Real Solutions For Algorithmic Trading

Mar 1, 2023 | Programming language, QM Portfolio Builder, TradeStation

Real Solutions For Algorithmic Trading

At Quantified Models you will find extensive professional solutions for algorithmic trading, developed rigorously and professionally by the Quantified Models team and other professional traders. You can also commission custom developments of your own trading ideas from us.

Software Development

The development of trading systems in Quantified Models is based on the scientific method and rests on the following pillars:

  • Demanding backtesting. Retail trading platforms are not entirely reliable when it comes to backtesting. For example, most of them do not correctly treat stock splits and dividends. This can cause many mistakes that with QM Portfolio Builder you will not make.
  • Separation in the development of the model of the sets in sample and out of sample.
    • The training set (in sample) must include all types of markets (bullish, bearish, volatile…).
    • The sample should be as significant as possible. Statistically it is considered that from 30 the sample can already be taken into account.
    • The validation set (out of sample) should not be looked at until the end of development to avoid contaminating it. If the system does not project into this set, the model is discarded.

Valid pre-development premise. This means that it is not enough for us to have a winning system, but rather that we must understand why the system earns money. The premise that validates or not a model can be: macroeconomic, statistical, fundamental, seasonal… At Quantified Models we do not operate any system that we do not understand why logic is winning.

Ejemplo IS OS

  • Walk Forward Analysis (WFA). QM Portfolio Builder allows you to perform this analysis rigorously. A properly performed WFA will give you a realistic approximation of the model’s potential behavior in actual trading. In the image you can see the tab called “Clean Trades” highlighted in red, where TradersStudio gives you all trades from all WFA out of sample windows. Two very important functionalities of QM Portfolio Builder are highlighted in blue, which are the treatment that you want to give to the trades at the moment in which the change of the optimization windows occurs and that most platforms do not include and can give. with sub-optimal results and the “Live Walk forward” that will allow you to use the parameters resulting from the WFA in real trading.
WFA TSS Clean Trades
  • Monte Carlo analysis. At Quantified Models we perform this analysis on all systems and portfolios to make a more realistic estimate of the risk assumed.
Equity y Equity radom con TSS

Indicators and Functions

With QM Portfolio Builder you can use the most used indicators in trading. You will also be able to create functions with everything you need, as well as import them from TradeStation or Multicharts.

Trading Portfolio

Of the many tools available to QM Portfolio Builder, perhaps the most powerful is the creation of portfolios in a simple and professional way. The “Holy Grail” in trading is the correct creation of portfolios based on the decorrelation of capital curves and draw downs. QM Portfolio Builder gives you this and much more information about the system portfolios you create. You will also be able to do a Walk Forward and Monte Carlo analysis of your systems portfolio.

Correlación Equity y DD con TSS

Trading Plans

Trading plans in QM Portfolio Builder are nothing more than the application of money management techniques to your systems and/or portfolios. There is a lot of literature about money management, but most are theoretical approaches that can hardly be used in real trading. At Quantified Models we use monetary management techniques that try to optimize the invested capital with a well-limited risk. This job is also done by QM Portfolio Builder with a single “click”. You can also create or commission any money management techniques you consider to be translated into code that you can use with a trading plan in QM Portfolio Builder. In the image you can see the result of applying a simple trading plan using margin.

Plan trading Intermarket ES

Article written by Quantified Models

Quantified Models YouTube Channel

We have several videos available on our YouTube channel that you may find very useful in developing trading systems.

We hope this information has been useful to you.

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