Getting started - newbie of Adaptrade

[Chan Csk]

Hello, I have been an algo trader for 10 years.

A friend recommended MSA and AB to me.

I saw many info (e.g PDF, features list, newsletter, trail .....) in the website.

As a beginner, I want to create a new strategy which can run on MultiCharts.

What should I try/ study first so that I can generate such EasyLanguage code quickly?

Thanks.

[Mike Bryant]

The most important thing is to decide exactly what kind of strategies you want to create. That will determine the settings you make in the program. I also recommend reading (at a minimum), the Quick Start Steps section in the user’s guide in order to get oriented with the software. You’ll want to follow an iterative approach in which you make some settings, assess the results, make changes based on what you see, and repeat a few times until you see how the build process is working.

 

Mike Bryant

Adaptrade Software

[Amod Karve (अमोद)]

Thanks for the pointers Mike. The help docs are great to understand
how the tool works. However, from a newbie trader's perspective, it
would be helpful to have some example workflows that one could follow.
As an example I tried creating strategies based on the idea presented
here: http://www.adaptrade.com/Newsletter/NL-ProfitStrategy.htm.

I used IWM daily bars, chose time period from 2001-2016 for train +
test + validation (60, 30, 10 split). I chose to maximize net profit
(1.0), maximize kelly-f (0.5) and minimize complexity (0.2). I also
chose correlation coeff > 0.95 for build conditions and min # trades >
100 (train). I got a bunch of top strategies that looked good on
testing + validation data. Knowing that I was in some ways using
testing + validation period to cherry pick the top strategies, I
opened up the date ranges all the way till yesterday. Reloading the
price file and analyzing the generated set of top strategies on the
most recent data had abysmal results (losses in all cases).

So, any guidance from folks who have successfully used builder to
generate profitable strategies that they trade live would be very
helpful.

Thanks!
Amod

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[Frode Aschim]

I use the builder a lot and am very pleased with the product. But I mostly use Custom data and have builder find combinations I would not have found by the visual eye.

Frode

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[Amod Karve (अमोद)]

Thanks Frode,

Would you mind sharing some tips / workflows that'll help newb's like
me succeed?

Thanks
amod

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[to...@tjholland.com]

That newsletter is the exact one I would start with.  I have studied most of the newsletters and they were my most important education tool.

Another good newsletter is this one http://www.adaptrade.com/Newsletter/NL-ReverseEngr.htm 

Tony

[Frode Aschim]

The logic model of Adaptrade is first class. If you give it other data and then combine it with some of its technical indicators it will often find some nice solutions. Personally I use a lot of non price data or derivations of it, run it through a PCA of some sort and then put it into the model. The way Adaptrade sorts different trading opportunities I think is  really quick and very innovative. The only thing I miss is to automatically retrain the model after a certain amount of bars set by the user.

As a start - maybe look at this. If you are looking at shares, try to calculate something else than price driven, or spread against an index or something like that. For commodities maybe look at the relative performance adjusted for currency or some demand data. There are a lot of possibilities. But Mike has made a very solid program indeed, and I think most people (maybe including you Mike?) have not seen the full potential of it. 

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[Amod Karve (अमोद)]

Thanks all. Those are some great starting ideas. I'll. pursue them and
hopefully get back with more results / questions.

Amod

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[Frode Aschim]

Oh one more thing. I am not sure if Mike agrees but I prefer to first make models on "market execution" only. If you find something that seems solid then you look at limit and stop orders, restricting what it can do in the software. Almost any logic must work on a market order in my opinion, after that you can refine it. Otherwise it will be too optimized, or at least that is the risk. 

Good luck, modelling is a great thing to do. 

Frode

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[Amod Karve (अमोद)]

one weird thing I noticed is that if I remove the BuyPrice[bar] =
CurrentBuyPrice line it correctly picks up the opening price as buy
price. weird.

On Mon, Jul 20, 2020 at 12:13 AM Amod Karve (अमोद) <karve...@gmail.com> wrote:
>
> Thanks all for the help so far. I have been generating strategies
> every day and trying to test them out on unseen data. I'm using
> Amibroker as my platform.
> One weirdness I am seeing in the process is that even though the
> script is asking amibroker to buy market at open, and I can see during
> exploration that the buyprice array has the correct open price, the
> backtest is filling the price at low. Anyone seen that before?
>
> Thanks!
> amod

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[Amod Karve (अमोद)]

found the cause after some debugging. I needed to set "Trade current
bar on close, then exit intraday" to get the expected results.

[GIuseppe Fumoso]

How did you find the solution you indicated?

Il giorno lunedì 20 luglio 2020 19:23:09 UTC+2, Amod Karve (अमोद) ha scritto:

found the cause after some debugging. I needed to set "Trade current
bar on close, then exit intraday" to get the expected results.

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[Amod Karve (अमोद)]

Hey GIuseppe,

It was mostly a matter of switching to Exploration mode and Adding
columns for Buy / Sell and BuyPrice and SellPrice and using the
detailed backtest logs to match things up.

amod

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