TradersStudio® is designed for traders by traders
My name is Murray Ruggiero and I have been in the trading business for many years. I am currently the Chief System Designer for Tuttle Tactical Management which currently manages over $200 million. 13 years ago I began designing a software platform that had what real traders needed – what I needed – to trade effectively. Over the course of developing TradersStudio, I have worked with many of my professional money management friends to get their feedback and integrate their needs within the platform. Buying TradersStudio gets you a platform that is used by successful, career-long traders.
We have focused many recent blog posts on how TradersStudio meets the needs of professional traders. We have talked about backtesting in realistic market conditions and how to keep trades in sync. I want to help you understand why I built TradersStudio and how it can help you in your own system research and development, as it has helped me for the past 13 years.
Originally, I began developing TradersStudio to meet my own trading needs. 13 years ago there were no platforms that supported portfolio-based backtesting in a way that I thought it should be done. In addition, these old software platforms only allowed for implementing advanced money management strategies on one system, not on multiple systems. These two problems were enough motivation to develop TradersStudio in a way that solved both of them. I also added additional features that real traders need, like dealing with splits and dividends correctly in equity trading.
TradersStudio is based on two fundamental premises:
The session is a structure which allows you to run one or more markets on a given trading system strategy. This system can be optimized across a single market using a single market session, or a basket of markets, and then return the best set of parameters for the basket as a whole. You can even look at the individual results for each market in the optimization without having to re-run the optimization.
The Trade Plan
The trade plan allows you to combine one or more sessions and apply money management rules. Within a trade plan, you can allocate different amounts of money to each session and apply any sizing algorithm that you can dream and code. It is even easy to implement dynamic rebalancing to keep a portfolio with imbalance. Another powerful feature is the fact that from a trade plan, we can even issue trades. This is how we do dynamic rebalancing. But even more important that will allow us to the easily implement a relative strength-based model for trading stocks and ETFs. Other things the trade plan allows us to do is optimize at the trade plan level. With a few little tricks, we can pass to the optimization engine the value of the parameter through to the session level and now be able to optimize your money management for a given system. This is better than just passing the best set of parameters with a one lot in into the future trading.
Features For All Types of Traders
TradersStudio offers features for all types of traders. If you trade futures, for example, TradersStudio allows you to develop systems based on portfolios. You can also optimize the parameters of the triple moving average crossover on the whole basket and get the best set of the parameters on the basket as well as the best set for each market without rerunning the optimization. You can even take more in futures and integrate them into the portfolios and have your profits converted automatically daily to dollars based on exchange. If you update the data universal table, TradersStudio can also have updated margins and create reports which shows you which percentage of margin you are trading as well as the maximum and average numbers. You know how much margin is tied up in each asset class. We cover optimizing such a system in our tutorial: Optimizing a Trend Following System with Money Management. This, and our other tutorials on trading can help both established and new traders improve their strategies.
Forex Trading Tools
There are features for Forex traders in TradersStudio. This software handles the interest cost of carry calculation. Once you have the interest rate files for each currency, this software can use the LIBOR rate of each country to calculate the interest cost of carry. You want to deal with margin on your Forex account which is calculated based on the value of the contract currently and then delivered using the multiplier you are applying.
ETF and Stock Traders
In the area of trading stocks and ETFs, TradersStudio is unmatched in its features and capabilities. As I have earlier discussed, I’ve developed trading systems for Tuttle Tactical Management which manages $200 million dollars in ETFs so this is my area of expertise. TradersStudio has long had a feature which we called the “TradersStudio Stock” format. We use three data streams – split-adjusted only, unadjusted, and dividend-only. Recently, we showed how this format allows you to get realistic results. The key is the dividend-only adjusted data. CSI data is the only vendor which will supply the dividend data without splits. Most other vendors are worried about people stealing dividend data out of it so they won’t allow the data to be exported as dividend-only adjusted, and you have to have a data stream with split and dividends combined. If you use CSI equity data you can you can then use TradersStudio stock format. Now all the splits and all the dividends in the trading system can now be included in our simulations and we can enter trades using the real price of the stock or ETF. In addition, TradersStudio can even do buy and hold analysis for a strategy using TradersStudio Stock format without running at the trade plan level using just one line of code. For example, if we did buy and hold analysis on Microsoft stock and started with 1 share in 1986, we would be buying 288 shares today because that is the current split ratio if we wanted to do a buy and hold comparison.
The big key is that if we use only simple split adjusted data and want to trade a basket of equites you must buy the same dollar value of each equity. This is very hard to do, because you must maintain this same dollar value, which means that you must rebalance constantly.
In addition you can’t use any type of volatility-based sizing or even issue stops because getting stopped out means that you now have cash as part of the portfiolo and that further clouds the problem with splits. Assume you had a $100,000 account and wanted to buy $10,000 with a different ETF. If your trading was very volatile, say at 20% range over the past 40 days, but you only wanted to risk 1% of your account ($1,000) on any given trade, you would not be able to buy the full $10,000 worth of that ETF because with a 20% volatility range you would be risking $2,000. In order to only risk 20%, you would only be able to buy $5,000. The problem is that you can’t buy $5,000 of that ETF and $10,000 worth of the others. This shows how limited buying using split adjusted only data is in trading equities.
