Trading
with open source tools
Chia-liang Kao
clkao@clkao.org
OSDC.TW 2009 Taipei

Caution

Caution
There is
ABSOLUTELY NO WARRANTY
if you use any of the code or
strategy mentioned in this talk.

Presenting.......

Presenting.......
The OSDC Trading System

Presenting.......
The OSDC Trading System
using dice!

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Long Signal

Take #1 (Random returns 0..5)
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Long Signal

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Long Signal

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Short Signal

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Enters at 08:50

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
% perl backtest.pl --start=2001-01-01 --end=2007-12-31
--timeframe 5min --money-management='FixedShares 1'
OSDC1 TX

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
Taiwan Weighted Futures
1 point = nt$200
% perl backtest.pl --start=2001-01-01 --end=2007-12-31
--timeframe 5min --money-management='FixedShares 1'
OSDC1 TX

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
-----------------------------------------------------
Performance : -199.1 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 201.6% B&H MaxDrawDown : 44.8%
Best performance : 3.3% Worst performance : -204.9
Net gain : -19910.00 Gross gain : -2590.00
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 698 Number of losses : 1034 Win. ratio : 40.3%
Max consec. win : 7 Max consec. loss : 13 Expectancy : -0.00
Average gain : 0.87% Average loss : -0.94% Avg. perf : nan%
Biggest gain : 6.44% Biggest loss : -6.65% Profit fac : 0.92
Sum of gains : 36090.00 Sum of losses : -56000.00 Risk of ruin : 100.0

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
-----------------------------------------------------
Performance : -199.1 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 201.6% B&H MaxDrawDown : 44.8%
Best performance : 3.3% Worst performance : -204.9
Net gain : -19910.00 Gross gain : -2590.00
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 698 Number of losses : 1034 Win. ratio : 40.3%
Max consec. win : 7 Max consec. loss : 13 Expectancy : -0.00
Average gain : 0.87% Average loss : -0.94% Avg. perf : nan%
Biggest gain : 6.44% Biggest loss : -6.65% Profit fac : 0.92
Sum of gains : 36090.00 Sum of losses : -56000.00 Risk of ruin : 100.0

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
-----------------------------------------------------
Performance : -199.1 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 201.6% B&H MaxDrawDown : 44.8%
Best performance : 3.3% Worst performance : -204.9
-NT$3,982,000
Net gain : -19910.00 Gross gain : -2590.00
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 698 Number of losses : 1034 Win. ratio : 40.3%
Max consec. win : 7 Max consec. loss : 13 Expectancy : -0.00
Average gain : 0.87% Average loss : -0.94% Avg. perf : nan%
Biggest gain : 6.44% Biggest loss : -6.65% Profit fac : 0.92
Sum of gains : 36090.00 Sum of losses : -56000.00 Risk of ruin : 100.0

Take #1
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade
-----------------------------------------------------
Performance : -199.1 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 201.6% B&H MaxDrawDown : 44.8%
Best performance : 3.3% Worst performance : -204.9
-NT$3,982,000
Net gain : -19910.00 Gross gain : -2590.00
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 698 Number of losses : 1034 Win. ratio : 40.3%
Max consec. win : 7 Max consec. loss : 13 Expectancy : -0.00
Average gain : 0.87% Average loss : -0.94% Avg. perf : nan%
Biggest gain : 6.44% Biggest loss : -6.65% Profit fac : 0.92
Sum of gains : 36090.00 Sum of losses : -56000.00 Risk of ruin : 100.0
DOOMED!!

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 1.5

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
Stop when losing 1.5%
|CS:Stop:Fixed 1.5

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 1.5

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 1.5
-----------------------------------------------------
Performance : -124.4 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 136.8% B&H MaxDrawDown : 44.8%
Best performance : 2.0% Worst performance : -137.5
Net gain : -12442.13 Gross gain : 4877.87
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 715 Number of losses : 1017 Win. ratio : 41.3%
Max consec. win : 11 Max consec. loss : 16 Expectancy : -0.00
Average gain : 0.88% Average loss : -0.83% Avg. perf : nan%
Biggest gain : 5.67% Biggest loss : -1.79% Profit fac : 1.05
Sum of gains : 37037.00 Sum of losses : -49479.13 Risk of ruin : 100.0

