metastock zentrader example

8/12/2019 Metastock Zentrader Example

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Phase 2: System development & system test (implementation)

The settings in the Metastock Tools "Enhanced System Tester" are

represented in the following on the basis of several screenshots for this

practical example.

General settings / Register General:

Figure 3.5: Metastock General System Settings


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Register Buy Order:

Figure 3.6: Metastock Buy Order

Important hereby the brackets and the ref function [ref(hr,1)] concerning

the trading rule HR [ref(black(),-1)] in the second row of the program

code as well as the setting of the "Strategic Delay" (= 1). Otherwise it

would not be possible with the Metastock EOD version to implement the

fact, that the open position is to be closed on the same day!

.


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Register Sell Order:

Figure 3.7: Metastock Sell Order

Thereby the use of the special hidden internal Metastock function

Simulation.LongPositionCount is important, in order to determine an

open long position. Only if this position is detected, the sell order can

function.

The "Delay" which have to be adjusted is here 0 days.


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Register Sell Short Order:

Figure 3.8: Metastock Sell Short Order

Important hereby the brackets and the ref function [ref(hr,1)] concerning

the trading rule HR [ref(white(),-1)] in the second row of the program

code as well as the setting of the "Strategic Delay" (= 1). Otherwise it

would not be possible with the Metastock EOD version to implement the

fact, that the open position is to be closed on the same day!


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Register Buy to Cover Order:

Figure 3.9: Metastock Buy to Cover Order

Thereby the use of the special hidden internal Metastock function

Simulation.ShortPositionCount is important, in order to determine an

open short position. Only if this position is detected, the buy to cover

order can function.

The "Delay" which have to be adjusted is here 0 days.


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Register Stops:

Figure 3.10: Metastock Stop Settings

In the example both for long and for short orders a stop loss of 10 points

is set in each case. Other stops, e.g. trailing stops are not used in our

example.

The register "Optimizations" is not used in the example, since here we

use no optional parameter settings.


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System test and data selection for the trading simulation run (system

test) in Metastock:

Figure 3.11: Metastock System Test Data Selection

Here "DAX Index" data are used on daily basis from January 2000 until

December 2005. I.e. that this system in the backtest is tested over 6

years on the basis of historical data.


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System test and selection of test options:

Figure 3.12: Metastock System Test Options

We select a "Points Only Test", because we will simulate a trading of a

point-oriented leverage product (to compare: leverage of the point-

oriented DAX Future is 25) with DAX Index data.

Clicking the More..."-Button shows another windows dialogue with

fields for commissions, trading times, slippage etc.


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Setting of commissions:

Figure 3.13: Metastock System Test Commissions

For each transaction (buy or sell) 0.24 points of the DAX Index product

are calculated. We use for our product the same values as for the real

DAX Future (since one point in the DAX Future has a present up-to-

date value of 25 , 0.24 points mean thus as an example 6 fee for a

half turn and/or 12 fee for a round turn).


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Setting of trading times and slippage:

Figure 3.14: Metastock System Test Trade Execeution

The settings for the trade price have to be done like above indicated for

buy and sell actions which can be simulated in the EOD version of

Metastock, in order to ensure the correctness of the simulation refe-

rencing the trading rules and parameters configured before.

I.e., actions (Buy or Sell Short) in each case at the open price, cash

sweep actions (Sell or Buy to Cover) in each case at the close price, the

delay is to be adjusted in this mask to "0".

Slippage is adjusted in the example for each transaction (buy or sell) to

2 points.


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Finally the Metastock systematic test is started and supplies the following

result, which can be called up via register "Summary".

Register Summary (extract):

Figure 3.15: Metastock System Test Summary

This simple system obtained 4,943 points with one contract and proved

thereby even as profitable. Nevertheless trading a DAX Index product

like the DAX Future 4,943 points correspond to a tax-free gross profit of

123,575 in 6 years. The system was realistically traded and wasevaluated with consideration of real commissions and 2 points slippage

per transaction.

Although only 311 of the 1,526 trades were profitable (20%), ensured

the risk management (stop of 10 points and the avoidance of

Overnight-positions) ensure for this positive result. Max. Account

Drawdown in this test was only -156 points or -3,900 .


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Further evaluations, which are delivered by the software Metastock refer

to the individual orders, positions and the equity curve. This curve is

represented below:

Figure 3.16: Metastock System Test Equity Curve

As already said, this is only an example and you can see clearly, that this

system with his equity curve would have given little joy for users of such

a system starting from 2003 or 2004.On the other side, at the end of 2002, or at the beginning of 2003 a

system designer probably have judged such a system still relatively

positive.

But with the whole knowledge at the end of year 2005 no professional

system developer would trade such a system at the real markets.


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In order to show graphically that the trading concept was correctly

implemented and in accordance with each day the trading rules were

traded correctly, that is to open a position in the morning and close that

position with a stop (round symbol) or at the latest at the close price of

the same day with an exit (angular symbol), an extract from the time

series with the signals is represented here:

Figure 3.17: Metastock System Test, Price Bars and Signals


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In a scenario of an idealized system development and system test

process a simulation phase (phase 3) would follow now, in order to

simulate expected profits and drawdowns under the influence from

random variables. However such a possibility most software packages

do not offer today, so developers and traders make sometimes the fatal

error to begin to trade directly the real markets (crucial phase 4) due to

the test result of only one historical data set of prices and sometimes due

to only one systematic test.

The deficits of this kind of system development and system test

process concerning mechanical trading systems is to be represented in

the next section.

metastock zentrader example

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