**Get and keep an advantage on the market**

Congratulations! You have just committed yourself to one of the most difficult exercises in existence today. Algorithmic trading is a fascinating and exciting world. Its learning will allow you to push the boundaries of technical analysis and trading. I wrote this book to help you to design your own automated trading system using Prorealtime. As a first step, I give you a theoretical and conceptual basis needed to design trading algorithms. Then, step by step, I will lead you in the programming of your trading bot. Thereafter, a chapter about the backtest analysis will explain to you how to reduce the risk of over-fitting. I created a machine learning model specially adapted to the optimization of the automated trading systems that you will easily use to configure your trader robot. After running on a real account, you will have to manage your automated trading systems. There are some management rules that you need to know and strictly apply. These rules will allow you to know when to start and stop a trading system. Thanks to this book, you give yourself the means to create a robust and reliable automated trading system.

You will learn all that you need to know to develop a winner automated trading system in this e-book.

**Numerous examples of Prorealtime source codes**

Skills required:

- knowledge of the Prorealtime platform
- have at least a year’s relevant experience in trading
- to know a programming language (vba, basic, etc)

Date of publication | 2021/04/14 |

Editor | Self-publishing |

Format | E-BOOK PDF |

Number of pages | 598 |

#### > Satisfied or your money back <

€49,00

## Description

## Introduction

Algorithmic trading is a double activity that consists of developing an automated decision-maker to operate the financial market. There are many kinds of algorithmic trading, as order routing on markets places, arbitrage between several markets places, automatic hedging, high-frequency arbitrage, automated analyses of the news, or simply swing or day-trading. In my case, I developpe automated trading systems capable of opening and closing an entry, especially on the major index as the DAX30 index.

### What is algorithmic trading?

### Why have I chosen to create automated trading systems?

### What is the style of trading that I have chosen?

### An example of automated building entries

### Automated trading expectations

### Limitations and possibilities of automatic trading

Differences between automatic systems and autonomous systems

Unadaptability of automatic systems

The problem of the unadaptability to the environment

How to resolve the unadaptability of an automated system?

The extremes “complexity versus simplicity”

The management rules

The global context

The decision-making variables

### Why Prorealtime?

The programming language of Prorealtime

Properties of the programming language

ProOrder Autotrading functioning

On which assets can I launch a bot?

## Handling the Prorealtime platform

In this chapter, I am going to give you a quick overview of the Prorealtime platform. I will show you the different interfaces needed to create an automated trading system. I consider that you are already a user of the Prorealtime platform. Thus, I do not come back on the basics of its functioning. You can find a lot of documentation on the official site web of Prorealtime and the site web of Prorealcode.

### Overview of the development environment

Development and test environment

Execution following environment

ProOrder Autotrading window

Opening entries window

Price graphical windows

### Create and launch the first test

Create a ProOrder system

Probacktest and Automated Trading

Probacktest & Automated trading editor

Create by programming

Explanation of example code lines

First bloc

Second bloc

## The great concepts of algorithmic trading

This chapter will take about the concepts that I consider essentials to know before beginning to develop an automated trading system. The purpose of this chapter consists of giving you a theoretical basis allowing you to organize your mind and your work.