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 1.5
-----------------------------------------------------
Performance : -124.4 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 136.8% B&H MaxDrawDown : 44.8%
Best performance : 2.0% Worst performance : -137.5
-NT$2,488,426
Net gain : -12442.13 Gross gain : 4877.87
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 715 Number of losses : 1017 Win. ratio : 41.3%
Max consec. win : 11 Max consec. loss : 16 Expectancy : -0.00
Average gain : 0.88% Average loss : -0.83% Avg. perf : nan%
Biggest gain : 5.67% Biggest loss : -1.79% Profit fac : 1.05
Sum of gains : 37037.00 Sum of losses : -49479.13 Risk of ruin : 100.0

Take #2
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 1.5
-----------------------------------------------------
Performance : -124.4 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 136.8% B&H MaxDrawDown : 44.8%
Best performance : 2.0% Worst performance : -137.5
-NT$2,488,426
Net gain : -12442.13 Gross gain : 4877.87
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 715 Number of losses : 1017 Win. ratio : 41.3%
Max consec. win : 11 Max consec. loss : 16 Expectancy : -0.00
Average gain : 0.88% Average loss : -0.83% Avg. perf : nan%
Biggest gain : 5.67% Biggest loss : -1.79% Profit fac : 1.05
Sum of gains : 37037.00 Sum of losses : -49479.13 Risk of ruin : 100.0
Much better, but still negative

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 2.5

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
Stop when losing 2.5%
|CS:Stop:Fixed 2.5

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 2.5

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 2.5
-----------------------------------------------------
Performance : -149.8 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 155.0% B&H MaxDrawDown : 44.8%
Best performance : 0.0% Worst performance : -155.0
Net gain : -14977.47 Gross gain : 2342.53
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 706 Number of losses : 1026 Win. ratio : 40.8%
Max consec. win : 8 Max consec. loss : 14 Expectancy : -0.00
Average gain : 0.91% Average loss : -0.87% Avg. perf : nan%
Biggest gain : 6.29% Biggest loss : -2.78% Profit fac : 1.05
Sum of gains : 37749.00 Sum of losses : -52726.47 Risk of ruin : 100.0

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 2.5
-----------------------------------------------------
Performance : -149.8 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 155.0% B&H MaxDrawDown : 44.8%
Best performance : 0.0% Worst performance : -155.0
-NT$2,995,494
Net gain : -14977.47 Gross gain : 2342.53
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 706 Number of losses : 1026 Win. ratio : 40.8%
Max consec. win : 8 Max consec. loss : 14 Expectancy : -0.00
Average gain : 0.91% Average loss : -0.87% Avg. perf : nan%
Biggest gain : 6.29% Biggest loss : -2.78% Profit fac : 1.05
Sum of gains : 37749.00 Sum of losses : -52726.47 Risk of ruin : 100.0

Take #3
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:DayTrade \\
|CS:Stop:Fixed 2.5
-----------------------------------------------------
Performance : -149.8 ( nan%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 155.0% B&H MaxDrawDown : 44.8%
Best performance : 0.0% Worst performance : -155.0
-NT$2,995,494
Net gain : -14977.47 Gross gain : 2342.53
Trades statistics :
Number of trades : 1732 Trades/Year : 247.97
Number of gains : 706 Number of losses : 1026 Win. ratio : 40.8%
Max consec. win : 8 Max consec. loss : 14 Expectancy : -0.00
Average gain : 0.91% Average loss : -0.87% Avg. perf : nan%
Biggest gain : 6.29% Biggest loss : -2.78% Profit fac : 1.05
Sum of gains : 37749.00 Sum of losses : -52726.47 Risk of ruin : 100.0
Not better after increase the stop threshold

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
Stop when winning 10%
|CS:CloseGain 10

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 29.2% ( 6.1%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 24.9% B&H MaxDrawDown : 44.8%
Best performance : 49.7% Worst performance : -1.2%
Net gain : 2920.65 Gross gain : 3730.65
Trades statistics :
Number of trades : 81 Trades/Year : 11.60
Number of gains : 32 Number of losses : 49 Win. ratio : 39.5%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.92% Average loss : -5.43% Avg. perf : 0.32%
Biggest gain : 11.50% Biggest loss : -9.73% Profit fac : 1.83
Sum of gains : 18313.10 Sum of losses : -15392.45 Risk of ruin : 21.3%

