Recommended.

In Following The Trend, Andreas Clenow recommends Wealth Lab and RightEdge. My friend @Systemstrader95 suggested I check out Wealth Lab or Trading Blox. I have another acquaintance who programs systems using MetaTrader4 and NinjaTrader. I have seen and heard about Tradestation. In a personal email, Clenow also recommended OpenQuant, but noted that it has a high price point. I received a few emails recommending Amibroker, which I know Woodshedder uses and recommends.

With this as my universe of possibilities, I began to explore the details of each of these systems.

Products I Quickly Disqualified.

Wealth Lab.

Since Wealth Lab was the highest recommended product and is supposed to be the easiest to learn, I decided to start there. The pictures on the website look like the software is really cool, and I can even register and download a free trial. However, when I dug a little deeper, I discovered that US residents are required to have a Fidelity account to access Wealth Lab. The fine print specifies that this account must have a minimum balance of $25,000 and place at least 120 trades per year. That means I’m not going to be using Wealth Lab.

TradeStation.

I like the idea of software that is already linked to a broker, so I decided to try Tradestation next. Here again, I ran into very high minimum account requirements, although they do offer a software only version for $250 / month that is limited to simulated trading. I think we can probably do better than that. I would prefer a one time fee to a monthly subscription.

TradingBlox.

I next looked at TradingBlox, which Clenow mentioned was started by former turtle Curtis Faith, who wrote a good book on system trading. At this point, I realized that my first question for each software package should be about the price. For TradingBlox, I found out that there were three different versions. The $1000 model came with a few systems already programmed. The $3000 system, which was “on sale” for $2490, came with 11 systems and the ability to adjust them. Then there was the big daddy $4000 system that came with all 11 systems and the ability to program your own.

I just couldn’t see the point of buying anything that I would eventually grow out of, and certainly not at those price points. I have read enough to know that in order to be successful, I will need to build my own systems from the ground up. I would never be successful trading someone else’s system.

At $400 / month, OpenQuant was out of my price range, and it didn’t help that their website looked like it was designed by a third grader.

MetaTrader4.

This software appears to be limited to Forex, Gold, Silver, and Oil.

Products That Warrant Further Consideration.

NinjaTrader.

NinjaTrader is available for a one time fee of $1000, or you can lease it for $50 / month. I felt that both of these price points were more than reasonable, so I decided to download the free version that limits to simulation only and give it a spin. The problem was that it told me the license key they emailed me was not valid and I wasn’t able to get the software open to begin with. This makes me think that there might be bigger problems with the software.

Amibroker is highly recommended and sells an entire package of software for $409. This is the software that Woodshedder used to backtest my SPY 10/100 Trend Following System. The software came with data for the 30 Dow stocks preloaded, which let me play around a bit. Since I’m new at this I obviously had no clue how to use anything, but the software appears to have a decent help file and loads of videos under the support tab of its website. I could see this software working just find for what I would like to do.

RightEdge is available for a one time fee of $500 or a monthly subscription of $50. Both price points seem incredibly reasonable for software that was so highly recommended. There is also a 45 day free trial available. The software seems slightly more polished than Amibroker, and it appears to have an extensive help file as well as a PDF manual. I was able to load some charts and pull free data from Yahoo. Based on the strong recommendation from Andreas Clenow, I am probably going to move forward with this software, but will experiment further with Amibroker as well.

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RightEdge.

Welcome to the RightEdge uservoice forum. Here, you can suggest improvements in RightEdge, and vote on which ones are most important to you. This will help us decide what to focus on in future releases. Nós queremos ouvir de você!

Vote for an existing idea ( ) or Post a new idea…

Support running multiple strategies at once.

At the moment, RightEdge seems geared around the idea of trading a single strategy. It would be nice to be able to trade multiple trading strategies simultaneously. It would also be nice if the different strategies, when run live, could be enabled/disabled in real-time without affecting the others. Also, might be nice to be able to re-allocate capital between them in real-time and view their individual performances.

Support re-syncing between RE and a broker.

