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RE: Multiple systems on Multiple securties?

billb — Sun, 01 Jul 2007 17:27:55 GMT

This is high on the list for post 1.0. Multiple systems, large data sets, tick by tick simulations are all real high items.

RE: Multiple systems on Multiple securties?

kaizen — Sun, 01 Jul 2007 04:57:12 GMT

I would be a big advocate of multiple systems running at once.

Currently I use my own code base to execute my FX systems. I have 6 accounts with each account having the ability to run multiple systems over multiple currencies over multiple time frames. If I were to try and run this in RE via one system the code base would get out of hand.

As the systems pull their variables from a database I also have the ability to turn them on/off with the click of a button. If this type of functionally could be built into RE then you have a major leg up over any other S/W.

RE: Multiple systems on Multiple securties?

Ericd2281 — Sat, 30 Jun 2007 21:17:38 GMT

Has any development on the multiple system testing concept item occurred? If not, are there any plans to include this in future roll-outs?

I know that this is one item I would like to see be put into production and would be very beneficial for higher-end users.

TradingBlox appears to do this very well and I think that is one of the strong points of the program.

Curtis Faith's new book 'Way of the Turtle' has some good information on why one would run multiple systems at once. Basically, running multiple non-correlated systems allows one to have a smoother equity curve with a similar or lower drawdown statistics.

Regards,
Eric

RE: Multiple systems on Multiple securties?

Siasb — Wed, 18 Apr 2007 00:55:41 GMT

First, I want to note that using “managers” to delegate operations to and use as a Sync mechanism is fine on back tests, but depending on the system in “live” action, you better make sure it operates fast, or it could very well fall behind; That is not good if the price is moving away from you :-) These could be bottle necks even if the strategies were each ran on separate threads.

Also, what seems to me to be the source of confusion to the discussion and maybe missing is that the description of the dependency of the strategies is a strategy itself at some level! This would allow nicely nested systems, including possibly neural networks of strategies.

RE: Multiple systems on Multiple securties?

dplaisted — Tue, 10 Apr 2007 16:44:25 GMT

[quote][b]Omega1 (4/10/2007)[/b][hr]I see that your proposing a solution that fits within the existing RE structure. That's okay but I have a question that I will put to you by using a case example...

A trading strategy trades multiple systems. The rules stipulate that any one system can only allocate a maximum of 5% equity to a single market (Crude Oil) with a maximum 10% market exposure exposure across the wider portfolio of systems. Where is the demarcation between portfolio and system level money management?[/quote]

I would have the strategy manager ensure that both the per-strategy and portfolio-level limits were enforced. Is there a need for the per-strategy limits to be implemented seperately for each strategy? (As an aside, it looks like you are using these words the opposite of the way I am. I think of a trading system consisting of multiple strategies (and the associated portfolio/risk management logic), while you mention a single strategy having multiple systems.)

[quote][b]Omega1 (4/10/2007)[/b][hr]The way I read your description the position manager sits logically below the trading system entering, exiting & tracking market positions while interfacing with the broker. If that's the case then my example above would cause problems and require a higher level manager with wider visibility across the portfolio. Then the strategy manager as you envisage it (at the system level) would take tactical money management decision so long as they don't contravene the limits imposed by the portfolio level management I'm in favour of.[/quote]

Currently the position manager sits between the trading system and the broker. With support for multiple strategies, I envision a single strategy/risk/money manager, that would sit between a single position manager and multiple trading strategies.

[quote][b]Omega1 (4/10/2007)[/b][hr]IMO, the developers at RE need to take a closer look at how money management, exposure management and risk management interact at the strategic and tactical levels. This forum isn't really the right place to bottom it out, though the discussion is interesting.[/quote]

I have to admit I'm not really familiar with the interaction between the strategic and tactical levels of portfolio management. I would certainly welcome a link to some information on this. However, I don't think that there is going to be a single money/risk/portfolio management model that all of our users are going to want to use. But we aim to make our architecture flexible enough to accomodate everyone's need.

I don't know why you say this isn't the place to discuss this... we certainly don't have a problem with discussing it here if you don't :)

Daniel

RE: Multiple systems on Multiple securties?

Omega1 — Tue, 10 Apr 2007 16:12:06 GMT

I see that your proposing a solution that fits within the existing RE structure. That's okay but I have a question that I will put to you by using a case example...

