Trading strategy c#

Trading strategy c#Tyrion Trading Strategy

Table of Contents

Tyrion is a trading algorithm written in C# using the TradingMotion SDK development tools (there is a VB port too).

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

This default parameter combination has been optimized to run over 60' bars of DAX Future Index .

Trading a maximum of 1 contract of DAX 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 :)

Tyrion Trading Rules

Tyrion's trading plan is quite simple. It buys 1 contract when the price breaks above a specified Stochastic %D's level.

While the strategy has a long position in the market, it places one exit order . A Take Profit (close the position with a profit) based on the standard deviation.

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.

Show me the code

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

First of all, make sure you have Visual Studio 2010 version (or higher). TradingMotion SDK is fully compatible with Visual Studio Express free versions.

Quick Start

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 PL 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

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.


I am RD engineer at TradingMotion LLC. and head of TradingMotion SDK platform. Beware, the info here can be a little biased ;)

Choose Your Conditions, Build Your Strategy

The Strategy Wizard is designed for traders who want to build their own automated strategies, but who aren't necessarily familiar with custom programming languages such as C#. To build your own strategy with the Strategy Wizard, you simply have to define what conditions you want met, and the action you want to occur when those conditions are triggered within the platform.

For Example:

You can set a basic strategy in the Condition Builder to perform an action if the close of the current bar on a given instrument is greater than the 20 period EMA. NinjaTrader can then:

Highlight that the condition has been met on a chart

Send an alert such as an email or a sound

Execute a buy or sell position with pre-defined stop-loss and target levels.

The Strategy Wizard of course provides you with the ability to backtest your strategies using historical data to see how they would have performed under various market conditions. You can see the hypothetical entry and exit points and the associated profit/loss, allowing you to tweak the strategies accordingly prior to enabling them on your live account.

Automated Strategy Development

In addition to the Point and Click method of building a strategy for non-programmers, NinjaTrader also allows developers to construct automated trading strategies using the C# based NinjaScript. With NinjaTrader's advanced event driven model, you can program your strategy logic on events triggered by market data, market depth, order status, fill updates and position updates.

Create a trading strategy using the money management tool - Part 1

Updated on 2010-05-25

Even if the simulator plug-in offers many features and can perfectly suits the need of the majority of traders and investors, it isn't sufficient to pundits and traders who want to create sophisticated simulations and backtests.

You may want to create several strategies in a single portfolio and then adjust the equity size of each strategy depending on how it has performed during the last quarter. Or you may want to hedge a long portfolio with some specific stocks or hedge your portfolio against inflation or a particular currency. There are a lot of advanced backtesting scenarios that simply could be performed using the basic simulator, they require the money management tool.

The money management plug-in is composed of five events. Each event is executed during a particular period. As an example, the OnStartSimulation event is executed just before the simulation starts, and the OnEndPeriod event is executed just after a period ends. In a daily timeframe, a period is a day.

Trader can type some line of codes for one or several of these events. The code will tell and instruct the trading software on the course of action to take. You can for example create a position sizing script by catching the OnNewPosition event and updating the number of share to buy or short.

The tool requires some practice and knowledge of the basic functions. In the rest of the article, we will show you how to write a money management script that creates a simple long trading system using buy and sell rules. The trading system will be exactly the same as the one you can create with the basic simulator. However, it will be created entirely by the money management tool and it will be the good example to show you the basic functions of the money management scripting language.

You can open the money management tool by selecting "Analysis" then "Advanced Money Management". Or you can update a trading system, select the money management tab and then create a new script.

Either way, you will end up with a form that looks like this.

Most of the code will be contained in the "OnEndPeriod" event.

This first thing to do is to loop through the symbols (stocks, futures or whatever asset you are trading) that you have or will specify in your trading system.

The list of symbols can be retrieved using the following line:

string[] symbols = Data. GetSymbols();

For each symbol, we must check if the portfolio contains a long position for this symbol and if there is a pending order to sell the security.

Portfolio. IsInPortfolio(symbol, true) -> Check whether a long position for the specified symbol exists in the portfolio

Portfolio. IsInPendingOrders(symbol, "sell") -> Check whether a sell pending order exists

At any time, you can click on CONTROL + SPACE to display the list of available variables. Besides, each time you type the opening parenthesis of a function, a tooltip displays a description of the function and enumerates the parameters the function accepts.

The information set forth herein has been obtained or derived from sources believed by author to be reliable. However, the author does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does the author recommend that the attached information serve as the basis of any investment decision. This data has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. By using any of this information, you expressly agree that all risks associated with the performance and quality of the information is assumed solely by you. The author shall not be liable for any direct, indirect, incidental, special or consequential damages arising out of the use of or inability to use the information, even if the author has been advised of the possibility of such damages. The information is made available by the author "as is" and "with all faults".

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