At the moment, as far as I understand it, when re-connecting a broker plugin has the option of accepting the last known state from RightEdge (regardless of the state of orders/positions at the broker) or to update the state of orders/positions within RightEdge. The problem with the latter option, as I understand it, is that RightEdge will no longer actively manage those positions. ie, it won't submit stops or profit targets for them or automatically cancel them after X bars which may come as a surprise to the trader who is expecting RightEdge to automatically do this. Could the syncing api be improved somehow so that the RightEdge could be updated with the state at the broker during a re-connect and RightEdge could then continue to manage all the resultant orders/positions as per normal?

At the moment, as far as I understand it, when re-connecting a broker plugin has the option of accepting the last known state from RightEdge (regardless of the state of orders/positions at the broker) or to update the state of orders/positions within RightEdge. The problem with the latter option, as I understand it, is that RightEdge will no longer actively manage those positions. ie, it won't submit stops or profit targets for them or automatically cancel them after X bars which may come as a surprise to the trader who is expecting RightEdge to automatically do this. Could the syncing… more.

This is planned for RIghtEdge 2018.

Allow symbols to be added or removed from running systems.

Hopefully some of us are already or will soon be leaving our systems automatically running for weeks and months. When trading equity indexes (ASX200, FTSE200) stocks get added and removed from these indexes periodically. It would be nice to have the ability to update a symbol list and trading strategy with the new symbols and tell a strategy that an old symbol has been removed (so that it can stop monitoring it and/or close any open positions in the symbol). At the moment, the only way to do this is to monitor a larger universe of stocks and to source the data externally into the trading strategy so that it can only place trades in the correct constituents. This could work but could increase memory usage significantly because indicators would have to be calculated for the larger universe and hence more memory would be required to accommodate all the extra data + indicators. Also additional bandwidth would be required to monitor the larger universe. Probably workable but perhaps not ideal.

Hopefully some of us are already or will soon be leaving our systems automatically running for weeks and months. When trading equity indexes (ASX200, FTSE200) stocks get added and removed from these indexes periodically. It would be nice to have the ability to update a symbol list and trading strategy with the new symbols and tell a strategy that an old symbol has been removed (so that it can stop monitoring it and/or close any open positions in the symbol). At the moment, the only way to do this is to monitor a larger universe of stocks and to source… more.

Support If / Then OCO orders direct to Broker.

I'd really like the ability to submit stop-loss and profit-target orders to the broker along side the initial market/limit order. ie, submit an If / Then OCO order to the broker so that if the market/limit order is filled, the stop/proft orders are automatically activated and the execution of one cancels the other - all done by the broker. Many brokers support this type of order and for those that don't the existing process within RE simulates it easily enough and would be backwards compatible. However, for those brokers that can support it, it reduces the risk of losing money in the event of a network disconnect or system crash because the stops/profit targets are automatically lodged with the broker along-side the initial order. At the moment, there is a risk that a limit order could be hit but network problems, etc could prevent RightEdge from submitting the stop-loss or profit orders.

I'd really like the ability to submit stop-loss and profit-target orders to the broker along side the initial market/limit order. ie, submit an If / Then OCO order to the broker so that if the market/limit order is filled, the stop/proft orders are automatically activated and the execution of one cancels the other - all done by the broker. Many brokers support this type of order and for those that don't the existing process within RE simulates it easily enough and would be backwards compatible. However, for those brokers that can support it, it reduces the risk of losing money… more.

Planned for RightEdge 2018.

Support updating limit orders without cancelling them first.

It would be nice to be able to update a limit order (or stop-loss or profit-target order) without first having to cancel the old one and then submit a new one. At the moment there is a window of time when no limit order exists at the broker (after the old one has been cancelled and before the new one has been submitted). Many brokers now support the ability to update a limit order with new values to reduce this risk. It sounds like it may be possible to support this in a backwards compatible manner (similar to the one above). ie, if the broker can update a limit order, then great; if not, default to the current behaviour of cancellation and re-creation.

It would be nice to be able to update a limit order (or stop-loss or profit-target order) without first having to cancel the old one and then submit a new one. At the moment there is a window of time when no limit order exists at the broker (after the old one has been cancelled and before the new one has been submitted). Many brokers now support the ability to update a limit order with new values to reduce this risk. It sounds like it may be possible to support this in a backwards compatible manner (similar to the one… more.

Planned for RightEdge 2018.

Ability to specify Initial Margin for a Futures Symbol as a percentage.