The way I read your description the position manager sits logically below the trading system entering, exiting & tracking market positions while interfacing with the broker. If that's the case then my example above would cause problems and require a higher level manager with wider visibility across the portfolio. Then the strategy manager as you envisage it (at the system level) would take tactical money management decision so long as they don't contravene the limits imposed by the portfolio level management I'm in favour of.

IMO, the developers at RE need to take a closer look at how money management, exposure management and risk management interact at the strategic and tactical levels. This forum isn't really the right place to bottom it out, though the discussion is interesting.

Thx - D

RE: Multiple systems on Multiple securties?

dplaisted — Mon, 09 Apr 2007 22:20:37 GMT

[quote][b]Omega1 (4/9/2007)[/b][hr][quote][b]phg (4/9/2007)[/b][hr]

The way I look at it, consider the case of multiple strategies but only one (shared) pile of money to draw from. How to apportion among the strategies? How to set an upper commitment to a (shared) symbol? How to 'pace' buy/sell to a single symbol? Where best to apply round lots or not? These are all 'distribution of funds' considerations and I see no way to do so optimally except centrally. So I guess I see the dividing line where the strategy aggregates the signal logic, basically down to yes/no, and the strategy manager handles funding and sizing, and issuing and tracking orders.

Pete[/quote]

Agreed. However, i don't see executing entry and exit as being a function of strategy management. That said, I'm not familiar with the event driven order flow of RightEdge. Depending how that works then my point of view might not make so much sense. RE is event driven right? Is this documented somewhere? Am thinking aloud here and if it's in a really obvious place then apologies in advance...

Thx - D[/quote]

Event driven refers to the fact that the trading system logic is executed in response to new bars or new ticks coming in. This helps prevent "looking into the future" when backtesting, and allows the same logic to be used for live trading as for backtesting.

I'm not sure if you would call our order routing event driven. Your system can call various methods such as OpenPosition, ClosePosition, AddToPosition, SetProfitTarget, etc. These all end up as method calls to the position manager. The position manager actually submits the corresponding order to the broker. If the maximum number of open positions has been reached, the position manager will not open a position when OpenPosition is called.

So you might say that it is the position manager, not your trading system, which currently handles entry and exit, since it is what interacts directly with the broker. But this doesn't limit what you can do, unless you choose to by setting a maximum number of open positions. To me, the strategy manager would work the same way. You are giving up some control, but you are giving it up voluntarily to the strategy manager. If you don't give up this control then the strategy manager can't really do much. The entry and exit orders ultimately do originate from your strategy, but they may be rejected or sized by the strategy manager.

Does this help clear things up?

Daniel

RE: Multiple systems on Multiple securties?

Omega1 — Mon, 09 Apr 2007 18:34:40 GMT

[quote][b]phg (4/9/2007)[/b][hr]

Pete[/quote]

Thx - D

RE: Multiple systems on Multiple securties?

phg — Mon, 09 Apr 2007 06:42:24 GMT

Hmmm. Nothing like divergent views. I think I'm just the other way round; I like the idea.

I know my thinking is incomplete. How, for example, would scaling in and out be accomplished? Still, I thought I would toss these thoughts into the mix just to keep things lively.

Pete

RE: Multiple systems on Multiple securties?

Omega1 — Sun, 08 Apr 2007 20:33:56 GMT

[quote][b]dplaisted (4/8/2007)[/b][hr]It may be just a technicality, but to my way of thinking, if the strategy manager is going to size the positions, then it is going to enter the trades. If the strategy is entering trades directly, then it will ultimitely have control over the size of a position. You could have a system where the strategy "asks" the strategy manager what size its position should be, and then opens a position for that size. But then there is no guarantee that the strategy will follow the guidance of the manager, or even call the function to determine what the position size would be.

Basically, I'm thinking that when a strategy calls OpenPosition(), that call will be routed to the strategy manager, where the position size will be determined. The trade might even be rejected based on risk parameters. If it is accepted, then the manager will make the call to the broker to open the position.[/quote]

The way you're thinking about this seems to be bottom up while mine is top down. I'm confused by your approach somewhat. You almost seem to be suggesting that Systems be relegated to the role of indicator and that the strategy manager be the system. Don't know how wedded your are to this view but the more I thin about it the more I dislike it. Sorry:unsure:

Thx - D

RE: Multiple systems on Multiple securties?

dplaisted — Sun, 08 Apr 2007 11:20:16 GMT

[quote][b]Omega1 (4/7/2007)[/b][hr]

I think having the strategy manager excute the trade based on signals generated by each system blurs the boundary too much between control and execution.

