v0.7.2 - Charts, Time-Based Rules

Backtesting spits out 1 or 2 files. The first is the summary file which records the trading rules and settings used, summary win/loss info, and then a list of trades taken. The second, which is optional, shows all the prices that were used to backtest, along with where orders were placed. And then if the orders were taken up, their stop losses and take profits.

From the first file you can now copy the list of trades taken, and there is new functionality on the Charts window that will put the red and green arrows on the chart. So you can see where the trades were entered and exited. In Excel you would just click on the row header for the rows containing the trade information and copy that.

Or, from the second file, you can click on the column header and copy all the prices, order details, stop losses and take profits. This way you can see where your trading system tries to get in to a trade, and how the stop losses and take profits move around compared to the price.

Plus, I've talked about the FXCM King of the Mini competition a couple of times. You can copy the trade information from those webpages and see where the winners entered and exited their trades.

And then, there's the Collective2 website where people sell alerts to their trading systems, and they give trade information too. Copy, paste, and the little red and green arrows appear on your chart.

Two things to note: (a) you need to have populated the chart before you can put the red and green arrows on; and (b) there are a couple of known bugs which you should read about.

Also, this release sees Time-based rules added. So now you can enter and exit based on the minute of the hour, the hour of the day, the day of the week, the day of the month, and the month of the year.

And to allow percentage trailing stops, I added the Values of "[OHLC] Plus X Percent" and "[OHLC] Minus X Percent".

See the full list of changes in the Change Log.

What you want to do now is go and download it. And then you want to go and purchase.

Evil?

I guess I'm probably preaching to the choir on this blog, but I tire of messages that equate being rich with being evil.

Isn't there some phrase like "it's easier to get a camel through the eye of a needle than to get a rich man into heaven"?

I was just reading that Warren Buffet is going to give away 85% of his US$44 billion. The Bill & Melinda Gates Foundation has US$41 billion to dish out.

The question is, if Warren Buffet and Bill Gates had volunteered every day of their lives working at a soup kitchen, how many people could they have helped?

And how many people can they help with $85 billion?

Go get rich everybody.

v0.7.1 - Auto-Trading

Automated trading is surprisingly complicated. Well, I guess it's aptly complicated.

Basically you want the computer to place orders and manage trades.

To place the order, we need an entry price, a stop loss price, and maybe a take profit.

To calculate those prices, we need trading rules.

The rules work off indicators. So we need to calculate those indicator values.

To calculate the indicator values we need interval price data, at least the close price.

So we need to download the price data. And for Gain Capital which offers only tick price data, we need to download the ticks, and calculate the interval price data from the ticks.

And which currencies do we download? Need to get that from the user. Which intervals to download/create? Again from the user.

The order is placed. The next bar comes around...

The second time through we now have the added complexity of reconciling what we have now with what we think we should have. There's a lot to it, and I realised it's not very interesting when I started to try and type it all out. So I won't.

The point is that it's all done! Both for Gain Capital and Oanda. Please read through the known bugs though.

Also in this release:

Finally fixed the layout errors.

Finally got the charts to work.

Fixed the Trades window, Orders window, Transactions window, Copy Trading Systems window.

Changed the loading from text files so it finishes in minutes instead of hours. (Had help with this one). If you were to load 1 month's worth of text files for all 15 currencies offered by Gain Capital, it should now take about 20 minutes. Before it was taking up to 12 hours. I guess that means it would take 20 minutes to load 15 months of data for 1 currency.

Yada yada yada. See the full list of changes in the Change Log.

What you want to do now is go and download it. And then you want to go and purchase.

Let me say again about the Oanda API: There's no getting around the US$600 that you have to pay to them in order to use it.

FXCM King Of The Mini, May 06

FXCM has a competition where the people with the top 5 percentage gain for the month in their mini accounts win some money. Then they make available the details of the trades for those 5 winners.

It's then up to you to work out if those people were using very good trading systems, and therefore it's worth the time to try and work out what their rules are. Or if they simply bet the farm and got lucky.

Here's the links to last month's winners: The top gain was 417%. Second was 394%. Third 352%. Fourth 294%. In fifth place was 246%.

