From Explorer to Trading

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March 24, 2016 at 2:38 pm #101463

StephaneFima
Member

Hi,

I am now paper trading a mean reversion strategy, but I have a very simple issue to deal with:

– Let’s say I have a portfolio of $100 000 and I want individual position of $10 000

– I run the explorer and Amibroker returns me ALL the signals that matches my setup bar conditions (say a list of 100 names) and calculates the number of shares to buy for each name in order to have a $10 000 position.

Maybe this is a silly question (sorry if it is) but how do I choose my 10 positions to be traded amongst the 100 that Amibroker return?

March 24, 2016 at 7:55 pm #103446

SaidBitar
Member

[url=]http://edu.thechartist.com.au/Forum/running-your-trading-business/53-exploration-for-interactive-brokers-dde.html[/url]
[url=]http://edu.thechartist.com.au/Forum/running-your-trading-business/69-dde-vs-radge-api.html[/url]
[url=]http://edu.thechartist.com.au/Forum/progress-journal/67-darryl-s-journal.html[/url]

these will give you idea

March 24, 2016 at 9:36 pm #103447

Nick Radge
Keymaster

There are two options dependent on the entry.

(1) If you’re unsure which trades will be executed the next day, which means you’re using an order type other than MKT, then you’ll need something like the API which Said has guided you to.

(2) If you use a MKT order which definitely triggers an entry without fail, then you’ll need to use a ranking mechanism and only place trades with the top 10 rankings. These also MUST be the same ones that appear in your backtest results.

March 25, 2016 at 8:19 am #103451

StephaneFima
Member

Thanks Said and Nick.

Quote:

(1) If you’re unsure which trades will be executed the next day, which means you’re using an order type other than MKT, then you’ll need something like the API which Said has guided you to.

All my entries are LMT and I am using the Excel DDE so I do not have any problem linking Amibroker to my IB account.

However, when I run an exploration Amibroker will return all the signals with the number of shares corresponding (for example) to a $10 000 position size for each trade.

This means that if I have 20 signals, and by any chance, all signals go through, I would have then a global position of 20 x 10 000 = $200 000 while my portfolio is $100 000.

Maybe I am missing something here. :blush:

Quote:

(2) If you use a MKT order which definitely triggers an entry without fail, then you’ll need to use a ranking mechanism and only place trades with the top 10 rankings. These also MUST be the same ones that appear in your backtest results.

Yes, that makes sense.

March 25, 2016 at 1:33 pm #103453

SaidBitar
Member

This is because you will use 50% margin
If you don’t want margin try 10 positions with 10% each or 20 with5% each

March 26, 2016 at 10:27 pm #103448

Nick Radge
Keymaster

Quote:

This is because you will use 50% margin
If you don’t want margin try 10 positions with 10% each or 20 with 5% each

If you have 100 signals and only want a certain amount, i.e. 20, then you will need to use the API

The DDE does not manage exposure.

If you switch margin off then you cannot place all trades and will need to revert to a rank system instead.

The API will only you to control as much exposure as you require, with or without leverage, but you need the leverage account to facilitate the trades.

March 27, 2016 at 7:49 am #103459

StephaneFima
Member

Thanks Nick
Would the API work with a Reg T account type?

March 27, 2016 at 10:02 pm #103449

Nick Radge
Keymaster

Absolutely. Makes no difference.
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