Trading Simulation Questions

Aug 10, 2008 at 8:25 PM
Edited Aug 11, 2008 at 10:07 PM
Hi,
Well done with an interesting application.

I know it's in the code, which I'll look at, but what provision in your simulation has been given for the various charges and innacuracies involved in actual trading.
Do you, for instance, choose the closing price? can you set trading fees?

Could you give a textual description of your trading system - what technical indicators does it use, for instance?

Best wishes,

Dr Andy Edmonds
Coordinator
Aug 26, 2008 at 8:40 AM
Hi,

I'll try answering the questions, even though due to the changes we're implementing some things might change soon.

  1. We're using in trading the closing price. Signals generators may also use high, close and volume, but trade actions are done using closing quote.
  2. Version 1.2.0.2 does not support commissions. Next version will support commissions charging (Some of the functionality is already checked in and ready for testing).
  3. At the moment it uses symmetrical triangles and rectangles (you can find them here: http://www.chartpatterns.com/). Next version will additional signals

I'll describe shortly the algorithm that stands behind the trading (it's in deep change, but it's a good start point).
Before trading starts, all signals* generators are ran against all stocks to the day of trading. The algorithm simulates all trading according to signals and gives grade to each pair {stock, signal} which represents how "good" they are. The grade is a formula based on statistics which were collected in the simulation. When this step is over we have a collection of pairs with grade, this grade is left unchanged during the trading. When trading starts, every signal generator can signal "buy" on a specific stock. All the signals are sorted according to grades calculated in the previous step, and the best 5 stocks are bought (their portion in the portfolio is set using the grade weight in the total grades). If a stock has gained 7% or lost 2% (during the time it's in the portfolio) it's automatically sold.

* Each signal has few variations which look for a different period backwards.

I know not much can be understood from this explanation, i hope that when we'll post documentation it'll be clear :)

Best Regards,

Eli