This list contains a selection of finantic projects.

Data Adapters

Interactive Brokers 

IBData2: realtime data adapter with backfill for Wealth-Lab.

(Product, abandoned) 

DownloadQuotes 

data adapter for international End-Of_Day data for Wealth-Lab and Downloadquotes (www.downloadquotes.com)

(Custom Programming) 

Tai-Pan, Lenz & Partner 

Data adapter for Wealth-Lab and data feed from Lenz&Partner (www.lp-software.de)

(Product, abandoned) 

Broker Adapters 

InteractiveBrokers

IBData2: Broker adapter for Wealth-Lab

(Product, abandoned)

BrokerBridge-IB: Advanced broker adapter for Wealth-Lab and other backtesting software.

(Product, abandoned)

Collective2 

BrokerBridge-C2: advanced broker adapter for Waelth-Lab. Sends orders to Collective2

(Product, abandoned)

Research 

Statistical Poperties of Price Series

Fat Tails Demo calculates and displays the distribution of returns with focus on the "Tails" using class TFatTails (see WL Code Library). The class TFatTails collects numbers and calculates the probability density, cumulative distribution and the "Tails" of the distribution.

ShockDetector finds outliers in a time series (see WL Code Library)

Short Term Probability Distribution and Density calculates some basic statistics of price series on a short term basis: Probability density, probability distribution, percentiles, raw moments and center moments (see WL Code Library)

Exits: Stop Loss and Profit Target

Watch Your Stop: This script is about exits. And statistics. Most books on trading deal with entries, few with exits. It tries to collect some results which are not found in any books.

Position Sizing, Risk Managment and Money Management

Secure F: returns a fractional value of capital to invest in every trade.  Introduced by Zamansky, Ph.D., and Stendahl, in TASC, 1998 (see WL Code Library)

 

Optimal F:  returns "optimal percent of equity to invest in next trade." Introduced by Ralph Vince 1990. Advanced implementation with additional parameters to modify risk estimation. (see WL Code Library)

 

Kelly Formula for Money Management tells you how much of your capital to invest in each trade. Introduced by J. L. Kelly (1956-03-21)  (see WL Code Library)

Artificial Price Series

Random Walk generator: creates a "random walk" version of an existing price series. 

 

NormaRandomWalkGenerator. Generates a random walk with time varying volatility, drift and shocks. (see WL Code Library)

 

Xerox VDS: Copy Volatility, Drift and Shocks: This script extracts volatility, drift and shocks from a "real" price series and generates a gaussian random walk with (approximately) the same volatility, drift and shocks.

Non-parametric statistics

Percentile. Returns a percentile level within a lookback period. (see WL Code Library)

Rank. Returns the rank within a lookback period. (see WL Code Library)

Chaos theory

Variance Ratio: This is a measure for the trendiness or degree of mean reversion in a price series. (see WL Code Library)

 

Hurst Exponent from Dispersion Analysis: HurstExpDisp. Dispersion analysis for calculating estimated Hurst coefficient.  The Hurst exponent is a measure of "randomness" of a time series and its degree of mean reversion. (see WL Code Library)

Trading Systems

Basic HiLoLimit Trader (friendly):  The HiLoLimit indicator has no lag. The resulting trading system presented here has a very good Win/Loss ratio.

 

ConstBand:This is a band violation trading system with a constant band. The band is constructed around a centerlline and consists of one constant component.  Used as example in  "Creating Your Own Trading System"

 

TrueRangeBand:This is a band violation trading system with a dynamic band based on the High-Low (Range). The band is constructed around a centerlline and consists of one dynamic component. Used as example in  "Creating Your Own Trading System"

 

TightBand 2CL: This is a band violation trading system with a very narrow band. The band is constructed around a centerlline and consists of one constant and two dynamic components. Used as example in  "Creating Your Own Trading System"

Indicators

ASEMA

ASEMA is an asymetrical exponential moving average (EMA). There a two periods, one for upward movements, the other for downward movements. Very useful for inherently asymetric inputs like volatility measurements or price movements of stocks. (see WL Code Libraray) 

HiLoLimit - Limit Indicator without lag

Most indicators include some form of smoothing which unavoidably introduces some lag. The Highest/Lowest have no lag. This is a very simplified version of the probability density based scripts. Instead of calculating a complete short term probability density for past prices, the highest and lowest price of a given period are used to estimate the extend of the complete probability density function. (see WL Code Library)

STACF - Short Term Autocorrelation

The autocorrelation function calculates the correlation coefficient between a price series and a delayed version of the same price series.  STACF calculates the correlation coefficient for a fixed (small) delay across a short time interval and returns the correlation varying with time. (see WL Code Library) 

Advanced Moving Averages

The Moving Average Contest: This script demonstrates usage, performance and differences of some moving averages.

 

Gaussian: Can be used for smoothing. A Gaussian filter is one whose transfer response is described by the familiar Gaussian bell-shaped curve.  (see WL Code Library)

 

Butterworth: Can be used for smoothing. It rejects high frequencies (fast movements) better than an EMA and has lower lag. This filter is maximally smooth at zero frequency. (see WL Code Library)

 

Kalman / Optimal Tracking: The Optimal Tracking Filter can serve as a a replacemant for Simple Moving Averages and Exponential Moving Averages (see WL Code Library)

Other Software Projects

QuantLab

Backtesting Software. Based on C#/.Net and the SmartQuant framework. (Custom Programming) 

Walk-Forward-Optimization

Automatic walk-forward optimization is supposed to give a more realistic view of the trading system's performance. This type of testing is very realistic, however, and therefore very powerful.

WFO Template: Example of a ChartSCript with walk-forward optimization using WFO - Shell Library for WL: (see WL Code Library)

WLR - A connection between Wealth-Lab the math package "R"

R is a system for statistical computation and graphics. It consists of a language plus a run-time environment with graphics, a debugger, access to certain system functions, and the ability to run programs stored in script files. With WLR (www.finantic.de/en/WLR) it is possible to transfer data between WLD and R.

 

AnalyseSeriesR:This study shows similar information as the builtin AnalyzeSeries() function. The information is plotted in a boxplot however. (see WL Code Library ) 

SGL - Simple Graphics Library for WL

This is a simple graphics library for WL, written in native WealthScript. The library can display arbitrary (two dimensional) data in a sub pane of the chart. Can display several diagrams with several curves each. Supports linear and logarithmic y axis. (see WL Code Library)

WLDDB - Database Extension for WL

WLDDB is a very simple database for use in ChartScripts. A WLDDB database has a name and may contain several tables. Each table contains data which is organized in rows and columns.(see WL Code Library ) 

PeekChecker - check if script uses future data

Checks if a WL ChartScript uses future data i.e. peeks into the future. PeekChecker records a timestamp if data is accessed. If any trade is executed before the last data access timestamp a message box is displayed and the script is aborted. (see WL Code Library) 

Publications

Creating Your Own Trading System

Band violation trading systems: Why they work, how to develop and improve your own. 

published in TASC Magazine, "Technical Analysis of Stocks and Commodities " V22 C07 P24-35