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5/16/2019


S#.Designer. Training Plan


Basic course.




1. S#.Designer basics

- The necessary software installation and program description. The program’s goal.
- Basic settings. Interface Guide.
- Connection and operating with historical data. Storage management, the principle of organizing data storage.
- Using the StockSharp Designer terminal to test strategies. Backtest of built-in moving average intersection strategy.


2. Visual editor and strategy designer blocks - 1.

- Cube general description. Cube types. Chart panel.
- Basic blocks, how to build a security chart, what cubes are needed, indicators.
- Overlay indicator on the chart (SMA, Bollinger)
- Creating a new window on the chart and the indicator output (RSI, MACD)


3. Visual editor and strategy designer blocks - 2.

- Cubes for creating strategies: variable, logical blocks, previous value, mathematics, converters, positions (opening and closing), position size.
- The first strategy: if the C of the current candle is greater than the previous one, then we enter a long one, if C of the current candle is less than the previous one, then we exit the long.
- The backtest of our strategy on different time frames. Backtest results, description of results, windows of trades, orders, equity curve.


4. Work with the strategy scheme.

- Scheme debugging, breakpoints.
- Work with our strategy, add a breakpoint, tracking values.
- Tracking the trade execution correctness. Comparison of values on the chart and in the trade table.


5. Visual editor and strategy designer blocks - 3.

- Cubes for creating strategies: position protection, composite cubes.
- Alteration of the previous strategy, exit using position protection. Setting take profit and stop loss. Backtest.
- Flipping. Composite cube for position size estimation. Reference to the SMA strategy. The cube analysis.
- Alteration of the previous strategy. If the C of the current candle is less than the previous one, then flipping (close the long and open the short) and so on.
- Tracking the strategy correctness using breakpoints.


6. Visual editor and strategy designer blocks - 4.

- Cubes for creating strategies: own formulas.
- Strategy 2. If the C of the current candle is greater than the SMA(20)+3 standard deviations of the closures for 20 periods, then we enter into the short at the opening of the next candle. If C of the current candle is less than SMA(20)-3 standard deviations for 20 periods, then we enter long at the opening of the next candle. Exit on return to SMA.
- Backtest. Backtest results.


7. More strategies.

- The use of indicators. Strategy at Bollinger Bands. Backtest. Comparison of results with a standard deviation strategy.
- Strategy for MACD.


8. Visual editor and strategy designer blocks - 5.

- Cubes for creating strategies: saving own values, using data from another time frame.
- Turtle strategy. If the minute timeframe C is greater than the maximum in the last 20 days, then enter long. Exit from long if minute timeframe C is less than the minimum in the last 10 days. For the short is similar.
- Backtest and evaluation of results.


9. Historical data. Sources.

Data sources, acquisition and storage.
Work with the S#.Data (Hydra) program. Downloading data, using downloaded data in S#.Designer. Filling storage.
Hydra and server mode. Connection to S#.Designer.


10. Work with the program code editor - 1

- Creating a cube using C#. Using the built-in code editor.
- Creating indicators using cubes and C#.


11. Backtest and optimization.

- Backtest basics. Setting commissions and slippage.
- Alteration of the created strategies to account for commissions and slippage. Backtest and evaluation of its results.
- Problem of determining the execution price.
- Strategy optimization. Parameter enumeration for the strategy from Section 6. Optimization of the SMA length parameter, the standard deviation length parameter. Optimization results.
- Portfolio testing.


12. Live trading.

- Running the strategy on simulation - without registering trades on exchange.
- Run the strategy in real trading.
- Run multiple strategies simultaneously. Track their operation, manage strategies.
- Additional risk management. Basic settings. Creating your own additional position control logic.


13. Teamwork and data export.

- Teamwork and export strategies.
- Encryption and the ability to publish strategies for use.
- Auto-display of trading results, export of backtest and live trading results.


Advanced course.




1. Advanced work with candles - 1

- Creating arbitrary candles from ticks: mini time frame, volume candles, range candles, charting.
- Volume profile. Display on the chart.


2. Advanced work with candles - 2

- Strategy on range candles. Dependence on volume. If the current range candle volume is greater than the average volume for 10 periods X times, then we enter the direction opposite to the current candle direction by opening the next candle. Close the position after 10 candles.
- Strategy on volume candles. Dependence on range. If the current candle range is greater than the average candle range for 10 periods X times, then we enter the direction opposite to the current candle direction by opening the next candle. Close the position after 10 candles.


3. Advanced work with candles - 3. Work with orders.

- Work with orders: setting, tracking execution, moving, cancellation.
- Strategy on volume profile. If C>O, then we register an order in long to the middle of the range on which the maximum volume passed. Close the position after 5 candles. Tracking the order execution on the next candle. If the order is not executed and again C>O, then move the order to the middle of the range on which the maximum volume passed on the new candle. If the order is not executed and C<O, then cancel the order and register a new one in short to the middle of the range in which the maximum volume passed.


4. Indices and multiple security strategies - 1.

- Cubes for working with indices. Building index.
- Using the index in arbitration strategies.
- Building an arbitration strategy.


5. Indices and multiple security strategies - 2.

- Using index in pair trading strategies.
- Building a strategy on the fly: SBER-VTBR. Estimation of convergence/divergence using an index. Charting. Determination of extrema.
- Determination of counter order volumes: how many VTB shares per 1 Sberbank share.
- Scheme of the pair trading strategy based on previously determined extrema (when a certain level is reached: we buy (sell) 1 Sberbank share, against a basket of VTB shares, exit the trade when index value returns to 0).


6. Indices and multiple security strategies - 3.

- Extension of the pair trading strategy. Pyramiding.
- Determination of entry levels, adding a position as the deviation increases.
- Closing positions as returning to entry levels.


7. Live trading – advanced level.

- Using multiple connection: multiple Quik. Strategy orders output to both terminals.
- Current time, control the strategy operation in time. Trading schedule.
- Strategy management. Output of orders of different strategies to different terminals.


8. Work with the program code editor - 2.

- Creating a cube using C#. Using Visual Studio.
- Packaging strategy in 1 cube.
- Export strategies to Shell.
- Running strategies from Shell as a separate application.
- Placement on VPS, remote strategy management.




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