I would like to start a discussion on how to improve the overall design of the WL interface and workflow.
I have noticed that the interface supports many trading styles including
trading from Charts, Using the Strategy Monitor, Using a Strategy Window, Using a Meta Strategy.
I have noticed that everyone asks the question which tool is best for my situation.
I have noticed that merging the whole backtest and live trading together seems to confuse everyone because they are two separate ideas. However, it makes sense for the most part sense the next day or bar signals are the ones that you care about. If you want to go live you still need to run a backtest for 3-4 weeks or whatever length is relevant to the indicators in your strategy to generate next day signals.
In my opinion, more people will use this software if the interface is as intuitive as possible without so many diverse workflows, settings and preferences lumped together.
I am probably going to get punched in the face for this, but here it goes.
I propose the following changes to the interface.
------------------------------------------------------
1. Fully embrace and develop further the Meta Strategy concept as the "only" way to run a strategy and call it Portfolio.
2. Keep the Individual Strategy Window concept to use as building blocks for the Meta Strategy (Portfolio).
- If there is only one strategy in the Meta Strategy that is fine.
- The meta strategy is capable of EOD and intraday trading be default.
3. Move the Strategy Monitor concept into a new tab within the Meta Strategy
4. Keep Chart tab concept within Meta Strategy to allow trading on Charts
- Choose Strategy
5. Signal Window would remain
- Filter by Strategy
- Show/Hide NSFs
6. In the Meta Strategy have a New Tab called "Trading Mode".
- Live Trading Mode - no need to set date range (hidden) and generates signals for next day or bar by leveraging the Strategy Monitor. Strategies are automatically added to and tracked by the Strategy Monitor (tab within Meta Strategy) based on the strategies added to Meta Strategy. There are no backtest results since this is for live trading.
- Backtesting Mode - use as normal, but no need for next day signals. This is a historical test.
*** if needed include the ability to select EOD or Intraday for each trading mode. I assume this would simplify organization of preferences greatly.
7. For "Live Trading mode" keep track of actual trades placed and all metrics to be ran on this to show a better view of how each strategy is doing with start date shown.
- Would need a way to reset Trading history if the user desired to restart or archive up to a certain point.
8. For "Backtesting mode" no need to keep track of previous trades. Hide Signals Window.
9. Preferences - Modify as needed separate into Live Mode, Backtesting, Global
10. Find solution to allow applying Portfolio Weighting concept in Meta Strategy to cash available at broker. I assume this is not that simple.
- Under Position Sizing | Starting Capital. Here, based on the trading mode you are in (Live Mode or Backtesting), you will either get cash from Broker so that you can show each strategies available cash (per weight) and allow adjustments based on weight. For backtesting it stays as is. If this is not possible based on broker compatibility, then require additional accounts or sub-accounts for each strategy. I believe this option already exists.
11. Find solution for controlling the number of open positions with Broker. If you can do this manually by looking at the signals then you can do it in code.
- first thing that comes to mind is a Positions Manager for each strategy where each Transaction goes through before the order is sent to the Order Manager to be placed with broker. This would definitely allow controlling the number of positions based on user settings. A control on the number of positions allows for better capital allocation. Example: Knowing the max number of positions per strategy in conjunction with a Shared Capital pool with 1 account begins to make much more sense. This allows you allocate cash to each strategy properly. As a matter of fact, the Position Manager functionality might solve the whole allocating cash with Portfolio Weighting with 1 account at broker problem.
12. Update Documentation so that it is clear. It is hard to imagine that this design would not be intuitive to almost anyone with only two
concepts: Strategy, Portfolio.
13. Continue to allow multiple windows so that you can trade multiple Portfolios.
14. If supported by broker, allow tag to be sent with order to broker to allow tracking trades per strategy at broker.
I did this in a short amount of time so there may be much more to flush out. However, it does not look like there is much new code to write here. Mainly moving things around. I would assume that after the change this would greatly simplify development since
any bugs would be noticed very quickly. This would definitely remove any confusion on how the software should be used.
Any thoughts on all of this?
I have noticed that the interface supports many trading styles including
trading from Charts, Using the Strategy Monitor, Using a Strategy Window, Using a Meta Strategy.
I have noticed that everyone asks the question which tool is best for my situation.
I have noticed that merging the whole backtest and live trading together seems to confuse everyone because they are two separate ideas. However, it makes sense for the most part sense the next day or bar signals are the ones that you care about. If you want to go live you still need to run a backtest for 3-4 weeks or whatever length is relevant to the indicators in your strategy to generate next day signals.
In my opinion, more people will use this software if the interface is as intuitive as possible without so many diverse workflows, settings and preferences lumped together.
I am probably going to get punched in the face for this, but here it goes.
I propose the following changes to the interface.
------------------------------------------------------
1. Fully embrace and develop further the Meta Strategy concept as the "only" way to run a strategy and call it Portfolio.
2. Keep the Individual Strategy Window concept to use as building blocks for the Meta Strategy (Portfolio).
- If there is only one strategy in the Meta Strategy that is fine.
- The meta strategy is capable of EOD and intraday trading be default.