My real point here is though that they strategy manager's job would be to monitor and manage the strategic performance of the users trading plan in order to manage risk. It would not actually enter any trades just specify their size. [/quote]

It may be just a technicality, but to my way of thinking, if the strategy manager is going to size the positions, then it is going to enter the trades. If the strategy is entering trades directly, then it will ultimitely have control over the size of a position. You could have a system where the strategy "asks" the strategy manager what size its position should be, and then opens a position for that size. But then there is no guarantee that the strategy will follow the guidance of the manager, or even call the function to determine what the position size would be.

Perhaps this is pretty much what you were thinking of anyway, but we were using different terms to describe it.

Daniel

RE: Multiple systems on Multiple securties?

Omega1 — Sat, 07 Apr 2007 20:15:46 GMT

If what you mean by the term "strategy manager" is "money manager" then I agree. I'll continue using the strategy manager reference for consistencies sake though. I sort of agree with what you're saying except I'd have the strategy manager work differently. The strategy manager would need to have "intelligence" and the authority to activate/deactive systems and/or markets (for a basket system) based on perfoermance analsysi of each system that is running live. This analaysis would also be the basis of position sizing decisions made by the strategy manager. It would then tell each system what it's position sizing vector is for the next trade.

I think having the strategy manager excute the trade based on signals generated by each system blurs the boundary too much between control and execution.

[quote][b]dplaisted (2/16/2007)[/b][hr]I am not sure whether there needs to be any communication between the different strategies. To me it seems like the need for this communication would be negated by the strategy manager. [/quote]

Agreed.

[quote][b]dplaisted (2/16/2007)[/b][hr]We would provide a default strategy manager, but probably also allow you to write your own if you needed more customization.[/quote]

I think specifying what the strategy manager can do is fine (Core Strategy manager). How it would implement it is down the end user to produce the logic(strategy manager extensions). Maybe someone might, as you suggest, want to produce their own completely different strategy manager - that's okay. To my mind the extensions would be where the action is though. Maybe the RightEdge developers could code default extensions which the community can work with and evolve to their own liking. There's no doubt though that this would be an important part of the trading framework.

[quote][b]dplaisted (2/16/2007)[/b][hr]Does it sound like this type of system would address everyone's needs?[/quote]

Some kind of control function is definitely needed IMO.

Thx - D

RE: Multiple systems on Multiple securties?

young — Sat, 07 Apr 2007 19:44:38 GMT

[quote][b]DrKoch (4/7/2007)[/b][hr][quote]WL/Amibrokers main strenghts[/quote]

WL [b]cannot[/b] run multiple systems at the same time. Its been the '1 feature request for some years now, buit neevr made it into the WL core. There are some attempts to do this on a script level. Needs a lot of modification of individual scripts - not too useful.[/quote]

This is still on our feature list, but I have a few ideas for being able to easily run multiple strategies in a single script that I think would work pretty nicely.

I'd start with the normal script, but it would basically just be a shell to instantiate strategy classes, wire up events that would exist in each of these strat classes, and then have a top level order management class to handle allocations to each individual strategy.

Actual coding, at this point, is an exercist left to the reader :)

RE: Multiple systems on Multiple securties?

DrKoch — Sat, 07 Apr 2007 16:48:34 GMT

[quote]WL/Amibrokers main strenghts[/quote]

WL [b]cannot[/b] run multiple systems at the same time. Its been the '1 feature request for some years now, buit neevr made it into the WL core. There are some attempts to do this on a script level. Needs a lot of modification of individual scripts - not too useful.

RE: Multiple systems on Multiple securties?

pandabear — Sat, 07 Apr 2007 15:45:05 GMT

I would strongly vote in support of a system that can backtest/run multiple strategies for a variety of derivatives.

WL/Amibrokers main strenghts lye in this feature and due to the pluggability of .Net, one could even have a standalone "executor" that would run multiple strategies at the same time.