Currently, for a futures symbol, we can specify initial margin as an amount. So, this would be the margin amount required as of today. But when backtesting for over a few years, this does not give the correct picture for System Result statistics like Max Exposure. This is because the initial margin amount varies from time to time, generally depending on the contract value at that time. So instead, the suggestion would be to have a way where we can specify the initial margin as a percentage of the contract value rather than an absolute amount. Thanks, Ishwar.

Allow parameters to be defined in code.

I suggest that RE allow the parameters in a trading system to be defined in code and not required to be done in the GUI. Por exemplo:

This way the parameter list creation and the values can be done in code.

GUI User-Event Button.

Define an event to be handled in user code that gets invoked when a "User" button is clicked on the GUI.

Multithreaded SImulation.

Current simulation times are lengthy using intraday data. Enable RightEdge to use a selected number of processor cores on a system to expedite the simulation.

support tdameritrade as a broker.

you need to support a reliable broker with a lower account minium. All the supported brokers have a high minimum or don't work right.

& gt; & gt; Nija trader & quotetracker do it so it is avalable.

Allow "System Parameter" with type string.

At the moment, only type double is allowed for System parameter. It'll be much more useful to have parameter with type string.

Orders/Trade persistence.

RightEdge store the active state of all orders and positions in an XML file and then uses this when re-starting to manage previously submitted orders and fills. I encountered a problem where this file became corrupt and hence RightEdge wasn't able to restart. Is it possible that a backup of file could be stored somewhere and RightEdge could automatically fallback to the backup if the main one becomes corrupt? Or could all writes to the file be made synchronously so that the risk of corruption is reduced? Or else, if the file is corrupt, perhaps log an error somewhere, remove the old file, and continue. This would allow a system to automatically restart without needing manual intervention and/or hopefully reduce the chance of the file getting corrupt and thus losing all the details associated with previous orders/positions.

RightEdge store the active state of all orders and positions in an XML file and then uses this when re-starting to manage previously submitted orders and fills. I encountered a problem where this file became corrupt and hence RightEdge wasn't able to restart. Is it possible that a backup of file could be stored somewhere and RightEdge could automatically fallback to the backup if the main one becomes corrupt? Or could all writes to the file be made synchronously so that the risk of corruption is reduced? Or else, if the file is corrupt, perhaps log an error somewhere, remove… more.

Have a more flexible API to import data.

I guess you have the data connectors but it would be good to have the ability to take data from vendors like CSI and use it to populate the tick size, margin requirements etc for continuous futures contracts when loading into the system.

Perhaps a scripting process/api or some worked examples in the docs on how to do this.

Support for 5, 15 ,30 sec frequencies out of the box.

ED 2 build 11 users still need to code plugins for these high frequencies (example TWSplugin). I suggest RE delivers these frequencies as optional parameters straight out of the box so users can easily pick them from already existing menus for Plugin and Chart frequency without going into advanced coding.

This would enable easy support for high frequency scalping strategies.

As first candidate I suggest RE to enable this for the TWSPlugin in ED2.

End of day trading: Let a user update historical data at the end of the day.

End of day trading: Let a user update historical data at the end of the day, then run the new bars in "Live" mode, and submit corresponding orders to the broker.

Support for TT FIX Adapter.

Interactive Brokers Support is important, but if one wishes to trade futures cost effectively support for TT FIX Adapter is even more important. The number of FCM's supporting TT network is much larger than IBKR and one is able to hedge connectivity and network failures by dealing with multiple accounts across multpiple FCMs.

Support for renko in strategies and charts.

Support more brokers - like SterlingTrader.

sterlingtrader/ - Need more broker choices. Check out TradeLink open source project for C# implementations of many brokers already -> code. google/p/tradelink/

Double Clicking on a row in Pending Orders, Open Posn or Closed Posn opens chart for clicked symbol.

Simulation Features.

1 Strategy Simulation:

In scale-in trading systems possibility to see summary results based on PositionSettings CustomString.

In scale-out trading systems possibility to see summary results based on OrderSettings Description.

2 Position Sizing Simulation:

Option to only run different position sizing models with the same set of signals.

3 Portfolio Management Simulation (MultiSystem Backtest):

GUI able to select the strategy, the symbol, and the portfolio management model.

5 MonteCarlo Test.

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