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 29.2% ( 6.1%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 24.9% B&H MaxDrawDown : 44.8%
Best performance : 49.7% Worst performance : -1.2%
NT$584,130
Net gain : 2920.65 Gross gain : 3730.65
Trades statistics :
Number of trades : 81 Trades/Year : 11.60
Number of gains : 32 Number of losses : 49 Win. ratio : 39.5%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.92% Average loss : -5.43% Avg. perf : 0.32%
Biggest gain : 11.50% Biggest loss : -9.73% Profit fac : 1.83
Sum of gains : 18313.10 Sum of losses : -15392.45 Risk of ruin : 21.3%

Take #4
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 29.2% ( 6.1%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 24.9% B&H MaxDrawDown : 44.8%
Best performance : 49.7% Worst performance : -1.2%
NT$584,130
Net gain : 2920.65 Gross gain : 3730.65
Trades statistics :
Number of trades : 81 Trades/Year : 11.60
PROFIT!!
Number of gains : 32 Number of losses : 49 Win. ratio : 39.5%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.92% Average loss : -5.43% Avg. perf : 0.32%
Biggest gain : 11.50% Biggest loss : -9.73% Profit fac : 1.83
Sum of gains : 18313.10 Sum of losses : -15392.45 Risk of ruin : 21.3%

Take #5
SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10

Take #5
SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
Following results from last trade
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10

Take #5
SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10

Take #5
SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 48.4% ( 9.5%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 19.8% B&H MaxDrawDown : 44.8%
Best performance : 49.5% Worst performance : 0.0%
Net gain : 4839.75 Gross gain : 5699.75
Trades statistics :
Number of trades : 86 Trades/Year : 12.31
Number of gains : 36 Number of losses : 50 Win. ratio : 41.9%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.72% Average loss : -5.48% Avg. perf : 0.46%
Biggest gain : 10.71% Biggest loss : -11.33% Profit fac : 1.77
Sum of gains : 20674.70 Sum of losses : -15834.95 Risk of ruin : 9.9%

Take #5
SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 48.4% ( 9.5%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 19.8% B&H MaxDrawDown : 44.8%
Best performance : 49.5% Worst performance : 0.0%
NT$967,950
Net gain : 4839.75 Gross gain : 5699.75
Trades statistics :
Number of trades : 86 Trades/Year : 12.31
Number of gains : 36 Number of losses : 50 Win. ratio : 41.9%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.72% Average loss : -5.48% Avg. perf : 0.46%
Biggest gain : 10.71% Biggest loss : -11.33% Profit fac : 1.77
Sum of gains : 20674.70 Sum of losses : -15834.95 Risk of ruin : 9.9%

The OSDC Trading System
Got your dice?

SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 48.4% ( 9.5%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 19.8% B&H MaxDrawDown : 44.8%
Best performance : 49.5% Worst performance : 0.0%
Net gain : 4839.75 Gross gain : 5699.75
Trades statistics :
Number of trades : 86 Trades/Year : 12.31
Number of gains : 36 Number of losses : 50 Win. ratio : 41.9%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.72% Average loss : -5.48% Avg. perf : 0.46%
Biggest gain : 10.71% Biggest loss : -11.33% Profit fac : 1.77
Sum of gains : 20674.70 Sum of losses : -15834.95 Risk of ruin : 9.9%

SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 48.4% ( 9.5%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 19.8% B&H MaxDrawDown : 44.8%
Best performance : 49.5% Worst performance : 0.0%
Net gain : 4839.75 Gross gain : 5699.75
Trades statistics :
Number of trades : 86 Trades/Year : 12.31
Number of gains : 36 Number of losses : 50 Win. ratio : 41.9%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.72% Average loss : -5.48% Avg. perf : 0.46%
Biggest gain : 10.71% Biggest loss : -11.33% Profit fac : 1.77
Sum of gains : 20674.70 Sum of losses : -15834.95 Risk of ruin : 9.9%

SY:Generic \\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==1
: {S:G:Above {I:Random 6} 2})}\\
{I:G:Eval ( {I:LastTrade} ? {I:LastTrade}==-1
: {S:G:Below {I:Random 6} 3})}\\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
-----------------------------------------------------
Performance : 48.4% ( 9.5%) Buy & Hold : 77.5% ( 14.2%) () => by year
MaxDrawDown : 19.8% B&H MaxDrawDown : 44.8%
Best performance : 49.5% Worst performance : 0.0%
Net gain : 4839.75 Gross gain : 5699.75
Trades statistics :
Number of trades : 86 Trades/Year : 12.31
Number of gains : 36 Number of losses : 50 Win. ratio : 41.9%
Max consec. win : 4 Max consec. loss : 8 Expectancy : 0.01
Average gain : 9.72% Average loss : -5.48% Avg. perf : 0.46%
Biggest gain : 10.71% Biggest loss : -11.33% Profit fac : 1.77
Sum of gains : 20674.70 Sum of losses : -15834.95 Risk of ruin : 9.9%