RE: Multiple systems on Multiple securties?

ssternlight — Mon, 19 Mar 2007 15:00:37 GMT

[quote][b]dplaisted (2/16/2007)[/b][hr]I envision support for multiple strategies using some sort of strategy manager class. Each strategy would receive bar or tick data, and make trading decisions based on this. But instead of being able to trade directly, requests for trades would go to thestrategy manager. The strategy manager would be responsible for allocating funds to the various strategies.

I am not sure whether there needs to be any communication between the different strategies. To me it seems like the need for this communication would be negated by the strategy manager. Also, I would say that the strategies would all be run on the same thread. When an event came in, the manager would send the event to all of the strategies (sequentially), which would in turn send trading signals to the manager. When all the strategies had finished processing the event, the manager would process the trading signals generated by the strategies and trade accordingly.

We would provide a default strategy manager, but probably also allow you to write your own if you needed more customization.

Does it sound like this type of system would address everyone's needs?

Thanks,
Daniel[/quote]

Just catching up on the boards here -- found this one a bit late unfortunately as it would have answered a question I just asked and saved you guys some time. I'll try to be a bit more rigorous in the future. Anyway, to answer the question directly. YES. :)

RE: Multiple systems on Multiple securties?

phg — Fri, 16 Feb 2007 14:03:21 GMT

I like the idea, though the opportunity to exploit multiple cores should not be disregarded. This proposal provides both for maintaining an overall view of resource utilization while still running multiple otherwise independent strategies. The content of the 'message' from the strategy to the manager it going to take some consideration. I would think most strategists would want to tinker with the logic of the manager.

RE: Multiple systems on Multiple securties?

dplaisted — Fri, 16 Feb 2007 10:45:58 GMT

I envision support for multiple strategies using some sort of strategy manager class. Each strategy would receive bar or tick data, and make trading decisions based on this. But instead of being able to trade directly, requests for trades would go to the strategy manager. The strategy manager would be responsible for allocating funds to the various strategies.

I am not sure whether there needs to be any communication between the different strategies. To me it seems like the need for this communication would be negated by the strategy manager. Also, I would say that the strategies would all be run on the same thread. When an event came in, the manager would send the event to all of the strategies (sequentially), which would in turn send trading signals to the manager. When all the strategies had finished processing the event, the manager would process the trading signals generated by the strategies and trade accordingly.

We would provide a default strategy manager, but probably also allow you to write your own if you needed more customization.

Does it sound like this type of system would address everyone's needs?

Thanks,
Daniel

RE: Multiple systems on Multiple securties?

phg — Fri, 16 Feb 2007 05:55:24 GMT

I would have resource pools (funds and constraints), possibly shared (point of intersection), and multiple concurrent strategies. Bar frequency becomes a conundrum: is it an attribute of a strategy, of a symbol or of a symbol within a strategy? It would seem collecting from a provider would have to be done at the lowess common denominator. I contemplate three distinct stores per symbol: intraday, daily and refreshed from the internet on reference, like charts (this avoids all long term store maintenance questions at the local level).

- Pete

RE: Multiple systems on Multiple securties?

Siasb — Thu, 15 Feb 2007 18:57:36 GMT

I noted the need for multiple systems in my posts before, but I figured this can be added later on. The ability to test multiple systems with different weight assignments is something nice to have and some of the neural-networked based systems like NeuroShell provide for that.

However, here I wanted to add some more notes to the posts on this tread. For multiple systems to run in real-time, there are more issues involved. Do the systems “talk” to each other synchronously, asynchronously, or both? Are there real-time requirements on the “cross-talk” (and this does not mean just being fast as the term real-time is loosely used, but specific time requirements). These will involve memory model access and design as well. Will there be multiple systems within an execution and/or outside that need to “talk”. For cross application talk, there are many middle-wares that can be used, but an API probably needs to be added to RE that can be extended to implement the interfaces.

RE: Multiple systems on Multiple securties?

DrKoch — Wed, 14 Feb 2007 09:07:03 GMT

[quote][b]billb (2/14/2007)[/b][hr]....or would you run this situation live as well?[/quote]

Guess what?

Well, serious, I am more in backtesting. The "real trading" runs on quite another class of system.

But I think "they" will expect this to work live as well...

After all, given this event driven design it should not be too hard to make this work in RE.

RE: Multiple systems on Multiple securties?

billb — Wed, 14 Feb 2007 08:37:19 GMT

I'll digest the rest of the post, but one point I need clarified first, is this only applicable to backtesting or would you run this situation live as well?