The address for the winner was:
http://www.fxcm.com/mini_trading_account/kom-winner1-may.htm

And #2 was:
http://www.fxcm.com/mini_trading_account/kom-winner2-may.htm

etc.

From that you can probably work out the address to get each previous months' top 5.

v0.7.0 - Oanda API

As promised, v0.7.0 is now available for download. The major feat is, of course, that it now works with the Oanda API.

http://www.thinkingstuff.com/download.aspx

Well, when I say "works", I mean you can download prices. And account information. And transactions, which in turn gets the order and trade information, but this part of it has some bugs. I'd wait until the next version before doing anything with transactions, trades and orders.

But downloading prices it does, and does well. And, because Oanda offers about 35 different currencies and 10 intervals for download, plus tick data, I thought it would be better to update the way you, the user, specifies which of those prices to download. That's the other major feat.

Previously it was one-by-one, and it would have driven you mad. So now there's a feature that lets you do it in bulk. Click "File..." > "Data Manager". Then click the "Bulk..." button. You'll work it out.

Feat #3 is that you can now specify the delimiter to use for the backtesting output files. Apparently commas aren't good to use as a delimiter for some locales.

Feat #4 is you can specify the directory for the backtesting output files.

Feat #5 is a rudimentary world clock.

Also fixed a couple of errors you might have received when backtesting in the Trial Version mode.

There are 3 new intervals you can choose from - 5-Second, 10-Second, and 30-Second. Oanda offer those plus 1-Minute, 5-Minute, 15-Minute, 30-Minute, 1-Hour, 3-Hour, Daily. If you want to use any other interval with Oanda, like Weekly, 2-Hourly, etc, you can get Thinking Stuff to create that data for you.

I tried a different way to get the OCX file needed for the charts to register properly. Let me know if it works or not. If not, you can read this page to see how to get it working by yourself.

Oh, and I changed the font of everything to Arial. It was 'MS UI Gothic', and I thought perhaps this was the reason there were some formatting errors on every other computer but mine.

For a complete list of everything that changed, check out the Change Log.
http://www.thinkingstuff.com/change-log.aspx

And let's not forget:
http://www.thinkingstuff.com/purchase.aspx

One more thing about the Oanda API. There's no getting around the US$600 that you have to pay to them in order to use it. Further, part of their licence agreement is that you have to keep a record of all locations of the files they give you. So I can't distribute those files to everyone, lest I be breaking that licence agreement. All it means is that you will need to copy a few files that Oanda will give you, to the Thinking Stuff installation directory. If you don't copy these files, then Thinking Stuff will crash abruptly if you try to use the Oanda features. The files are: FXClient.dll, fxClientAPI.dll, msvcp71.dll, msvcr71.dll, pthreadVC.dll, zlib1.dll.

People not using the Oanda features will not be affected by that.

Some Notes

Here are some notes I jotted down at a recent currency trading thing:

• Charting the Average True Range (ATR) on the hourly chart will let you see the time of day that the market is moving more. Trade at those times.


• Forex Factory has a calendar that shows red for major announcements, and orange for not-so major announcements. Probably don't want to be trading around the red, but the orange ones are likely to move the market just enough for good trading, but not enough for huge spikes.


• 3 non-profit trades in a row - don't enter any new trades until the price has cleared the recent congestion.


• 3 profitable trades in the same direction in a row, with all of them opened after closing the previous - don't enter any new trades until the price changes direction.

That's it :-)

Gaining Momentum

Thinking Stuff now has users in Sweden, Hungary, Slovenia, New Zealand, USA, and Australia. Well, the Australian one is me.

I just arrived back from 2 weeks in the big city of Brisbane, Australia. I went down there to chase a girl that I thought was marriage material. To give you some indication on how it went, I had so much free time to myself that I managed to finish coding the Oanda interface plus some extra stuff :-)

Look out for v0.7.0 in the next couple of days.

Anyway, it was good to use fast internet again. It's a simple pleasure, but the ol' 28.8kps dial-up connection I get from my parents' farm is a bit tiresome.