Tuesday, August 24, 2010

An update on our features

4 major releases have been made since our last post, so it seems appropriate to give you a quick overview of what we have done.

Boat Making Workshop - Pop!Tech 2009 - Camden, ME

We have added stocks so futures are not the only instruments that can be traded anymore. The stocks currently available are from the FTSE, DAX and CAC 40 indices (stocks from the S&P 500 index will probably be added on the next release). You might be interested in more details on how to specify stocks in your strategies.

We now support a limited number of indices, including VIX, NASDAQ 100 and some RUSSELL (more will be added soon).
Indices are declared in a manner similar to futures or stocks. However, they are not tradeable, so make sure in your strategy that you do not issue orders on those instruments. See the OptimizedParameters strategy for an example.

Automatic pseudo-paper trading
With this new option (accessible from the backtests results page), it is possible to get daily updates on a strategy, as if it was trading with live data.
Paper trading only starts from the day it has been requested and can take a couple of days to get any results. This lag is intended to encourage authors to write strategies that work well with little supervision.

If you are looking for a simple quick refresh of the results of your strategy, then the new "Submit again" link on the backtests results page might be more appropriate.

Callbacks on orders
Orders now support callbacks when they are filled or cancelled. The ChainedSellsWithPnLTracker sample will get you started on this.

New scoring algorithm
We have completely reviewed the way we compute a score for a strategy. There is now no upper limit on the score that can be achieved. We hope this will trigger more imaginative strategies. However, keep in mind that the score is only one way to evaluate a strategy. In the end, we will need to understand what the code actually does (particularly to avoid overfitting) before putting a strategy in production.

We have also added more indicators (Money Flow, ADX, Ishii Moku, Vortex), fixed many issues and greatly improved the quality of our data.

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