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

README.md

Daenerys Trading Strategy

Table of Contents

Overview

Daenerys 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 Daenerys OHLC financial chart showing some automatic trades

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

This default parameter combination has been optimized to run over 120' bars of Mini-Russell Future Index.

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

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

Daenerys Trading Rules

Daenerys' trading plan is quite simple. When flat, it buys 1 contract when the price breaks above a specified RSI's level, or sells 1 contract when the price breaks belowe another RSI's level.

While the strategy has a position in the market, it places a Stop Loss order (accept we were wrong on our prediction and cut the losses). Besides, if a reversal signal is triggered (the contrary RSI signal entry level is broken) it closes the current position.

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

DaenerysStrategy rules:

  * Entry: Price breaks above RSI buy level (long entry) or price breaks below RSI sell level (short entry)
  * Exit: Set a fixed Stop Loss and closes the position on a reversal signal
  * Filters (sets the entry only under certain conditions): None

Show me the code

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

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

int buySignal = (int)this.GetInputParameter("RSI Buy signal trigger level");
int sellSignal = (int)this.GetInputParameter("RSI Sell signal trigger level");

if (rsiIndicator.GetRSI()[1] <= buySignal && rsiIndicator.GetRSI()[0] > buySignal && this.GetOpenPosition() != 1)
{
    if (this.GetOpenPosition() == 0)
    {
        //BUY SIGNAL: Entering long and placing a catastrophic stop loss
        MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
        catastrophicStop = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Catastrophic stop long exit");

        this.InsertOrder(buyOrder);
        this.InsertOrder(catastrophicStop);
    }
    else if (this.GetOpenPosition() == -1)
    {
        //BUY SIGNAL: Closing short position and cancelling the catastrophic stop loss order
        MarketOrder exitShortOrder = new MarketOrder(OrderSide.Buy, 1, "Exit short position (reversal exit signal)");

        this.InsertOrder(exitShortOrder);
        this.CancelOrder(catastrophicStop);
    }
}
else if (rsiIndicator.GetRSI()[1] >= sellSignal && rsiIndicator.GetRSI()[0] < sellSignal && this.GetOpenPosition() != -1)
{
    if (this.GetOpenPosition() == 0)
    {
        //SELL SIGNAL: Entering short and placing a catastrophic stop loss
        MarketOrder sellOrder = new MarketOrder(OrderSide.Sell, 1, "Enter short position");
        catastrophicStop = new StopOrder(OrderSide.Buy, 1, this.Bars.Close[0] + stopMargin, "Catastrophic stop short exit");

        this.InsertOrder(sellOrder);
        this.InsertOrder(catastrophicStop);
    }
    else if (this.GetOpenPosition() == 1)
    {
        //SELL SIGNAL: Closing long position and cancelling the catastrophic stop loss order
        MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position (reversal exit signal)");

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

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/daenerys-trading-strategy-csharp
  • Open Visual Studio and load solution DaenerysStrategy/DaenerysStrategy.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 ;)