Rather then give a boring commentary of the events that have occurred in the past year I will post some stock and index charts that will tell the story for me. The charts are daily charts that I have taken from my eSignal screens. I know that technically there are still 2 trading days before christmas and the year is not over yet but I am not opening my trading platform again until 2012 so Merry Christmas and a happy New Year to all of my readers. Each chart will open larger in a new window.

VIX (Chicago Board Options Exchange Market Volatility Index) Daily Chart 2011 Candlestick

30 Year T-Bond Interest Rates Daily Chart 2011 Candlestick

NASDAQ Composite Index 2011 Daily Chart Candlestick

Dow Jones Industrial Average 2011 Daily Chart

HANG SENG INDEX Daily 2011 Chart Candlestick

NIKKEI 225 Index Daily 2011 Chart Candlestick

S&P ASX 200 Index 2011 Daily Chart Candlestick

EUR/USD Daily Spot Price 2011 Candlestick

Gold Futures (GC #F) Daily Chart 2011 Candlestick

NYME Light Crude Oil (CL #F) Daily Chart 2011 Candlestick

]]> http://www.traineetrader.com/2011-market-recap-in-charts/feed/ 0 http://www.traineetrader.com/running-esignal-on-mac-os-x/ http://www.traineetrader.com/running-esignal-on-mac-os-x/#comments Sun, 18 Dec 2011 01:15:07 +0000 Mark http://www.traineetrader.com/?p=1613

At the moment I am running eSignal on a dedicated Windows 7 computer, however it would be helpful to also run eSignal on my iMac. If you want to run eSignal on a Mac OS X you really only have two options at the moment.

1. Install on Bootcamp and multi boot.
2. Install in a virtual machine.

I have put together a quick video detailing the options below.

eSignal running in Parallels

The install process is pretty straightforward and so far eSignal has been running perfectly. The best way to see how well eSignal performs is by seeing it in action under Parallels Desktop 7.

• To skip the install process and watch demo of eSignal running in the virtual machine.
• To skip to cold start time of eSignal.

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Put in simple terms, a Random Walk basically involves taking successive random steps and tracing the trajectory. I adapted the example from part one of Wilmott on Quantitative Finance and wrote a quick MATLAB script to simulate a simple random walk. Basically flip a coin if it is heads multiply the equity seed by 1.01 and if its tails multiply by 0.99.

Results

The graphs below show succesive runs of the script. I simulated 10,000 coin tosses in each test.

Sim one: You flipped 5069 heads & 4931 tails

Sim Two: You flipped 4946 heads & 5054 tails

Sim Three: You flipped 5026 heads & 4974 tails

Sim Four: You flipped 5042 heads & 4958 tails

MATLAB Code

Writing the code in MATLAB is very straightforward I wrote the code in less then five minutes so it is a bit rough around the edges. I probably could refactor it but it does the job.

% Simple Simulated Random Walk Adapted
% from part 1 Paul Wilmott on Quant Fin

% create matrix with random int either 1 or 2
randMat = randi(2,10000,1);
randEquity = [1:10000];

headCount = 0;
tailCount = 0;
equitySeed = 100.00;

for i=1:10000
    if randMat(i)==1
        % we flipped a heads
        headCount = headCount + 1;
        equitySeed = 1.01 * equitySeed;
        randEquity(i) = equitySeed;
    else
        % must have flipped tails
        tailCount = tailCount + 1;
        equitySeed = 0.99 * equitySeed;
        randEquity(i) = equitySeed;
    end
end

fprintf('You flipped %i heads & %i tails\n', headCount, tailCount);
plot(randEquity);
title('\bf \fontname{Arial} \fontsize{16}Simulated Random Walk');
xlabel('\bf \fontname{Arial} \fontsize{12}Number of Coin Tosses');
ylabel('\bf \fontname{Arial} \fontsize{12}Price in ($)');

% clean-up
clear equitySeed headCount tailCount randMat i;

I have finally settled on a prototyping environment for my trading strategies. I have tested many different options but I keep coming back to MATLAB. I have tried python with both iPython and sciLab. I used Octave for a bit and I even tried Excel. None of these solutions have even com close to MATLAB. Given the widespread use in industry and the speed and flexibility I can test trading ideas MATLAB is clearly the superior option.

