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Trading
with open source tools

         Chia-liang Kao
        clkao@clkao.org

      OSDC.TW 2009 Taipei
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
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
Trading With Open Source Tools
Trading With Open Source Tools
winamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit>0,])
         loseamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit<=0,]);
         x$netgain <- winamount+loseamount;
         x$avgnet <- x$netgain/trade
winamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit>0,])
         loseamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit<=0,]);
         x$netgain <- winamount+loseamount;
         x$avgnet <- x$netgain/trade
winamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit>0,])
         loseamount <- xtabs(paste(quot;profit~quot;, rhs,
sep=quot;quot;), data=data[data$profit<=0,]);
         x$netgain <- winamount+loseamount;
         x$avgnet <- x$netgain/trade
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
Trading With Open Source Tools
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
Trading With Open Source Tools
Trading With Open Source Tools
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
Trading With Open Source Tools

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Trading With Open Source Tools

  • 1. Trading with open source tools Chia-liang Kao clkao@clkao.org OSDC.TW 2009 Taipei
  • 7. Caution There is ABSOLUTELY NO WARRANTY if you use any of the code or strategy mentioned in this talk.
  • 11. 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
  • 12. 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
  • 13. 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
  • 14. 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
  • 15. 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
  • 16. 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
  • 17. 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
  • 18. 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
  • 19. 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
  • 20. 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
  • 21. 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
  • 22. 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
  • 23. 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
  • 24. 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!!
  • 25. 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
  • 26. 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
  • 27. 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
  • 28. 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
  • 29. 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
  • 30. 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
  • 31. 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
  • 32. 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
  • 33. 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
  • 34. 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
  • 35. 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
  • 36. 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
  • 37. 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
  • 38. 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
  • 39. 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
  • 40. 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%
  • 41. 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%
  • 42. 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%
  • 43. 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
  • 44. 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
  • 45. 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
  • 46. 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%
  • 47. 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%
  • 48. The OSDC Trading System Got your dice?
  • 49. 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%
  • 50. 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%
  • 51. 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%
  • 52. Outline • trading system • analysis • backtesting • live trading
  • 53. 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
  • 54. 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
  • 55. Analysis • Where are all the loss coming from? • Any interesting correlation with technical indicators? • (Be curious and ask yourself questions about your results)
  • 56. 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.
  • 57. 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
  • 60. winamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit>0,]) loseamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit<=0,]); x$netgain <- winamount+loseamount; x$avgnet <- x$netgain/trade
  • 61. winamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit>0,]) loseamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit<=0,]); x$netgain <- winamount+loseamount; x$avgnet <- x$netgain/trade
  • 62. winamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit>0,]) loseamount <- xtabs(paste(quot;profit~quot;, rhs, sep=quot;quot;), data=data[data$profit<=0,]); x$netgain <- winamount+loseamount; x$avgnet <- x$netgain/trade
  • 71. Now if we don’t short when we are above the open price....
  • 72. Now if we don’t short when we are above the open price.... Was 5699
  • 73. R also supports nice plotting
  • 75. Backtesting • If you want to write a strategy (which might not be using dice), you want to test it for historical data
  • 76. 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”
  • 77. 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?
  • 79. 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
  • 82. live trading • Data feed • Strategy / System runner
  • 83. live trading • Data feed • Strategy / System runner • Broker API
  • 84. live trading • Data feed • Strategy / System runner • Broker API • Infrastructure • Monitor • Scale and redundancy!
  • 85. 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
  • 87. Strategy runner • genius trader, available for back test
  • 88. Strategy runner • genius trader, available for back test • GT::Stream, accept streaming data and applies trading system to generate real time signals
  • 89. Strategy runner • genius trader, available for back test • GT::Stream, accept streaming data and applies trading system to generate real time signals • available at: ????
  • 90. Infrastructure • VirtualBox headless & MicroXP • memcached • gearman • nagios
  • 91. Trading platforms • http://geniustrade.org/ • Trade Station (proprietary) • http://ojts.sourceforge.net/ • http://www.marketcetera.org/
  • 93. R tutorials • Econometrics in R (Grant V. Farnsworth) • Practical Regression and Anova using R (Julian J. Faraway)
  • 97. 2009
  • 98. Yesterday... I went to hotsprings in the morning..
  • 99. Yesterday... I went to hotsprings in the morning..