### The three pillars of automatic trading

#### Efficiency

Definition

Loss of efficiency

Maintain the efficiency of a system

Concept of software engineering

#### Effectiveness

Definition of the effectiveness

Complexity

Classes of complexities

Reduction of dimensionality

Reduce the dimensionality thanks to the booleans

The principal component analysis

Conclusion about the dimensionality reducing

Reduction of the granularity

The Monté-Carlo algorithm

Alpha-Beta pruning

Effectiveness and complexity – For further

The “ideal” number of technical indicators

Effectiveness and complexity synthesis

#### Performance

Definition

Involve the risk with the performance

Sharpe ratio

Be careful to the latent volatility

Conclusion

### Risk management and integration

Risks related to the automated trading system

Exposure to the financial risk

Financial Risk integration

Example of risk integration

### Trading and Gambling

The heads or tails game

Heads or tails game without fees

The heads or tails game with fees

The roulette gamble

Roulette gamble without the green color

The Martingale roulette gamble with the green color

Conclusions

The transaction cost

The risk by transaction

The spread/expected gain ratio

### Strategy versus Tactic

#### Definitions

Strategy

Tactic

#### Strategical approach

Arbitrage opportunity

Big guys versus little traders

The actions of algorithms and robots

The target prices

The trading strategy cycles

My strategical approach

Conclusions

#### Tactical approach

Zero-sum games

Von Neumann Minimax theorem

MiniMax Algorithm

Is trading is a zero-sum game?

Why the tactical approach?

Should the strategy approach be rejected?

Tactic and strategy meshing

My tactical approach

#### Your two firsts tactical choices

1. Choice of your broker

2. Thin market versus thick market

### The five activities of algorithmic trading

I. Automated systems design

II. Unitary tests and development

III. Backtest and validation

IV. Production launching

V. Automated system management

### Creation cycle of an automated trading system

#### Research and development

#### Trading strategy research

Decision tree

Algorithm of chartist recognition

The conception cycle

#### Model of conception

The Cascade model

The V cycle model

## I. Automated trading system conception

We have now come to the first step to build an automated trading system. This step will take the first time to translate the initial idea into a clear language without ambiguity. In a second time, we have to translate the strategy into a more technical language. That will facilitate the programming stage and will avoid the risk of programming errors. This step is essential because the choices you make now will have a great impact on all the life of your project.

### General conception

Description of the strategy

Decisional description

Functional description

Management rules description

### Example of a general conception

Bolinger bands tightening buying

Decisional description

Functional description

Management rules description

### Detailed conception

Pseudo-code example

Explanation of the algorithm

## II. Development of an automated trading system

Now, we will start the automated trading system programming. To begin, you have to create a ProOrder system on the ProRealTime platform. (see the “Create and launch the first test” chapter) This chapter aims to give you all that you need to develop a complete automated trading system.

### 1. Integrate the transaction cost

DAX spread table

IG Market spread

### 2. Global architecture of the system

Parameters and initialization

Entries opening

Opened entries management

Emergency stop

### 3. Parameters and initialization of the variables

#### Definition of the parameters

PRELOADBARS

CUMULATEORDERS

FLATBEFORE and FLATAFTER

Management of the time frame

Choice of the time frame

Multi time frame

Rebuild a superior time frame

The tick-by-tick mode

Tick-by-tick mode and reliability of a backtest

#### Perception and vision of the market

Human perception

Market perception by a system

#### Define an economic and market calendar

Market trading hours

Market trading days

Vacancy and closed market days

Particular days

Saturday and Sunday cases

Create a “calendar condition”

Central bank days

Wallstreet opening

#### Limit the number of openings by day

Source code to limit the maximal number of opening by a day

Source code explanations

The ideal number of entries by day

#### Initialization and reinitialization of the variables

INTRADAYBARINDEX

Undefined initialization

key takeaways about initialization

### 4. The types of markets

#### Identify the type of the market

The six types of markets

End of the trend and acceleration

Choose a type of market

#### Measure the market trend

Trend indicator slope

Moving average

Linear regression

Linear regression versus Moving average

Quadratic regression

“Smoothing – lag” adjustment of the technical indicators

The three technical configurations generating errors

Eliminate the false signals thanks to the smoothing

The Smoothing/lag ratio

Avoid the false signals thanks to the standard-deviations

#### Reflexion on the linear and polynomial regressions

#### Example of bullish trend market detection

Source code to recognize a bullish market

Interpretation of the result

#### Measurement of the market volatility

Measurement of the historical volatility

Implicit volatility

#### Market characteristics of the raw materials

Supply and demand balance

The seasonality

The storage capacities

Conclusions of raw materials

#### Measure the acceleration of the market

Measuring price direction

Measuring price acceleration

### 5. Open an entry

#### Configure the stop-loss and the target

Static positioning of the stop-loss and the target

Dynamic setting of the stop-loss and the target

The Grid algorithms

Algorithm of stop-loss range adjustment

My personal choice about stop-loss and target positioning

#### Opening entry instructions

Structure of the opening entry instruction

Open a long or short entry

Number of contracts by order

The types of entry opening orders

Trigger range orders

The validity period of the LIMIT and STOP orders

The time between two entries

#### Entry status of your trading system

How to use the entry state variables?