“MATLAB is a high-level language and interactive environment that enables you to perform computationally intensive tasks faster than with traditional programming languages such as C, C++, and Fortran.”

-MathWorks.com

Back in 2010 I first read Ernest Chan’s Book How to Build Your Own Algorithmic Trading Business.  I found the book interesting however I didn’t implement any of the ideas from the book. I have got the book of the shelf and I am going to work through it.

MATLAB on Mac & Solarized Colour Scheme

MTALAB 2011b is much more Mac friendly then previous versions. The menu items are now all at the top of the screen on the Mac menu bar. Below is a basic screenshot showing the setup I use. For all my programming work I use a solarized colour theme with Monaco as the font face. When you spend at least 8 hours a day looking at a computer screen I have found these colour schemes to be easier on the eyes.

Clean up MATLAB Environment

I am always looking to save time so I wrote a quick cleanup script that removes all variables, clears history and clears the command window. It is trivial but I have posted it below as it might be helpful to someone.

% simple script to clean up workspace

% remove vars
clear;

% clear command window
clc;

% remove command history
com.mathworks.mlservices.MLCommandHistoryServices.removeAll;

Implementation

I will probably use C++ or a DSL for the actual implemntation of the strategies. I will post some screen casts as I think information is more easily digestible in that format. I am just waiting for my podcasting mic to arrive. I think it is on a slow boat from china.

In the currency market timing really is everything. I have tried a number of different options to ensure I get my timing right regarding market moving news announcements. I tried some MetaTrader 4 indicators and on-line time clocks but none of these have came close to Anuko World Clock.

Download Free 30 day trial.

Anuko World Clock

Anuko World Clock allows for up to 10 time clocks to be displayed in the Windows task-bar. This allows for multiple time zones to be viewed from any application. You can see the taskbar setup I am using in the image below:

Anuko World Clock Features

• Simultaneous display of several clocks right in your task-bar. Varied digital and analog skins.
• On-line time synchronization over NTP with accurate atomic time servers.
• The ability to set any amount of one-time and recurring alarms and toggle specified action when alarms fire.
• A calendar and a time converter for easy time calculations across time zones.
• A prefix and tool-tip for every clock that you can edit to display, for example, the name of your overseas contact, or business partner.
• The ability to hide the clocks in your system tray in a menu.
• A URL or program link of your choosing, on double-click (eg: display world/local weather, or show a news page).
• Fully configurable timers and stopwatches that track time anywhere from seconds to many weeks.
• Interactive 3D world map that shows time and photos of cities around the globe.

Download Free 30 day trial.

eSignal 11 the Main Screen

The Top Menu Bar

eSMenu

The eS menu bar as shown above is pretty much just like the File menu in most other applications. From this menu bar you can create New Pages, Open Pages, Save Page Create new Layouts, arrange windows and modify application properties.

New Menu

Tools Menu

Watch List

Trade

The Trade menu handles most of the eSignal trade integration functions. From this menu you can handle orders, mange connections to brokers and Money Management planner.

Support

Detailed Quote Window

Charting

• Unlimited Overlays
• Sub-Charts
• View other symbols in sub-chart
• Selectable Studies, Lines
• Drag-and-Drop Studies
• Translucency
• Bars Aligned with Sessions
• Technical Indicators
• Add-On Studies
• EFS
• Back Testing
• Area Chart
• Bar Chart
• Candlestick Chart
• Line Chart
• Drawing Tools
• Tick Intervals
• Percentage Scale

Bottom Line

I have been playing poker online for a few years now and until this week I have been to lazy to properly mange and synchronize my hand history files. I do all my opponent analysis and hand history analysis under Windows. The analysis software I use is Hold’em Manger, Poker Hands, Poker Stove, Sit and Go Wiz and Troutulater. The problem I have been faced with is that I play across three different computers and two different operating systems.

