An Instrument to Increase Liquidity of Trading Strategies on the Financial Markets

Info
14/08/2019

Introduction

Nowadays, every trader, algorithmic company, or an investment broker makes everything to reduce the percentage of losing trades to 0. Investment markets are constantly developing, and a great number of new systems is created whose goal is to solve the above problem and optimize trading processes. Main factors determining the success of a company in the financial markets are the company’s skills to act quickly and to adapt innovative trading solutions for its market strategies.

Quick adaptation to the market trends and fast response to the market changes are possible due to technological progress, new developments appearing in the trading market. The most flexible and dynamic trading algorithmic constructor is a vital instrument for creating profitable trading strategies. Such is the core of Investy Company products, which will be discussed in the article.



Advantages of Investy Algorithmic Constructor

Results Verification

The core has an implemented mechanism for evaluating the efficiency of the trading strategies, which allows an analyst or a trader to avoid inefficient hypotheses and improve already working solutions. The following methods are used to analyze strategy efficiency:

• Sharpe ratio;

• Profit factor;

• Percentage of profitable and losing trades;

• Traded volume.



Core Architecture


Investy team designed a flexible core architecture based on its specialists’ previous experience of developing backtesters and trading strategies. Core architecture allows you to quickly execute all computing tasks and to add new functionality in no time when necessary.



Machine Learning


Trading algorithmic constructor architecture provides for a possibility of the machine learning application. It’s also possible to connect third-party software that will form the tasks for backtesting, execute them, and learn from the obtained results.



Platform Components Description




(Fig 1. Strategy Algorithm)



Indicator

It is a basic component corresponding to the classic definition of “indicator” in the investment and trading industries. It has the following features:

• Performs computations and returns results in the form of one or more data arrays;

• Has one or more value for any specific time;

• Can be used by other Filters;

• Calculated only when necessary;

• Implements basic logic;

• Has access to market data.

Example: Moving average, MACD, Stochastic, Bolinger bands, etc.



Filter


It is a component that analyzes market data, indicators and returns a boolean result (true/false) at any specific time. It performs so-called filtering of market signals and processes data from indicators. Filter component may contain an analyzer of any complexity, including methods of machine learning. It has the following features:

• Performs computations and returns results in the form of a boolean value;

• Can be used in boolean formulas;

• Has one value for any specific time;

• Calculated only when necessary;

• Can perform analysis of any complexity;

• Can use Indicators data;

• Has access to market data.

Example: crossing of indicators, detection of a trend, high volatility detector, overbought or oversold, etc.



Action

It is a component responsible for opening and closing positions, changing take profit and stop loss. Action also implements a certain scenario of position support. Action can be one-time or a series of actions according to the scenario for a long time. It has the following features:

• Performs trading actions based on the conducted analysis;

• Calculated for every iteration;

• Has access to market data and trading account data.

Example: Trailing stop, algorithm for moving stop loss to breakeven, etc.



Trigger

It is a component that analyzes information from the trading account, opened or closed positions, and market data. Trigger serves as an initiator of action. It can be of 3 types: for opening a position, for closing a position, or for doing both at the same time. The component has this name as it notifies about trading or system events. It has the following features:

• Performs computations and returns results in the form of a boolean value;

• Can be used in boolean formulas;

• Has one value for any specific time;

• Calculated only when necessary;

• Has access to market data and trading account data.

Example: fact of long-term open position, risk violation, etc.



Trading Strategy Sample

Description

Let’s take a look at a simple demo strategy for trading JPM share.

General strategy settings:

• Trading instrument — JPM;

• Trading volume — 100 shares (1 contract);

• Only one open position is allowed at a time.

Conditions for opening a position:

• Trend is present on Moving Average Indicator (Indicator type SMA, period 20, bias 0). The trend is analyzed over the last 20 bars, signal without direction inversion (Filter FSimpleTrend).

Conditions for closing a position:

• Take profit 0.5%;

• Stop loss 0.5%;

• Moving the position to breakeven upon achieving profit of 0.26% with bias +0.05% (Action ApositionBreakeven);

• Forced closing of the position when the timer reaches 3880 minutes (Trigger TPositionCloseTimer).

Profit graph of the demo strategy tested on 22 days worth of market data is provided in Figure 2.



(Fig. 2)

You can see the examples of the trading positions in Figure 3.



(Fig. 3)



Custom Solutions

Investy company provides services for the development of new components if those are necessary during analysis and strategies assembly. It also provides services for the development of new functionality and new API connectors for various brokers and exchanges. The program code of the components and its logic remains on the client-side and is not passed to Investy.

The integration process may look as follows:

• Investy provides SDK and specifications for each type of components;

• Customer develops necessary components with the use of SDK;

• Customer launches service with the new components on his server;

• Investy server accesses the client service each time the computed data of the components are received.


 

Investy benefits
0% fee
on trades

There’s no extra commission fee for trade operations. Trade without limits

Without difficulties and KYC

There’s no verification procedure. Put your exchange account and start using

Copying successful
deals

Follow professional traders and copy their deals without the transfer of funds. Payment is charged only after successful deal and profit

All the statistic
in front of you

Monitor the results of trading on your accounts together or separately. Evaluate the effectiveness of each position and improve your results.

Trading tools

Set "Limit order" on purchase, "Stop loss" and "Take profit" at the same time!

Automate the
process

Such tool as “Trailing” allow you to get extra income without wasting of time

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