RE: Multiple systems on Multiple securties?

DrKoch — Wed, 14 Feb 2007 08:28:16 GMT

There is a simple answer:

Look at this very practical situation:

I developed say three systems. Each works reasonably well in backtest. To "diversify" risk and invested money the obvious idea is to trade all three systems in parallel. Before I do so, I want to backtest this "combined approach".

In terms of an expected user interface it looks like this:

I have a "list" with my three systems, (and possibly some more). I set a checkmark on my three systems and assign some "position sizing hint". We use to say soemthing like 2.5% risk for system A, 1.5% Risk for system B and so on.
After I run this "Basket" I can see all the usual results (performance report, list of trades, equity curve,...) for the combined system.

On the implementation side you need two distinct phases in system execution: Trading Signals and Position sizing.
First you produce all trading signals for all systems. Then you run through all signals in date/time order and do the position sizing based on available equity and so on.

We implemented this for WL using external ASCII files for trade signals. It works pretty good but is a bit complicated to run because its a combination of several scripts... cumbersome...

RE: Multiple systems on Multiple securties?

billb — Wed, 14 Feb 2007 07:38:17 GMT

Agreed. I think the point was really to offer a work around given the current situation.

I will say that we really haven't received many requests for this type of feature, but we're definitely open to the idea. While I have you both (and others feel free to chime in), I'd like some ideas/opinions/suggestions on how multiple systems would make the most sense to you. With the current environment you load a "project", much like any development environment. This project contains files that build a single program. In other words, in Visual Studio, you cannot tell the environment to run multiple programs. So I'm very curious how that would work. Would there be another "mode" so to speak that would allow you to select multiple assemblies? How does synchronization work (or does it work?) between multiple systems. Another thing that always helps programmers is understanding the practical application. What situation would someone want to do this? It seems like one would always want to monitor each system individually.

[quote][b]DrKoch (2/14/2007)[/b][hr][quote][b]dplaisted (2/13/2007)[/b][hr]You have the full power of C# or Visual Basic, so you can code it pretty much any way you want.[/quote]

Let me jump in here.

Of course "evrything is possible" with a modern programming language. On the other hand the whole reason of being for software packes like RE is simplification:
I write some lines for my trading system and it runs in a specialized environment.

In this context it becomes highly preferable if there can be several "simultaneous" systems - not specially coded into one source code, but simly some checkmarks before the names of existing, simple systems.

This has always been one of the major weaknesses of WL and the top feature request for WL over years.[/quote]

RE: Multiple systems on Multiple securties?

DrKoch — Wed, 14 Feb 2007 00:38:39 GMT

[quote][b]dplaisted (2/13/2007)[/b][hr]You have the full power of C# or Visual Basic, so you can code it pretty much any way you want.[/quote]

Let me jump in here.

Of course "evrything is possible" with a modern programming language. On the other hand the whole reason of being for software packes like RE is simplification:
I write some lines for my trading system and it runs in a specialized environment.

In this context it becomes highly preferable if there can be several "simultaneous" systems - not specially coded into one source code, but simly some checkmarks before the names of existing, simple systems.

This has always been one of the major weaknesses of WL and the top feature request for WL over years.

RE: Multiple systems on Multiple securties?

dplaisted — Tue, 13 Feb 2007 18:56:02 GMT

I should add that you could run multiple trading strategies under the same RightEdge system. You would have to manage both strategies in the system code.

If your strategies are simple, they might just generate signals to buy and sell. So you would your strategies and then write the main RightEdge system to check the signals the strategies are generating and take action. If you wanted to allocate a certain percentage of your capital to each strategy, for example, you could write code that would manage that.

If you want to do something more complicated, it may be more complicated to write, but it should be possible. You have the full power of C# or Visual Basic, so you can code it pretty much any way you want.

Thanks,
Daniel

RE: Multiple systems on Multiple securties?

billb — Tue, 13 Feb 2007 17:18:38 GMT

At this point it can back test a portfolio of stocks. If you want to run more than one system, you'll have to run more than one instance of RE.

[quote][b]jlfvkRES (2/13/2007)[/b][hr]Can RE backtest a portfolio of systems on a portfolio of stocks?[/quote]

Multiple systems on Multiple securties?

jlfvkRES — Tue, 13 Feb 2007 17:09:17 GMT

Can RE backtest a portfolio of systems on a portfolio of stocks?