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PRT enhancement requests - automated trading

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Hi All,

 

Some ideas for bettering the automated trading functionality in PRT...

 

1) Colour-coding trading sytems

 

When running/testing multiple trading systems at the same time, it becomes difficult to distinguish between positions opened by their respective systems, as can be seen in the image below, especially if the systems are variations of one another and open positions at the same levels (or levels close to one another).

 

Capture.PNG

 

My suggestion would be to have a colour-coding scheme (or numbering system) for the positions in the running systems overview window and for the positions displayed on the charts.

 

2) Toggle positions displays:

 

Related to 1 above, where multiple positions are open, would be the ability to toggle positions displays on/off - to only display on the timeframe that they were opened on (or to display on all timeframes). Reason behind this, if you are running/testing strategies on different timeframes, it would be a lot simpler to only view the blue position line and accompanying information on the timeframe the postion was opened on. This way, you would be able to better tweak opening and closing conditions for different timeframes. At the moment, for example, all positions are displayed on all timeframes, so, a position that gets opened on a 15-minute chart (15 minute system) will show up on your 1 hour and 5 minute charts also - making the display cluttered and confusing. And no, until the backtesting module is fixed/changed to behave the same as the ProOrder system, Probacktest is not the answer.

 

Some variations:

- Ability to toggle the display for all charts from the trading system overview window. In addition to the above, or as an alternative. As an addition would be better, so that you can still "switch off" the display of certain systems that you are currently not looking at. Or at least be able to dim them - if it is a concern that people might lose sight of/forget about their open positions - more of a problem in a live environment as opposed to a test one.

 

- Displaying positions opened on different timeframes in different colours. For instance, displaying all positions opened on a 5 minute chart in one colour, and displaying all positions opened on an hour chart in a different one. When you're trading strategies over different timeframes, this would be a lot better for keeping track of your positions. Curently this is confusing. This would solve the problem of trying to figure out why a postion was opened/event was triggered at a specific level/condition on a chart, only to realise that you are looking at the position on the wrong (different) timeframe chart.

 

3) Realtime export - running systems information

 

The ability to export (via DDE or other method) realtime information about running systems to Excel. This way, you would be able to compare systems over time, by say populating excel tables at set intervals. It would also be easy to compare systems (or variations of systems) in realtime - WRT drawdown, profit, etc., in order to help you decide which systems are performing better than others.

 

This type of functionality (to compare systems) can also be built into PRT, but I guess this will take too long to implement. I am happy to do whatever I want (or need) in Excel, if this information is available as an export.

 

That's all for now!

 

Regards

Stef

 

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Hey ,

 

Many thanks for this in-depth, detailed and thoughtful feedback/suggestions. I've asked the development team at IT-Finance to take a look at your post and to provide any feedback they may have. I'll let you know their thoughts!


Dan

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Hey ,

 

IT-Finance really appreciate your feedback and thank you for some good suggestions. They've added these to the list of recommendations for the next version of ProRealTime and have said they will continue to monitor the Community for your feedback.


Cheers,
Dan

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 Yeah great idea!

 

I have the same problem and also even if you mouse-hover over the Order then the name of the order cannot fully be seen as it shows up below the Order and of course there is another order there ... as shown in your pic ... and so the order name doesn't fully show.

 

I suggested they set the default Order name to be 'to the right of the Order' (not underneath).

 

I've only got onto this Community today, but in future I'll be putting all my ideas and gripes on here.

 

Cheers

GraHal

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    • Hi everyone,  so, those of you following my FTSE - Daily Trades thread may know, I'm looking for new strategies to tackle the market. Was starting to think about this today and made a few thoughts. First one I came up with in the process is the following and utilises 'Andrew's Pitchfork' a rather odd name for a simple principle.   Thought Process I was going back to the basics and starting to think about the fundamentals of trading: Buy low and sell high. Or go short high, and buy back low later. So the key of my new strategy has to somewhat depended on these fundamental trading principles. Next I was thinking, looking at a chart, in what region can the price considered to be "low" and in what region would I consider it to be "high". I was looking at a 5min chart and looking at the whole day. I was drawing one line at the low of day, one line at the high of day, those are obviously the extremes where everyone can agree prices are low / high. Then I draw a line right in the middle between the two, where the price is neither high nor low. Then I draw a line at 25% and one at 75% and said, if the price is between the low of day (0%) and 25%, I consider the price to be low. If the price is between 75% and high of day (100%) I consider the price to be high. In between (25%-75%), it's neither high nor low. If I'd somehow manage to always buy in the low range and sell in the high range (or go short vice versa), then this could be a decent strategy. The next problem I was facing is, I've done this analysis on the previous day, where we know high and low of day. How can this strategy work out for future price movements, where high and low of day are unknown. Andrew's Pitchfork This is where the Pitchfork comes in. The assumption I'm making is that if I extrapolate the 4 required levels (low of day, high of day, 25% and 75%) from the previous day to the following day, the strategy still works. This is because more often than not, prices move up and down around a certain level, without breaking away from it and moving onto the next level. (This obviously has to be proven with data - more to that later) The way the pitchfork works is exactly how the 4 required levels are drawn up. The pitchfork is defined over 3 points: High, Low and Mid-point. It then draws 5 levels on the chart: High (100%), 75%, Mid (50%), 25%, Low (0%) So how does it work The way I imagine it to work is the following: 1) Identify previous day's high and low 2) Draw the pitchfork in the chart with aligning its high and lows on the daily high and low. The mid point is exactly in the middle of daily high and low. This draws a horizontal pitchfork in the chart. 3) When the price of the asset falls below 25%, place a buy stop order at the 25% level. Once the price rises again and breaks through that level, the order gets executed. (vice versa with shorting above the 75% level) 4) Stop Loss is right below (size of the spread) the low of the pitchfork. Target is somewhere above 50%-75%. You have at least a 1:1 risk-to-reward ratio. Need to calculate target level by asset based on historic patterns. Does it work? Don't know yet. So far I've manually painted a few of those pitchforks in the chart for the past couple of days on FTSE100, NASDAQ, CL and NG and it seems it works more often than it doesn't. Cases where it clearly doesn't work is when there's a strong move to either direction, aka price breaks-out and moves to a different level than it was the day before. Interestingly when this happens, the strategy wouldn't necessarily always result in a loss, but sometimes the entry conditions would never be triggered in the first place. E.g. if we start the day already in the high region (above 75%) and then never fall below it - no order triggered on that day. 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The price afterwards makes a sweep move up to the 50% level, where my limit sell order gets triggered at 15.15. It would've been possible to play it up until the 75% level, but wanted to be safe, without having the data yet. Could've been luck - who knows.   What do you think of this approach?        
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