Outline
• trading system
• analysis
• backtesting
• live trading

Trading System
Trading system, also known as algorithmic trading, is the use of
computer programs for entering trading orders with the computer
algorithm deciding on certain aspects of the order such as the
timing, price, quantity of order

Trading System
Trading system, also known as algorithmic trading, is the use of
computer programs for entering trading orders with the computer
algorithm deciding on certain aspects of the order such as the
timing, price, quantity of order
Even with dice

Analysis
• Where are all the loss coming from?
• Any interesting correlation with technical
indicators?
• (Be curious and ask yourself questions about your
results)

R is a programming language and software environment for
statistical computing and graphics. It is an implementation
of the S programming language with lexical scoping
semantics inspired by Scheme.

R is a programming language and software environment for
statistical computing and graphics. It is an implementation
of the S programming language with lexical scoping
semantics inspired by Scheme.
to work with numbers, vectors efficiently

winamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit>0,])
loseamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit<=0,]);
x$netgain <- winamount+loseamount;
x$avgnet <- x$netgain/trade

winamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit>0,])
loseamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit<=0,]);
x$netgain <- winamount+loseamount;
x$avgnet <- x$netgain/trade

winamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit>0,])
loseamount <- xtabs(paste(\"profit~\", rhs,
sep=\"\"), data=data[data$profit<=0,]);
x$netgain <- winamount+loseamount;
x$avgnet <- x$netgain/trade

Now if we don’t short when we are above the
open price....

Now if we don’t short when we are above the
open price....
Was 5699

R also supports nice plotting

Backtesting

Backtesting
• If you want to write a strategy (which
might not be using dice), you want to test it
for historical data

Backtesting
• If you want to write a strategy (which
might not be using dice), you want to test it
for historical data
• “past performance does not guarantee
future results”

Backtesting
• If you want to write a strategy (which
might not be using dice), you want to test it
for historical data
• “past performance does not guarantee
future results”
• But if your past performance is bad, do you
dare to use the system?

Genius Trader

SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \\
|TF:Generic {S:G:CrossOverUp {I:Hour} 850} \\
{S:G:CrossOverUp {I:Hour} 850} \\
|TF:MaxOpenTrades 1 \\
|CS:Stop:Fixed 5 \\
|CS:CloseGain 10
• Modular
• Flexible
• Open source
• does backtesting, charting

live trading

live trading
• Data feed

live trading
• Data feed
• Strategy / System runner

live trading
• Data feed
• Strategy / System runner
• Broker API

live trading
• Data feed
• Strategy / System runner
• Broker API
• Infrastructure
• Monitor
• Scale and redundancy!

Data feed
• free: DDE from broker’s software
• Win32::DDE (polling)
• publish to memcached (or more
appropriate message queues)
• 10 lines of code
• 20 lines for reconnect and robustness

Strategy runner

Strategy runner
• genius trader, available for back test

Strategy runner
• genius trader, available for back test
• GT::Stream, accept streaming data and
applies trading system to generate real time
signals

Strategy runner
• genius trader, available for back test
• GT::Stream, accept streaming data and
applies trading system to generate real time
signals
• available at: ????

Infrastructure
• VirtualBox headless & MicroXP
• memcached
• gearman
• nagios

Trading platforms
• http://geniustrade.org/
• Trade Station (proprietary)
• http://ojts.sourceforge.net/
• http://www.marketcetera.org/

Library
• quantlib
• ta-lib

R tutorials
• Econometrics in R (Grant V. Farnsworth)
• Practical Regression and Anova using R
(Julian J. Faraway)

Conclusion

2009

Yesterday... I went to hotsprings in the morning..

Yesterday... I went to hotsprings in the morning..

At 11:45:20

At 11:45:20

At 11:45:20

At 11:45:20

At 11:45:20

At 11:45:20

At 11:45:20

At 11:45:20
PROFIT!!

PROFIT!!

Questions?
clkao@clkao.org