Cersei Trading Strategy
Table of Contents
The strategy code is all contained in CerseiStrategy.vb, 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:
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.vb along with comments and definition of parameters.
Dim stopMargin As Double = Me.GetInputParameter("Trailing Stop Loss ticks distance") * Me.GetMainChart().Symbol.TickSize Dim buySignal As Integer = Me.GetInputParameter("ROCR 100 Buy signal trigger level") If rocr100Indicator.GetROCR100()(1) <= buySignal And rocr100Indicator.GetROCR100()(0) > buySignal And Me.GetOpenPosition() = 0 Then ' BUY SIGNAL: Entering long and placing a trailing stop loss Dim buyOrder As MarketOrder = New MarketOrder(OrderSide.Buy, 1, "Enter long position") trailingStopOrder = New StopOrder(OrderSide.Sell, 1, Me.Bars.Close(0) - stopMargin, "Trailing stop long exit") Me.InsertOrder(buyOrder) Me.InsertOrder(trailingStopOrder) ' Resetting acceleration and highest close acceleration = 0.02D highestClose = Me.Bars.Close(0) ElseIf Me.GetOpenPosition() = 1 Then ' Checking if the price has moved in our favour If Me.Bars.Close(0) > highestClose Then highestClose = Me.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 < Me.Bars.Close(0) Then ' Setting the new price for the trailing stop trailingStopOrder.Price = trailingStopOrder.Price + acceleration Me.ModifyOrder(trailingStopOrder) Else ' Cancelling the order and closing the position Dim exitLongOrder As MarketOrder = New MarketOrder(OrderSide.Sell, 1, "Exit long position") Me.InsertOrder(exitLongOrder) Me.CancelOrder(trailingStopOrder) End If End If End If
Download the windows desktop application TradingMotionSDK Toolkit installer.
- 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.
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.