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

README.md

Cersei Trading Strategy

Table of Contents

Overview

Cersei 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 Cersei OHLC financial chart showing some automatic trades

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

This default parameter combination has been optimized to run over 60' bars of IBEX Future Index.

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

Net P&L chart Image footnote: Hypothetic Net P&L chart for Cersei 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 :)

Cersei Trading Rules

Cersei's trading plan is quite simple. It buys 1 contract when the price breaks above a specified rate-of-change (Momentum) level.

While the strategy has a long position in the market, it places one exit order. A Trailing Stop (keep locking profits while the price is moving in our favour).

Besides, this 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.

To sum up

CerseiStrategy rules:

  * Entry: Price breaks ROCR100 (Momentum) level (long-only)
  * Exit: Sets a Trailing Stop
  * Filters (sets the entry only under certain conditions): None

Show me the code

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

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

int buySignal = (int)this.GetInputParameter("ROCR 100 Buy signal trigger level");

// ========== ENTRY ==========
if (rocr100Indicator.GetROCR100()[1] <= buySignal && rocr100Indicator.GetROCR100()[0] > buySignal && this.GetOpenPosition() == 0)
{
    // BUY SIGNAL: Entering long and placing a trailing stop loss
    MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
    trailingStopOrder = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Trailing stop long exit");

    this.InsertOrder(buyOrder);
    this.InsertOrder(trailingStopOrder);

    // Resetting acceleration and highest close
    acceleration = 0.02m;
    highestClose = Bars.Close[0];
}
// ========== EXIT ==========
else if (this.GetOpenPosition() == 1)
{
    // Checking if the price has moved in our favour
    if (this.Bars.Close[0] > highestClose)
    {
        highestClose = this.Bars.Close[0];

        // Increasing acceleration
        acceleration = acceleration * (highestClose - 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;
            this.ModifyOrder(trailingStopOrder);
        }
        else
        {
            // Cancelling the order and closing the position
            MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position");

            this.InsertOrder(exitLongOrder);
            this.CancelOrder(trailingStopOrder);
        }
    }
}

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/Cersei-trading-strategy-csharp
  • Open Visual Studio and load solution CerseiStrategy/CerseiStrategy.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 ;)