Arya trading system C# port. An algorithmic trading system developed using TradingMotion SDK platform
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AryaStrategy
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AryaStrategy.sln
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README.md

README.md

Arya Trading Strategy

Table of Contents

Overview

Arya is a trading algorithm written in C# using the TradingMotion SDK development tools (there is a VB.net port too).

OHLC example chart Image footnote: Example of Arya OHLC financial chart showing some automatic trades

The strategy code is all contained in AryaStrategy.cs, including a default parameter combination.

This default parameter combination has been optimized to run over 60' bars of EUR/USD currencty Future.

Trading a maximum of 1 contract of EuroFX Future, this is how performed (hypothetically) from 2001 to 20014:

Net P&L chart Image footnote: Hypothetic Net P&L chart for Arya strategy

Anyway, go open Visual Studio, clone the project and start with the trading algo development! Sure you can do better and improve all these figures :)

Arya Trading Rules

Arya's trading plan is quite simple. It buys 1 contract when the price breaks above a specified Stochastic %D's level, or sells 1 contract when the price breaks below a lower Stochastic %D's level.

While Arya has a position in the market, it places two exit orders. A Trailing Stop order (keep locking profits while price is moving in our favor), and a Take Profit (close the position with a profit).

Besides, Arya is a pure intraday strategy. That means it won't leave any open position at the end of the session, so in case we still got a position it will be closed automatically.

Last but not least, Arya uses 4 entry filters to avoid entering the market in bad conditions:

  • Day of week: Arya won't trade on specific days of the week (ex. don't trade on fridays)
  • Session Time: set the time frame where Arya is allowed to place entries (ex. from 10:15 to 12:30 only)
  • Volatility (range): Arya won't place entries if current volatility range is under a specific treshold
  • Trend Strength: Arya won't place entries if current trend strength is under a specific treshold (Trend strength is measured using [ADX technical indicator])
  • Underlying Trend: Arya won't place long entries if current underlying trend is considered bearish (and the other way around). Underlying Trend is considered bearish if the [Exponential Moving Average] is decreasing, and bullish if is rising.

To sum up

Arya Trading Strategy rules:

  * Entry: Price breaks a Stochastic's %D long or short levels
  * Exit: Set a Trailing Stop and a Take Profit
  * Filters (sets the entry only under certain conditions):
     -Day of week
     -Session Time
     -Volatility (Range)
     -Trend strenght (ADX)
     -Underlying Trend (Exponential Moving Average)

Show me the code

Here is a simplified C# source code of Arya's OnNewBar() function. The complete code is all contained in AryaStrategy.cs along with comments and definition of parameters.

double buySignal = (double)this.GetInputParameter("Trend-following buy signal");
double sellSignal = (double)this.GetInputParameter("Trend-following sell signal");

double stopMargin = (int)this.GetInputParameter("Trailing Stop Loss ticks distance") * this.GetMainChart().Symbol.TickSize;
double profitMargin = (int)this.GetInputParameter("Profit Target ticks distance") * this.GetMainChart().Symbol.TickSize;

bool longTradingEnabled = false;
bool shortTradingEnabled = false;

// Day-of-week filter
if (IsDayEnabledForTrading(this.Bars.Time[0].DayOfWeek))
{
    // Time-of-day filter
    if (IsTimeEnabledForTrading(this.Bars.Time[0]))
    {
        // Volatility filter
        if (CalculateVolatilityRange() > (double)this.GetInputParameter("Minimum Range Filter"))
        {
            // ADX minimum level and current trending filters
            if (this.GetOpenPosition() == 0 && IsADXEnabledForLongEntry() && IsBullishUnderlyingTrend())
            {
                longTradingEnabled = true;
            }
            else if (this.GetOpenPosition() == 0 && IsADXEnabledForShortEntry() && IsBearishUnderlyingTrend())
            {
                shortTradingEnabled = true;
            }
        }
    }
}

if (longTradingEnabled && stochasticIndicator.GetD()[1] <= buySignal && stochasticIndicator.GetD()[0] > buySignal)
{
    // BUY SIGNAL: Stochastic %D crosses above "buy signal" level
    MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
    this.InsertOrder(buyOrder);

    trailingStopOrder = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Catastrophic stop long exit");
    this.InsertOrder(trailingStopOrder);

    profitOrder = new LimitOrder(OrderSide.Sell, 1, this.Bars.Close[0] + profitMargin, "Profit stop long exit");
    this.InsertOrder(profitOrder);

    // Linking Stop and Limit orders: when one is executed, the other is cancelled
    trailingStopOrder.IsChildOf = profitOrder;
    profitOrder.IsChildOf = trailingStopOrder;

    // Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
    acceleration = (double)this.GetInputParameter("Trailing Stop acceleration");
    furthestClose = this.Bars.Close[0];
}
else if (shortTradingEnabled && stochasticIndicator.GetD()[1] >= sellSignal && stochasticIndicator.GetD()[0] < sellSignal)
{
    // SELL SIGNAL: Stochastic %D crosses below "sell signal" level
    MarketOrder sellOrder = new MarketOrder(OrderSide.Sell, 1, "Enter short position");
    this.InsertOrder(sellOrder);

    trailingStopOrder = new StopOrder(OrderSide.Buy, 1, this.Bars.Close[0] + stopMargin, "Catastrophic stop short exit");
    this.InsertOrder(trailingStopOrder);

    profitOrder = new LimitOrder(OrderSide.Buy, 1, this.Bars.Close[0] - profitMargin, "Profit stop short exit");
    this.InsertOrder(profitOrder);

    // Linking Stop and Limit orders: when one is executed, the other is cancelled
    trailingStopOrder.IsChildOf = profitOrder;
    profitOrder.IsChildOf = trailingStopOrder;

    // Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
    acceleration = (double)this.GetInputParameter("Trailing Stop acceleration");
    furthestClose = this.Bars.Close[0];
}
else if (this.GetOpenPosition() == 1 && this.Bars.Close[0] > furthestClose)
{
    // We're long and the price has moved in our favour
    furthestClose = this.Bars.Close[0];

    // Increasing acceleration
    acceleration = acceleration * (furthestClose - trailingStopOrder.Price);

    // Checking if trailing the stop order would exceed the current market price
    if (trailingStopOrder.Price + acceleration < this.Bars.Close[0])
    {
        // Setting the new price for the trailing stop
        trailingStopOrder.Price = trailingStopOrder.Price + acceleration;
        trailingStopOrder.Label = "Trailing stop long exit";
        this.ModifyOrder(trailingStopOrder);
    }
    else
    {
        // Cancelling the order and closing the position
        this.CancelOrder(trailingStopOrder);
        this.CancelOrder(profitOrder);

        MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position");
        this.InsertOrder(exitLongOrder);
    }
}
else if (this.GetOpenPosition() == -1 && this.Bars.Close[0] < furthestClose)
{
    // We're short and the price has moved in our favour
    furthestClose = this.Bars.Close[0];

    // Increasing acceleration
    acceleration = acceleration * Math.Abs(trailingStopOrder.Price - furthestClose);

    // Checking if trailing the stop order would exceed the current market price
    if (trailingStopOrder.Price - acceleration > this.Bars.Close[0])
    {
        // Setting the new price for the trailing stop
        trailingStopOrder.Price = trailingStopOrder.Price - acceleration;
        trailingStopOrder.Label = "Trailing stop short exit";
        this.ModifyOrder(trailingStopOrder);
    }
    else
    {
        // Cancelling the order and closing the position
        this.CancelOrder(trailingStopOrder);
        this.CancelOrder(profitOrder);

        MarketOrder exitShortOrder = new MarketOrder(OrderSide.Buy, 1, "Exit short position");
        this.InsertOrder(exitShortOrder);
    }
}

Download

First of all, make sure you have Visual Studio 2010 version (or higher). TradingMotion SDK is fully compatible with Visual Studio Express free versions.

Download the windows desktop application TradingMotionSDK Toolkit installer.

Quick Start

  • Create a free account to access TradingMotionAPI (required). It can be created from TradingMotionSDK Toolkit (the desktop application)
  • Clone the repository:
git clone https://github.com/victormartingarcia/Arya-trading-strategy-csharp
  • Open Visual Studio and load solution AryaStrategy/AryaStrategy.sln
  • Edit app.config file adding your TradingMotionAPI credentials on appSettings section

And you're all set!

Running the project (F5) will perform a development backtest simulation over last 6 months DAX 60' bars data.

Once it has finished, it will ask if you want to see the P&L report in TradingMotionSDK Toolkit. Pressing 'y' will load the same backtest with the desktop app, where it will show performance statistics, charts, and so on.

User Manual

More documentation in the Getting Started Guide

About iSystems

iSystems by TradingMotion is a marketplace for automated trading systems.

iSystems has partnered with 11 international brokers (and counting) that offer these trading systems to their clients (both corporate and retail) who pay for a license fee that the developer charges.

The trading systems run with live market data under a controlled environment in iSystems' datacenters.

This way the developers just need to worry about how to make their trading systems better and iSystems platform does the rest.

Visit Developers section on TradingMotion's website for more info on how to develop and offer your systems.

Disclaimer

I am R&D engineer at TradingMotion LLC, and head of TradingMotion SDK platform. Beware, the info here can be a little biased ;)