Initial Coding Set-up

[JulianCohen]

I have just finished the coding theory part of the mentor course and was discussing something with Craig today that he suggested I open up to others to ask about so here goes.

When you are constructing code for a chart pattern or a system idea that you haven’t coded before, is there a check list of things that you look for, especially with entries and exits, that you know may cause problems?

For example, will the system enter and exit on the same day, will the system possibly create an entry set up on an exit bar? That sort of thing…I am guessing there is a finite number of these types of incidents that can occur, I just wondered if anyone actually goes through a check list, either in reality or in their own mind, or do you code the outlines of the system first and then go through the entries and exits manually looking for errors or unexpected occurrences?

I’m interested to see first if anyone has created a definitive list of things to watch for, and secondly to see how different people go about the same task.

[TrentRothall]

Hi Julian,

I write all the code first except explorations, which is basically just parameters, entries and exits once you have snippets set up i just drag them into the code for plotting, backtesting etc Then just eye ball a heap of charts for errors like you mentioned. I find the more info you plot on the chart the better buy setup, buy, sell, exit setup, buy price etc. Makes easier to cross check with backtests and eventually explorations things like that.

No formal lists though. Much the same process as the course outlines i guess

[LeeDanello]

1st thing I do after I code something up and run it is to see whether it’s profitable. Then I check drawdowns and then I put the chart and the relevant indicators on it. One thing that I like doing is writing the output of my trading rules to the interpretation window. Then I’m able to check whether the trades are being taken as intended. For me that’s the most important step of testing my strategy.

[SaidBitar]

For me there is no list as well, the procedure will vary according to the system.
Normally i will write the code in stages, the first stage will be mainly using the plot and interpretation window to verify the conditions. Then when all are OK i clean up the code to become a full trading system.

[ol]
[li]Create the indicators if they exist and plot them[/li]
[li]Create the chart pattern[/li]
[li]Create the interpretation data to verify the conditions[/li]
[li]Create the Buy and Sell signals and plot them[/li]
[li]Create the explore part to verify all the above[/li]
[/ol]

after i verify that all the above are correct and things are working as desired

[ol]
[li]Clean up the code[/li]
[li]add Index filter, universe, volume and turnover, delisted stocks exit[/li]
[li]Remove the indicators from the chart I like clean charts[/li]
[li]modify the interpretation window data to add the indicators that are not visible any more[/li]
[li]add the backtesting part position sizing[/li]
[li]create new explore data[/li]

[/ol]

I do this by two parts because it will be easier for me to verify everything, so the first part i will check that the signals are ok and the patterns are correct, the second part i do not need to worry about the signals any more so i start looking for the other conditions such as volume, ..

last part i run backtest and verify the trades if the code is doing what i wanted, if the entry and exit dates and prices are OK.

this i do not do it all the time but when i am developing a new system i will do the above but if I have to develop a new system that somehow similar to an existing and verified one, I will just copy the existing system and modify it. Still i will verify some stuff but instead of spending X hours on writing the system it will be Y minutes.

[ScottMcNab]

I had an interesting experience recently modifying a system I have had for a while and was paper trading…thought I would go back and add a profit tgt and found out that changing the order of the exits in the looping has a significant impact on the system…luckily the results were too good and when I used the charting function I noted that the exit system was no longer functioning correctly in about 1 in every 10-20 trades (should have been exiting on open but was exiting on close only on those bars when close was higher than open). I got lazy but learnt something new…always check the chart for every modification even when its a system have used for a long time.

[Author]

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