Questions about Adaptrade Builder

[Open Your Mind Records]

Hello,

I'm looking for a system suitable for my needs and trying to figure out if A.B. is the right choice for me:

1 Is possible with Adaptrade Builder to create strategies that will be used only as assistance (as signal or arrows printed on charts for example) in daytrading that will make me execute about an average of 10 daily operations? (only arrows or signals on charts and no automatic buy sell and I can modify slightly the scripts if needed).

2 Do these scripts/strategies work in real time with renko bars and range bars (I am a Ninja Trader 8 user)? Only time charts?

3 What Profit factor reasonable value should I expect (on the average) from a good assembled strategy?

4 Can Builder provide strategies useful for just quick scalps/scalping during daytrading?

5 Do these startegies work on charts where there are already present other indicators and oscillators?

6 Is possible to use 5-10 minutes bars?

7 Is there the possibility to test strategy robustness with walk forward tests?

Kindest regards (and sorry for all these questions!)

[Mike Bryant]

1. Adaptrade Builder is all about building trading strategies. What you do with them is up to you. With any strategy, you can simply run it in real time without automatic order execution so that you’d see the buy/sell points. You could then decide based on other factors whether or not to take the trade. You can modify any generated strategy; the generated strategy code is open and provided in text format.
2. Supported bar types include range and intraday (and weekly, monthly, and tick bars) but not renko.
3. You can specify the profit factor you want as a build metric. It all depends on the type of strategy you want. There are always trade-offs. If you want a high profit factor, for example, you may end up with fewer trades or compromises in other areas.
4. You can generate shorter-term strategies if you use smaller bar sizes, but generating reliable strategies for very short-term trading is always a bit more challenging.
5. Indicators and strategies are two different things. You can have both.
6. Yes, those are common bar sizes. If you choose “intraday” as the bar type, that means a multiple of 1 minute. If you provide 1 minute bars, you can specify any multiple of that for the bar size, or you can simply provide the data for the specific bar size you want, such as 5 min or 10 min bars.
7. Builder uses  a three-segment approach: training, test, and validation. There are several discussions on this group about the pros and cons of walk-forward building and/or walk-forward testing.

 

There are a number of sources of information on the program if you’re interested. These include the user’s guide (in PDF form), which is the same as the help files in the program/trial, the online FAQ (Frequently Asked Questions), and a series of newsletter articles, many of which illustrate different features of the program or different ways to use it. Of course, you can also search this group for specific topics.

 

Thanks for your interest in Builder. Please feel free to contact me directly using the contract information on my site if you need more information.

 

Mike Bryant

Adaptrade Software

[Open Your Mind Records]

Ok! Thanks a lot for the clarification Mike!

[aland...@gmail.com]

MIke,

I think you covered this in one of your newsletters but can you direct me toward the issue that discussed how often a strategy should be rebuilt which considers more current market conditions?

Thanks,
Alan

[Mike Bryant]

There are no hard and fast rules about rebuilding trading strategies. You can either rebuild when the performance starts to degrade or be more proactive and rebuild on a periodic basis. If you do the latter, it will only work if you build over a sliding window of data. If you rebuild by simply adding new data for the more recent results without dropping the earlier data, you’re unlikely to get anything different unless the strategy has already started to underperform.

 

Mike Bryant

[alan dunston]

Mike,

Thanks for the info.  I am familiar with the sliding window process and agree with what you provided.   It's hard to make a determination sometimes.  Still trying to get my arms around the Ideal Trades feature you just provided.  Today, I downloaded the newest update of the User's Guide and will dig into that a bit.

Vr,

Alan

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[Mike Bryant]

Just as a tip, the quickest way to find the info about the ideal trades feature is to right-click on a price chart in Builder and select “Ideal Trade Settings”. Then click the “?” icon on the Metric Options window that pops up. A lot of the information is in that help file. Most of the rest is in the new section “Ideal Trades” in the Usage Topics chapter, which is linked to from the first help file.

 

Mike Bryant

Adaptrade Software

[alan dunston]

Sounds like a great tip.  I'll take a look.  BTW, if I wanted to use builder to identify a strategy that uses predefined parameters, [ie: EMA(7)>EMA(15) and EMA(50)>EMA(55) and CCI(5)<0)] is it better to just start with having Builder look at a small sample of stocks already meeting that criteria before being analyzed by Builder?  I assume we can't predefine parameters to that extent prior to analysis.  I hope that makes sense.

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[Mike Bryant]

You could pre-filter by market. Another approach would be to create an indicator that returns true/false based on those indicators; i.e., the indicator function would simply be a bool returning EMA(7)>EMA(15) and EMA(50)>EMA(55) and CCI(5)<0. Then define it as a custom indicator in Builder with a return type of true/false.

