RightEdge - The Ultimate Backtesting and Trading System Development Platform

Trading System Properties

Trading system properties are values that can be manipulated in the user interface before a system run.  Some of these values will also dictate defaults for frequent actions such as opening a position, settings a stop loss, etc.  These items are global in nature, meaning that they are not symbol specific.  If any of these settings need to be symbol specific, it is recommended that the global option is disabled and that symbol specific handling is done in code.  For example, if symbol specific risk management or funds allocation is desired, these are dynamic cases that should be handled in the system code itself.  For more information about handling position management manually, see the Order Management heading under the Developing Trading Systems in RightEdge topic.

 

Lead Bars  This is the number of bars to skip before the system begins taking trades.  A setting of 0 means trades are accepted immediately.  This setting can be greater than 0 if there are indicators or other items that require a certain number of bars before they can be calculated.

 

Data Start Date  The date that historical data will start being fed to the trading system.  By default (empty data start date), the first bar encountered in the data store is when the data begins being fed to the trading system.

 

Trade Start Date  The first date when trades will be accepted.  By default (empty trade start date), the first date of data is also the first date trades will be accepted.

 

Simulation End Date  A forced stop date of the simulation.  If more data exists, it will not be fed to the simulation loop.

 

Starting Capital  The initial amount of capital dedicated to the system.

 

Live Lead Bars  The number of bars to skip before trades will be accepted when the system is running live.  This setting is ignored in simulation.

 

Live Data Date  The start date that historical data will be loaded in a live trading system.

 

Frequency  The frequency of this trading system.  The default setting, Automatic, will detect the frequency based on the data loaded.  To override this, select a different frequency from the list.  For more information about configuring frequencies, please see the Managing Frequencies topic.

 

Tick-level Simulation  Indicates whether or not to use tick data if the data is available.  If this data is available and this option is enabled, trading systems will receive NewTick notifications in simulations.  Live systems always receive tick notifications when hooked up to a live data source.

 

Note: If enabled, this may increase load time and slow down the overall simulation.

 

Synchronize Bars  Indicates whether or not bars are kept in sync across symbols.  For example, if symbol XXX trades on 1/3/2009 and symbol YYY does not, an empty bar is inserted for symbol YYY so that the historical data lists are kept in sync.  If this is disabled, there would be no bar for YYY on that trade date.

 

Allocation  Amount of capital put towards newly created positions.

 

Allocation Type

 

Percentage

Allocates a percentage of the total portfolio for every position opened.  For example, if the system has a starting capital of $100,000 and the percentage is set to 10%, the first open position would allocated $1,000.  As the account value grows or shrinks, the percentage allocated to each position would also grow or shrink.

 

Fixed Value

Allocates a fixed amount to each position regardless of account size.  For example, if system has a starting capital amount of $100,000 and a fixed size of $50,000 per position, the system could only have 2 open positions with an account size of $100,000.  If this dips below $50,000, the system will stop taking trades.

 

Fixed Size

Allocates a fixed unit size per position.  In the case of stocks, a fixed number of shares would be used per position (assuming the required capital is available).  In futures and options, a fixed number of contracts.

 

Allocation  Amount of capital put towards newly created positions.

 

Bar Count Exit  Specifies the number of bars after which a position should be closed if it hasn't already been closed by another order.  By default, this is 0, which means that a position will never be closed after a particular number of bars have elapsed.

 

Force Round Lots  This property will tell the system to only submit orders using round lots (i.e. a share count rounded to the nearest 100).

 

Max Open & Max Open Per Symbol  The number of total number of open positions and/or the number of open positions per symbol.

 

For example, if the Max Open value was set to 3 and the Max Open Per Symbol was set to 1 and we had the following situation:

 

2 open positions, 1 for symbol YY and another for symbol XX.  If a buy signal occurred for YY, the trade would be declined because we already have our maximum number of open positions per symbol.  If on the other hand, a signal was generated for symbol ZZ, the trade would be accepted.  However, we have now hit our maximum limit for Maximum Open, so all further trades would be declined until any of the open positions were closed.

 

Profit Target  An automatic, global profit target value assigned to newly created positions.  This can be overridden in code, but by default, this profit target value will be applied to positions.  Valid values are:

 

Relative Ratio  This setting will take the value placed in the Profit Target setting and multiply the asset's current price.  For example, to set a relative profit target of 5%, the PT value must be 0.05.

 

Relative Price  This setting will take the value placed in the Profit Target setting and add (for a short) or subtract (in the case of a long) it the asset's current price.  For example, to set a profit target that is $1 above the current price, the PT value would be 1.

 

Relative Ticks  This setting will take the value placed in the Profit Target setting and add (for a short) or subtract (in the case of a long) the specified number of ticks when setting the profit target.  This is particularly useful for futures or other leveraged instruments where a profit target represented as a percentage or price does not make sense.

 

None  Automatic profit target orders are turned off.

 

Stop Loss  An automatic, stop loss value assigned to newly created positions.  This can be overridden in code, by default, this stop loss value will be applied to positions.  Valid values are Relative Ratio, Relative Price, Relative Ticks and None.  See above for detailed descriptions of what these settings mean.

 

Restrict Orders Sent  This property specifies whether the "maximum open positions" settings should limit the number of position open orders submitted.  For example, if there is a maximum open position setting of two and there is one open position and an additional limit order submitted, if the restrict setting is set to true, any subsequent orders will be rejected until the limit order is cleared.  If it is set to false, open orders are ignored in the count and only truly open positions are counted.

 

System / Optimization Parameters  System parameters can be set inline.  Click the Add System Parameter link to add a new system parameter.  The parameter is created inline where it can be named and the default, high and low values can be assigned.  Steps indicates the increment value.  For example, with a low value of 1, a high value of 10 and a step parameter of 1, this would indicate that by itself, this optimization parameter would create 10 iterations.  See the Optimization Overview topic for a complete overview.

 

See Also

Developing Trading Systems in RightEdge

Managing Frequencies

Optimization Overview

Optimization Parameters

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