TradersStudio and CSI data solves all of these issues. TradersStudio even includes a simple relative strength trading model for ETFs and stocks which is similar to the ones used by professional money managers. I know this because it was the original prototype for my systems. TradersStudio also makes it easy as it comes with an example of how to do that. TradersStudio Turbo ships with an example that shows you how to implement a relative strength based ETF model as well as relative strength based stock model. Other key features for stock traders is the fact that TradersStudio can optimize on a basket of markets. Even at the trade plan level we want to implement passing parameters though a trade plan which can dynamically rebalance our equity position and have it optimize across the basket of markets. For example, we could develop a stock system which consists of trading the entire S&P 500 or the universe of all North American ETFs and optimize for the best MAR ratio on that basket. This type of optimization is even more powerful since we have added multicore support in TradersStudio Turbo as well as a completely rewritten Genetic Optimizer.
Walk Forward Optimizer
TradersStudio’s walk forward optimizer is the best in the game. This tutorial on walk forward analysis explains how the concept works. TradersStudio is the leader in this advanced technology as it had the tables which shows you the training (in sample) results as well as the out of sample results for each trading window. You can even see how the parameters have changed over time. You can optimize the trading period using Net Profit, NetProfit/Drawdown, or a custom function which you write yourself.
Next we have different trade windows, showing the trade by trade for both the training period as well as the out of sample periods. We also have trades for each out of sample period and fix up the boundaries of these when the changing parameters cause trades on the boundary to change. You can use three different rules to manage these boundary trades and see how this effects your results by just clicking on the list box. These options are “exit all trades on the boundary and reenter only new signal”, “exit only if the direction of the trade changes on the boundary in between the Windows”, “exit each trade and then reenter in the position that the set of parameters is currently in”.
Another big advantage of our walk forward system is that it can generate standard reports just like a normal system showing only out of sample results. In addition it can even generate the next day’s trade. TradersStudio includes the only walk forward optimizer which can actually be used for trading! We are improving this in TradersStudio Turbo 2.0, which will a free upgrade for all Turbo users.
Additionally, we are adding a feature in 2.0 which we call “live walk forward”. This will allow you to take a walk forward analysis and convert it to something which can be loaded each day without re-running the walk forward and only run it when the out of sample windows reaches the end and we need to re-train. We will then only run this new window. These live walk forward sessions can also be run as part of a trade plan without any special programming tricks and be used as a system that is actively being traded. You’ll then be able to run the system just like a normal system including trade money management because of TradersStudio.
TradersStudio Color Reports
TradersStudio Color Reports are TradersStudio answer to RadarScreen. You can use color charts and write scripts which can be used to scan many markets and the run the scripts to visually see your analysis. You can also chart any market you are scanning by simplly pressing a button on your color report.
Use Your TradeStation Code in TradersStudio
You can migrate your existing TradeStation functions and strategies into TradersStudio. You simply need to copy the code out of the EasyLanguage Editor or notepad and paste it into the TradersStudio migration tool. With just a few clicks you can migrate your TradeStation code over to TradersStudio 90-95% of the time. The changes required are often small and will only take a few minutes to make the code run perfectly in TradersStudio.
TradersStudio Global Macro Language
One of the most powerful features of TradersStudio is the global macro language which lets you automate anything which can be done from a menu and dialog boxes as well as access any statistical information generated. In addition, these macros can be used to generate special reports and do special analysis. For examplem TradersStudio comes with an example Monti-Carlo Simulation Tool, which is written as a macro. You can modify this macro code so it can be used on any session.
You can automate your research using TradersStudio Macros and run your test and save the results. You can also use the macro scheduler so that you can run a given macro at a given time. For example, traders can run something so the orders are ready when you get up in the morning.
TradersStudio has an amazing custom report feature. You can write a custom report script and call it from any system and output any type of custom report you want. This product includes a market by market breakdown report script, custom trade by trade, as well as a custom active order report.
TradersStudio has three built in backtesters. The first one which you see generates the reports. Also included are two virtual backtesters which allow you to test a system and have access to all the systems statistics on a bar by bar basis. This allows you to easily design a system that uses its equity curve to filter signals or implement something like the turtle filter rules regarding the last trade in just 3-4 lines of code. You can even use it from a trade plan and switch between trading strategies based on the equity curve. In fact, we showed how to use these virtual backtesters to build a system that was improved by equity curve feedback.
Add-ins and a Rich API
TradersStudio has a rich API for developing add-ins. All of the processor API functions available from script are available from an addin. In fact the Genetic Optimizer is written using this API. You can code addins in .NET, VB or C# as well as C++ as COM Dlls.