Appendix E. Example Strategy "EMA"

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with a Live Trading Account and real Money! The strategy might lead to large losses. Even when modifying or extending the Strategy use caution before trading it Live.

The Strategy is a simple example without Esper that trades the EUR.USD FX Market and is based on two exponential moving averages.

The Strategy sends a BUY order when shorter moving average (e.g. 10-days) crosses above the longer moving average (e.g. 20-days) and it sends a SELL order when shorter moving average crosses below the longer moving average.

Figure E.1. EMA Strategy Example

E.2. Implementation

The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy Development.

The strategy uses the TA4J library which provides over 100 technical indicator that are computed on a continuous basis.

The EMA Strategy consist of one single Java class only:

/src/main/java/ch/algotrader/strategy/ema/EMAService.java: The strategy service class providing onStart and onBar method containing the trading logic

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

E.3. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the following steps:

Git Clone

Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects ema into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy Bar Data File

download file:

eurusd-1min-20111218-20130121.zip

and unpack to:

ema/files/bardata/eurusd-1min-20111218-20130121/EURUSD.csv

You can also import this bar data csv file into InfluxDB through the historical data manager (see Section 10.4, “Historical Data Manager” Historical Data Import) and run simulations based on the Influx data.

Start the Simulation

launch the Eclipse Run Configuration: SimulationStarter-simulate-ema

To start the strategy in live trading mode on a development workstation please execute the following steps:

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-samples/mysql/mysql-data.sql

load the strategy specific script into the MySQL database: /ema/src/main/resources/db/mysql/mysql-data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-ema

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/ema/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself by executing the following command inside /bootstrap/launch. this will load the MySQL sample data

docker-compose up -d mysql ibgateway algotrader