DropBox: Synchronize, Backup and Import

DropBox is an easy and seamless way to synchronize and backup documents across computer’s and the internet. If you have not got an account yet sign up now it is FREE. After you have signed up to DropBox download the desktop application and install it on all desired computers. As I primariliy play on my iMac my laptop or my Windows7 machine; I created a root folder in my DropBox called HandHistory and three sub folders for each computer.

You will only need to define the structure once and it will be synchronized and backed up online.

Change your HandHistory Folder

In all of your poker clients you will need to save the HandHistory data to the desired drop box folder. This will automatically store the data online and synchronize it across computers. In my case I launch my stars client and choose the corresponding DropBox folder.

Final Step

Now that you have configured all your poker clients to save HandHistory’s to your DropBox it is time to configure your analysis software. Just put in the path to your DropBox –> HandHistory folder and now all that is left to do is click import. I have found this to be an excellent solution and is much better then using USB stick or other methods.

Getting The Symbol List’s For ASX Listed Companies

The first step in the process is to download the symbol lists from the ASX website. The ASX listed companies list is updated daily at 12Am. The easiest way to get the data is to download the CSV file, then we can work with it in Excel. As you can see in the image below there are three columns of data: Company Name, ASX Code and GICS Industry Group.

If you are unfamiliar with the GCIS or Global Industry Classification Standard you can read up on it here. Basically it is just the industry group assigned to a specific company by Standard and Poor’s.

Converting and Sorting the Symbol List

eSignal requires the symbol code and then an exchange code to be added on the end. So for example BHP in eSignal would have the code BHP-ASX. There is over 2000 companies that we wish to change the code for so we need to automate the process. In Excel this can be done with a simple formula and a fill. What we want to do is take the text string in column B of our spreed-sheet and add the text string “-ASX” to the end of the stock code. To do this we use the CONCATENATE function, this function takes n text strings and adds them together to form a new string.

As you can see from the above image in cell D1 we simply type: =CONCATENATE(B4, “-ASX”) and we fill down for the entire range and we now have our eSignal symbols ready for export. In order to export our symbol list by GCIS sector we need to custom sort the data first. Simply go to Sort -> Custom Sort and then sort by GCIS Industry Group as shown below.

Creating a New Page in eSignal 11 and Adding a Watch List

The first step is to create a new page in eSignal, to do this go to eSignal menu -> New Page or CTRL + SHIFT + N.

In the New Window template select Watch List. This will add a blank watch list to the page. After the Watch List has been added it is a good idea to save the page. You can do this be right clicking on the page tab and selecting save.

For each GCIS group I will create a new list. To do this simply click on the gear icon to the right of the blank symbol list, now rename the list to the appropriate GCIS group.

Copy and paste the group symbols from the Excel spreed-sheet, save the list rinse and repeat. The image below shows my ASX sorted GCIS watch lists.

In total there are 21 separate lists with 2227 symbols.

]]> http://www.traineetrader.com/esignal-11-creating-your-own-watch-list-ordering-by-sector/feed/ 0 http://www.traineetrader.com/excel-quick-tips-howtouse-format-painter-to-format-cells/ http://www.traineetrader.com/excel-quick-tips-howtouse-format-painter-to-format-cells/#comments Fri, 28 Jan 2011 01:59:13 +0000 Mark http://www.traineetrader.com/?p=1425

In todays Microsoft Excel quick tip we are going to make use of the Format Painter tool. The Format Painter tool allows as to take the formating from one cell and apply it to many other cells.  You can find the Format Painter in the Home Ribbon on the very left hand side as shown.

The Format Painter tool is very simple to use and can be very usefull when you have custom formatted cells.

1. Simply click in the cell that you want to copy the format from.
2. Click on Format painter then the cursor will change to a paintbrush.
3. click and drag to apply format to desired cells.

This Format Painter tool’s really comes in handy when you have custom formatted cells. For standard formatted cells other methods will probably be sufficient.

Naming a Cell in Excel

Simply double click  in the field that is shown in the image below.

Simple Named Cells Example

In this example we will name three cells, InterestRate, Balance and iEarn. After the cells have been named in cell iEarn enter the formula:

= InterestRate * Balance

Another Way you can use named cells is for navigation. Click on the button next to the name cell field and a drop down list of cells will appear. Simply select the desired cell and that region will become active.

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