#### Entry opening conditions

Market conditions

Conditions of your trading strategy

### 6. Manage an opened entry

#### Stop-loss and target initialization

The four types of stop-losses

The four types of targets

Example of stop-loss and target positioning

#### Stop-loss and target management

Modification of the stop-loss and the target

Inactivation of stop-loss and target

Trailing stop-loss

#### Program a trailing stop-loss

The two type of trailing stop-loss

Trailing stop algorithm

#### Reinitialization of the variables

Loss of efficiency risk

Unexpected entry opening risk

Create a reset block

#### Target overwriting

Chose a moving average as a target

#### Algorithm of the Hundreds

The indicator of the hundreds

Algorithm of the rounded price detection

Choose the hundred as a target

#### Monthly pivot

Multi-timeframe monthly pivots settings

#### Profit securing algorithm

Needed variables to the profit securing algorithm

Management and adjustment of the STOP order

#### Replace the target with a stop order

Additional conditions to start the profit securing

Algorithm of the conditional activation of the stop selling

Enrich the algorithm of the stop selling order activation

### 7. Emergency stop of a trading system

#### The QUIT instruction

Warning on the QUIT instruction

Example of a QUIT instruction

#### When to stop a trading system?

Stop due to excessive volatility

Stop due to breakout of support

Stop due to excessive losses

## III. Analysis of the backtests

The backtest analysis is one of the most important activities about automated trading system development. If you have a little experience in developing trading systems using Prorealtime, you may be already noted that finding a winner trading strategy is finally easy. The real difficulty is to find a strategy that will continue to make profits in the future. In this chapter, I will present the concepts, and the methods that I believe are necessary to find a trading strategy giving a stable result over time.

### Launch a backtest on Prorealtime

### Reading of a backtest result

Detailed report

The analysis metrics of a backtest

Gains and losses

Distribution of the trades

Times

Advanced widgets

### Measure the efficiency of a trading system

### Identify the common denominator

### Is your trading system is over-optimized?

The two main risks of over-optimization

Example of over-optimization by an excessive precision

Example of over-optimization by an error of generalization

### Evaluate the robustness of trading strategy at first glance

#### Global standard-deviation of your strategy

Too large standard deviation

Acceptable standard deviation

#### Earnings distribution

Too concentrated earnings distribution

Dispersed earnings distribution

#### The measure of Tracking Error

Tracking error of a strategy

#### The profit/loss ratio

Too low profit/loss ratio

Consequences of a too low profit/loss ratio

#### Profit securing

#### Time in the market

Standard-deviation of time in the market

The increasing of the time in the market

#### Duration of latent loss

#### Summary about the first visual controls

### The stress-tests

#### Spread increase

How to conduct this stress test?

Simulation of spread increasing

Simulation running with Python

Simulation of spread increasing on Probacktest

Over-fitted strategy behavior

Under-fitted strategy behavior

Summary of spread increasing simulations and tests

#### Trigger stop loss by a single point

Why do this test?

Method of the test

Generalization of this methodology

Trigger stop-loss summary

#### Simulate the back to heads or tails

The example of an asymmetrical strategy

Back to heads or tails of an asymmetrical strategy

The example of the symmetrical strategy

Back to heads or tails of a symmetrical strategy

Make your simulations thanks to Python

Conclusion about back to heads or tails test

#### Series of losses and worst possible case

Estimate the series of losses cost

Worst possible case simulation

#### Flash crash simulation

USD/CHF Flash crash of 2015/01/15 :

Stress-tests summary

### Optimization of the variables

#### Optimizer of the variable functioning

#### Launch the optimizer of the variables

Open the window of the optimizer

Optimizer window

#### Optimize a variable

Add a variable to the optimizer

Configure the interval and the step

Run the optimizer

Reading the result of the optimizer

Optimization of the variables and tick-by-tick mode

Sort the result of the optimizer

Deeping the interval of values

#### The orphan values

How to know if a value is orphan?