 

Mike Bryant

[alan dunston]

Sounds good.   I haven't worked with building custom indicators in Builder before but willing to learn.  Pre-filtered markets are easy but then I'm always changing the pool of symbols as market conditions change.

Vr,
Alan

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[Eddy F_Trader]

Hello,

I have just purchased an AB license and have been playing with the program for the past 2 weeks..

Selecting AB was not an obvious decision as all my systems are based on Renko bars or PnF/reversal tick charts, using only home made indicators (basically market regime indicators based on (non forward looking) zigzag type of indicators) , the whole systems being operated thanks to the Investor RT automated trading systems features (which aren t supported by AB..) - But so far, I am extremely pleased with the results, with AB finding some interesting new ways to generate signals and trading rules (using solely my own custom indicators) ...

In order to import such non time based bar data (and custom indicators), I have used the AB constant "tick per bar" bar type.. Indeed, after all, AB "doesn t" know these are OHLCV data of renko or pnf bars being imported..

However, I know Mike has stated few times in this group (incl. in this thread) that AB wasn t supporting renko bars.

Mike, could you please confirm this "non support" is only linked to the TS/Ninja/MC etc code generation part ? (on my side, I really don t care as I am anyhow rewriting the AB generated trading rules into the specific Investor RT programming language) 

Or am i missing something ? aka would there be any kind of other issues when using the "tick per bar" bar type in order to generate system for various kind of non time based periodicities ?

Thank you in advance for the feedback

Eddy

[Mike Bryant]

If something in the program is possible to do but is “unsupported”, it means you’re on your own if you want to try it. You can assume I haven’t looked into it and have no opinion about it.

 

Mike Bryant

Adaptrade Software

[Open Your Mind Records]

Hello, I would like to ask you a few things about strategies I'm testing: I noticed that orders only start when a new bar appears (I'm testing 20 minute bars) and therefore this does not help to execute trades in the best place. There are "strategic" price levels and positions that are completely ignored or missed and usually a trade starts at a completely wrong point because a new bar has been created too late (or an order start too earlier in the wrong point,or close too late). I would like to ask you if this behavior is normal or if I am doing something wrong in the process of creating the strategies. The only alternative would be to use lower  timeframes like 5 min. bars but as many say this is a problem due to market noise, I'd like to hear your opinion about it and if it can be avoided.Am I missing some option?

regards

Albert

[Mike Bryant]

That’s not specific to Builder. That’s how most scripting languages for trading work. They evaluate the strategy code once per bar, typically on the close, although in some languages on the open. That means a market order will be placed at the open of the bar. Of course, stop and limit orders are resting orders. They remain in effect for one bar and are executed when the stop or limit price is hit, which may be anywhere within the bar. So you probably want a stop or limit order for entry, rather than a market entry. Same for exit orders. Either that or you can move to a smaller bar size and add a secondary data series with a larger bar size.

 

Mike Bryant

Adaptrade Software

 

From: adaptrad...@googlegroups.com <adaptrad...@googlegroups.com> On Behalf Of Open Your Mind Records
Sent: Saturday, January 30, 2021 1:34 PM
Subject: Re: Questions about Adaptrade Builder

 

Hello, I would like to ask you a few things about strategies I'm testing: I noticed that orders only start when a new bar appears (I'm testing 20 minute bars) and therefore this does not help to execute trades in the best place. There are "strategic" price levels and positions that are completely ignored or missed and usually a trade starts at a completely wrong point because a new bar has been created too late (or an order start too earlier in the wrong point,or close too late). I would like to ask you if this behavior is normal or if I am doing something wrong in the process of creating the strategies. The only alternative would be to use lower  timeframes like 5 min. bars but as many say this is a problem due to market noise, I'd like to hear your opinion about it and if it can be avoided.Am I missing some option?

[Open Your Mind Records]

thanks Mike, now the point is clearer. Could you please specify what you mean by "you can move to a smaller bar size and add a secondary data series with a larger bar size". So I should use 5 min timeframe as primary and add 20 min timeframe as secondary. Does this approach help eliminate market noise?

[Mike Bryant]

Builder allows you to add multiple series. If you add another series and mark it as “data2”, the program will develop logical conditions using that series in addition to the primary series. However, I wouldn’t assume that 5-minute bars are necessarily too noisy. It may be more a matter of specifying the proper build metrics to get what you want than adding other series. The same may be true of your original 20-minute bar size. You’ll probably find that if you use stop or limit orders and change your metrics, you’ll get something more along the lines of what you were thinking of.

[Open Your Mind Records]

ok will try both solutions,thanks again!