3. Move the Strategy Monitor concept into a new tab within the Meta Strategy
4. Keep Chart tab concept within Meta Strategy to allow trading on Charts
- Choose Strategy
5. Signal Window would remain
- Filter by Strategy
- Show/Hide NSFs
6. In the Meta Strategy have a New Tab called "Trading Mode".
- Live Trading Mode - no need to set date range (hidden) and generates signals for next day or bar by leveraging the Strategy Monitor. Strategies are automatically added to and tracked by the Strategy Monitor (tab within Meta Strategy) based on the strategies added to Meta Strategy. There are no backtest results since this is for live trading.
- Backtesting Mode - use as normal, but no need for next day signals. This is a historical test.
*** if needed include the ability to select EOD or Intraday for each trading mode. I assume this would simplify organization of preferences greatly.
7. For "Live Trading mode" keep track of actual trades placed and all metrics to be ran on this to show a better view of how each strategy is doing with start date shown.
- Would need a way to reset Trading history if the user desired to restart or archive up to a certain point.
8. For "Backtesting mode" no need to keep track of previous trades. Hide Signals Window.
9. Preferences - Modify as needed separate into Live Mode, Backtesting, Global
10. Find solution to allow applying Portfolio Weighting concept in Meta Strategy to cash available at broker. I assume this is not that simple.
- Under Position Sizing | Starting Capital. Here, based on the trading mode you are in (Live Mode or Backtesting), you will either get cash from Broker so that you can show each strategies available cash (per weight) and allow adjustments based on weight. For backtesting it stays as is. If this is not possible based on broker compatibility, then require additional accounts or sub-accounts for each strategy. I believe this option already exists.
11. Find solution for controlling the number of open positions with Broker. If you can do this manually by looking at the signals then you can do it in code.
- first thing that comes to mind is a Positions Manager for each strategy where each Transaction goes through before the order is sent to the Order Manager to be placed with broker. This would definitely allow controlling the number of positions based on user settings. A control on the number of positions allows for better capital allocation. Example: Knowing the max number of positions per strategy in conjunction with a Shared Capital pool with 1 account begins to make much more sense. This allows you allocate cash to each strategy properly. As a matter of fact, the Position Manager functionality might solve the whole allocating cash with Portfolio Weighting with 1 account at broker problem.
12. Update Documentation so that it is clear. It is hard to imagine that this design would not be intuitive to almost anyone with only two
concepts: Strategy, Portfolio.
13. Continue to allow multiple windows so that you can trade multiple Portfolios.
14. If supported by broker, allow tag to be sent with order to broker to allow tracking trades per strategy at broker.
I did this in a short amount of time so there may be much more to flush out. However, it does not look like there is much new code to write here. Mainly moving things around. I would assume that after the change this would greatly simplify development since
any bugs would be noticed very quickly. This would definitely remove any confusion on how the software should be used.
Any thoughts on all of this?
Rename
There is a lot of demand I think it is better to only make one request per “feature Request”
6. In the Meta Strategy have a New Tab called "Trading Mode".
I like the idea but for me directly on the strategy monitor by connecting the strategies together for portfolio weighting or rebalancing. But I don't see how that would be possible.
However, Cône programmed me a “dynamic portfolio” building block which takes into account the PnL at real time of my IB account (profit, loss, open position). I think this aspect could be leveraged for portfolio logic.
In my opinion, more people will use this software if the interface is as intuitive as possible without so many diverse workflows, settings and preferences lumped together.
That’s kind of the goal of the WL laboratory, right? and frankly the software is very ergonomic (I don't even know how to code).
However, it does not look like there is much new code to write here. Mainly moving things around.
Once again I don't know how to code but I imagine it must be very far from being that simple!
6. In the Meta Strategy have a New Tab called "Trading Mode".
I like the idea but for me directly on the strategy monitor by connecting the strategies together for portfolio weighting or rebalancing. But I don't see how that would be possible.
However, Cône programmed me a “dynamic portfolio” building block which takes into account the PnL at real time of my IB account (profit, loss, open position). I think this aspect could be leveraged for portfolio logic.
In my opinion, more people will use this software if the interface is as intuitive as possible without so many diverse workflows, settings and preferences lumped together.
That’s kind of the goal of the WL laboratory, right? and frankly the software is very ergonomic (I don't even know how to code).
However, it does not look like there is much new code to write here. Mainly moving things around.
Once again I don't know how to code but I imagine it must be very far from being that simple!
Just 'ideas'. The lack of interest on simplifying interface is obvious. I would definitely like the countless hours back trying to "figure things out". Documentation need diagrams and way more detail.
Yes, a laboratory environment is kind of cool. However, the opposite of "efficiency" is time wasted. A well designed interface explains things quite well on its own. Especially, if you care about how things work behind the scenes. See first comment.
As far as how hard it would be to modify the "interface" goes. I tend to not look at things based on how hard it would be to accomplish. Just because something is not easy doesn't mean you shouldn't do it.
Software is usable as is, but close and reopen WL often. Glad their "custom" solutions work for you.
Yes, a laboratory environment is kind of cool. However, the opposite of "efficiency" is time wasted. A well designed interface explains things quite well on its own. Especially, if you care about how things work behind the scenes. See first comment.
As far as how hard it would be to modify the "interface" goes. I tend to not look at things based on how hard it would be to accomplish. Just because something is not easy doesn't mean you shouldn't do it.
Software is usable as is, but close and reopen WL often. Glad their "custom" solutions work for you.
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