Conclusion

### The Gradient Descent algorithm

#### Concepts and definitions

Definition of the Gradient-Descent algorithm

Convex and non-convex functions

The Cost of error

Minimum

The cost function

#### Why use the Gradient-Descent algorithm?

#### How to use the Gradient Descent algorithm?

Evolution of the gains

The gain curve

Concave adjustment of the result using Excel

Create a chart thanks to Excel

Localize the global maximum

Choose a value

#### The limits of the Gradient Descent algorithm

The displacement of the minimums and the maximums

Summary about the Gradient Descent algorithm

### Walk-Forward Optimization

#### Concepts and definitions

What about the Walk-Forward Optimization?

Temporal series

Training set

Test set

Walk-Forward Efficiency

#### Run a Walk-Forward Optimization

Activate the Walk-Forward

First result of the Walk-Forward optimization

First interpretation of the result

Second Walk-Forward optimization

Second result of the Walk-Forward optimization

Second interpretation of the result

Unique event cancellation

Third interpretation of the result

#### Interpretation of the Walk-Forward optimization result

#### Comparison of the standard-deviation

#### The limits of the Walk-Forward optimization

#### Summary about the Walk-Forward optimization

### Stochastic modeling

#### Concepts and definitions

Definition of the stochastic test

Purpose of the stochastic test

#### Application of the test on Prorealtime

Back to the spread increase test

How to process stochastic modeling on Prorealtime?

Validation requirements of the test

What are we trying to find?

#### Unitary test of stochastic modeling

Initial problematic

The unitary stochastic modeling goal

Unitary test running

Interpretation of the result

#### Global Stochastic modeling test

Global Stochastic modeling test goal

Global test running

Result of the global stochastic modeling test

Interpretation of the result

#### Generalization of the stochastic modeling

#### The limitations of the stochastic modeling

#### Conclusion about the stochastic modeling

### GD-SM Optimization model

#### Presentation of the GD-SM model

Definition of the GD-SM optimization

Why use the GD-SM optimization?

Application of the classical model to the financial market

#### Functioning of the GD-SM modeling

1. Selection of the possible values

2. Validation of possible values

The limits of the GD-SM

#### Summary about the GD-SM optimization

### Entry opening after the entry point

Entry opening delayed

Backtest the delay of a trading strategy

Result of the delay backtest

Interpretation of the result

### Build a position

Why build a position?

How to build a position?

Why separate your systems to build a position?

The rules to build a position

1. Choose an appropriate strategy

2. Define an opening range

3. Recheck the market conditions

Source code to build a position

Example of position building

Explanation of the source code

Example of a built position

### Efficiency environment

Concept and definition

Limit the risk of uncertainty

The equation of the efficient environment

The voluntary under-optimization of the system

Management of trading systems

### Controls of the strategic choices

Exposition to the financial risks

Long or short only

The chosen type of market

Operated asset

The market calendar

The limitation to the known market

Normal functioning of the market

The example of the standard error

Closed or broken markets

Quotation problems

Null or very few volumes

Detect the without body candles

### Is my trading strategy becoming obsolete?

The cycle of a trading strategy

The obsolescence signs

The increase of the time in the market

The increase of the time in latent loss

The increase of the variance of the return

The spread increase retest

The stop-loss too near to a support

The market dangerously comes near your stop-loss

### Acceptance tests of the automated trading systems

The acceptance recipe

Example of an acceptance recipe

Acceptance recipe of the overfitting risk management

### Backtest summary

The more probable behavior of a trading system

The trick to save money and time

## IV. The Production launching

The production launching is the last step after the acceptance of your automated trading system. This activity consists of putting your trading system in an execution environment. After that, your robot will operate the market buying and selling entries. This step is simple, but it includes some controls named “prerequisite validation”.

