[LeeDanello]

I’m missing the point here. Would this be used where you have different IB accounts?

[LeeDanello]

Julian Cohen wrote:

Nick Radge wrote:

Yes, its the same yet uses AUD

Code:

SetOption(“NoDefaultColumns”,True);

Filter = BO1;

Width = 65;
Width1 = 75;
if(Status(“action”)==4)
{
SetSortColumns(1);
}
AddTextColumn(WriteIf(BO1,”” + Name(),””),”Symbol”,1.3,29,55,90);
AddTextColumn(WriteIf(BO1,”STK”,””),”Type”,1.3,29,55,80);
AddTextColumn(WriteIf(BO1,””,””),”Expiry”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Strike”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”P/C”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Multiplier”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Trading Class”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,”SMART”,””),”Exchange”,1.3,29,55,80);
AddTextColumn(WriteIf(BO1,””,””),”Primary Exchange”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,”AUD”,””),”Currency”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Comb Legs”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Leave This Empty”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,”Buy”,””),”Action”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””+STB1,””),”Quantity”,1.0,29,55,Width);
AddTextColumn(WriteIf(BO1,”LMT”,””),”Order Type”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””+BuyLim,””),”Lmt Price”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Aux Price”,1.3,29,55,Width);
AddTextColumn(WriteIf(BO1,””,””),”Ctrl”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Id”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Status”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Filled”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Remaining”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Ave Fill Price”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Last Fill Price”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,””,””),”Parent Id”,1.3,29,55,Width1);
AddTextColumn(WriteIf(BO1,”DAY”,””),”Time in Force”,1.3,29,55,Width1);

Quote:

Also I’m looking for the code to change the buy limit order for the Open auction please.

The LMT order will participate in the open auction so long as the orders are placed prior the 10am open

Thanks a lot Nick. Didn’t you mention something about putting in the order + or – 3%?

I understand that it’s only for exits so that you get filled if gaps occur against you.

[LeeDanello]

Julian Cohen wrote:

Maybe we can build up our own database of these few stocks and then just exclude them from our systems. If it’s only a handful then it shouldn’t make too much difference.

i

How does that help batch trader. It doesn’t impact other orders going thru?

[LeeDanello]

Slightly less difficult!

[LeeDanello]

Nick Radge wrote:

A metric that I find very useful and rarely used is Profit Factor. Profit Factor measures the difficulty to trade the strategy. Anything under 1.5 in my view is probably a very difficult ask for most traders.

You say that a profit factor under 1.5 is a very difficult ask. What is an acceptable profit factor?

[LeeDanello]

If I may ask was that 500 euros.

[LeeDanello]

I’ve made some coding tweaks to allow more trades. The system actually performs better with the higher trade frequency. The stats were acceptable before but now they are even more so. In the interim, I’ve been trying out the IB DDE spreadsheet and while it worked some days, on other days it sometimes hanged when I went to open it, so trades had to be entered by hand. This I could see would become the anchor around my neck so I purchased Nicks API program which runs nicely. One question it did answer for me was the handling of exposure which the IB DDE spreadsheet would not be able to do. My system does not utilise margin so I was made aware that if I submitted more orders that I had funds for then my account would go into margin. So I learned something new. Currently testing orders on both the US and ASX to get some idea on the amount of trades being triggered in both markets. I have modified the core system to trade both markets. I’m finding that at this stage, the order numbers going thru are similar for each market. The final back test stats for both markets are quite similar with lower exposure and drawdown for the ASX, overall profit for the ASX is lower but the returns over the years are less lumpier. I’m thinking maybe in real time I could put in orders for both markets to increase exposure. It would then work as a 1st in 1st served basis.

[LeeDanello]

I’m working but I’ll make it. I want to see what these young kids are up too.

[LeeDanello]

Good Luck Darryl, it’s like going on an overseas trip. I hope the system lives up to the testing.

[LeeDanello]

You guys are on another planet in comparison to what I’m doing. I hope you make a shed load of money with this strategy. What are the backtester stats like?

[LeeDanello]

Julian Cohen wrote:

It is my belief that hair is greatly over rated

Even the women think so

[LeeDanello]

Yeah I think I figured it out. Column B is the sum of the position values taken on a particular day. Your P/L confused me. If I paste this formula in column B “=SUMIF(‘BackTest Result’!E:E,Date_Analysis!A5,’BackTest Result’!K:K)”into the 1st row and copy it to the last row, things start making more sense.

Or if I paste the formula into the macro ActiveCell.Formula = “=SUMIF(‘BackTest Result’!E:E,Date_Analysis!A2,’BackTest Result’!K:K)” it does it automatically with the same result. I like this a lot!

[LeeDanello]

Said Bitar wrote:

or the other problem could be that your excel uses semicolon in the equations, because mine is using comma

here is the file with semicolon

My Amibroker output is the same as yours. The latest spreadsheet (with semi colon) didn’t work as the macro had a run time error 1004. I’m using Excel version 2007. What is the formula meant to be in column B of Date_Analysis sheet?

[LeeDanello]

OK tell me how the columns are arranged in your backtester report

[LeeDanello]

Julian Cohen wrote:

Quote:

Nice spreadsheet but I got zeros in the P/L column

I did with some of my data too but not all of it. I tried using subtotal in Excel and that gives me zeros for the same data so I haven’t quite worked out what is wrong yet.

I think Said has a macro which calculates these numbers but I couldn’t find the formula for it.

[Author]

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