Daenerys trading system VB.NET 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 VB.Net using the TradingMotion SDK development tools (there is a C# 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.vb, 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.vb along with comments and definition of parameters.

Dim stopMargin As Double = Me.GetInputParameter("Catastrophic Stop Loss ticks distance") * Me.GetMainChart().Symbol.TickSize

Dim buySignal As Integer = Me.GetInputParameter("RSI Buy signal trigger level")
Dim sellSignal As Integer = Me.GetInputParameter("RSI Sell signal trigger level")

If rsiIndicator.GetRSI()(1) <= buySignal And rsiIndicator.GetRSI()(0) > buySignal And Me.GetOpenPosition() <> 1 Then

    If Me.GetOpenPosition() = 0 Then

        ' BUY SIGNAL: Entering long and placing a catastrophic stop loss
        Dim buyOrder As MarketOrder = New MarketOrder(OrderSide.Buy, 1, "Enter long position")
        catastrophicStop = New StopOrder(OrderSide.Sell, 1, Me.Bars.Close(0) - stopMargin, "Catastrophic stop long exit")

        Me.InsertOrder(buyOrder)
        Me.InsertOrder(catastrophicStop)

    ElseIf Me.GetOpenPosition() = -1 Then

        ' BUY SIGNAL: Closing short position and cancelling the catastrophic stop loss order
        Dim exitShortOrder As MarketOrder = New MarketOrder(OrderSide.Buy, 1, "Exit short position (reversal exit signal)")

        Me.InsertOrder(exitShortOrder)
        Me.CancelOrder(catastrophicStop)

    End If

ElseIf rsiIndicator.GetRSI()(1) >= sellSignal And rsiIndicator.GetRSI()(0) < sellSignal And Me.GetOpenPosition() <> -1 Then

    If Me.GetOpenPosition() = 0 Then

        ' SELL SIGNAL: Entering short and placing a catastrophic stop loss
        Dim sellOrder As MarketOrder = New MarketOrder(OrderSide.Sell, 1, "Enter short position")
        catastrophicStop = New StopOrder(OrderSide.Buy, 1, Me.Bars.Close(0) + stopMargin, "Catastrophic stop short exit")

        Me.InsertOrder(sellOrder)
        Me.InsertOrder(catastrophicStop)

    ElseIf Me.GetOpenPosition() = -1 Then

        ' SELL SIGNAL: Closing long position and cancelling the catastrophic stop loss order
        Dim exitLongOrder As MarketOrder = New MarketOrder(OrderSide.Sell, 1, "Exit long position (reversal exit signal)")

        Me.InsertOrder(exitLongOrder)
        Me.CancelOrder(catastrophicStop)

    End If

End If

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 ;)