### The production launching steps

I. The validation of the prerequisites

1. Validation of the acceptation

2. Automated trading preferences

3. Details of the trading system

4. Risk management

II. The production launching

1. Relaunch a backtest

2. Send the trading system to ProOrder

3. Start the robot

4. Confirm the launch

### The minutes of the production launching

Example of production launching minutes

Activation and verification after production launching

## V. Management of the automated trading systems

Unfortunately, hold an automated trading system does not mean that there is nothing you can do about it after the product launching. As I said at the beginning of this book, automated trading systems are not autonomous. Consequently, several measures need to be taken to guarantee the proper functioning of your set of trading systems. In this chapter, I will show you how to manage an automated trading system. I will take about the opened entry monitoring, incidents management, and continuous auditing of the trading system efficiency.

### Opened entry monitoring

Create a specific interface dedicated to the entry monitoring

The ProOrder AutoTrading window

Opened entries window

Price charts

My dedicated interface to the system management interface

Manually regain an entry

Why manually regain an entry?

How to manually regain an opened entry?

Crash of an automated trading system

### Manage the technical incidents

The different types of incidents

What to do in case of quotation failure?

Prepare your action plan

Quotation failure from a marketplace

Quotation failure of derivatives

What to do in case of trading safeguards activation?

Exploding of the spread

What to do in case of network failure?

Have a second network connection

Contact the customer service

What to do in case of an automated trading system crash?

Infrastructure monitoring

IG trading platform status

Marketplace status

### The continual checking of the trading system efficiency

The continued test running

Entry analysis

Know the not managed and not tested events

### Strategy management using z-score

Management methods of trading systems

The series of losses risk

Description of the decision model

Calculation and measure of the z-score

Calculation of the z-score in Excel

Z-score management rules

Remind about the z-score interpretation

Decision threshold to stop a strategy

Management rule to stop a strategy

Management rule to stop a strategy

Management rule to start a new strategy

Example of the application of the z-score on a real account

The limits of the z-score using

## Overall conclusions

## References and Bibliography

## Annex

### Source code to find a trading strategy

Source code to four technical indicators

Source code to five technical indicators

## 7 reviews for Automated trading using Prorealtime – ebook

Only logged in customers who have purchased this product may leave a review.

5out of 5Christer Hedman–Wow! I’ve just read the table of contents… it’s really impressive! It looks like a really good introduction to automated trading. How many hours have you worked on the book?

This looks like an awesome new book about automated trading using Prorealtime from @ArtificallCom. Check out the table of contents. Both scope and depth looks really impressive.

I bought your book now. Looking forward to read it and add some of your knowledge and insights to my own.

Vivien Schmitt–Hi Christer,

Thank you for purchasing and for your comment 🙂

I spent a complete year writing and translate this ebook. It was tough but a great experience.

Thank you once again 🙂

5out of 5Traderherz–Congrats to Vivien from for publishing the english version of his ebook about automated trading!

Good, good work Vivien! Congratulations!!

5out of 5ProRealAlgos–Looking to learn more about automated trading with a starting point in the

@ProRealTime trading software?

There are things to learn for both beginners aswell as experienced developers in this e-book.

Written by Vivien @ArtificallCom, a big contributor to the community!

5out of 5Mattias Hansson–Just bought it. Looking forward to have a look through it The coming week

5out of 5RoboFuturesTrdr–Grabbed a copy and its looking great

Ruark Baker

4out of 5Peter–The prorealtime programming guide doesn’t explain in detail how the code works. This book fill in some gaps and has quite a few examples and ideas. It has paid for itself quickly just on use of the ‘QUIT’ instruction alone. I am finding it very helpful.

5out of 5Olivier T.–This book is impressive: it combines multiple disciplines such software engineering, math, trading of course…

it is very clear with simple to understand. Congratulations to the author!