C-Trader Professional™ is a professional-grade trading system development and backtesting platform. It is designed: (1) to work with entire portfolios of stocks, futures, options, and spot forex; (2) to enable testing on any timeframe (e.g., one can easily test systems on 1-second bars); (3) to handle very large data sets (e.g., the entire NYSE going back 15 years); and (4), to enable complex systems that contain both longitudinal and cross-sectional rules to be easily tested and optimized. C-Trader Pro provides a level of power, flexibility, and robustness difficult to find elsewhere. It is appropriate for use by CTAs, hedge funds and professional traders.
The original C-Trader was released in 2000 as companion software to the now-classic book, The Encyclopedia of Trading Strategies (Jeffrey Owen Katz, Ph.D., and Donna L. McCormick; McGraw-Hill). While the software package still contains everything required to replicate and expand the research presented in the book, it has undergone substantial evolution since its first release. Because the enhancements are quite extensive, it is now called C-Trader Professional. As the only trading system development platform used by Dr. Katz, the software is under constant development; bugs are aggressively sought and fixed, and new capabilitities frequently implemented.
C-Trader Professional is reasonably priced and does not require any commitment to expensive brokerage or data services. There are no hidden fees or monthly charges, and no additional cost for live technical support—the developer himself is a just an email or phone call away.
C-Trader Professional is designed to run on Unix and Unix variants (e.g., Solaris, BSD, Linux, Mac OSx). It can be run under Windows with Cygwin, an emulator that provides a Unix-like toolset and environment, some Posix compliance, and an X-Windows interface.
TradeStation™ Users Should Know...
Many TradeStation
users have indicated that C-Trader is more effective for system development
and testing than TradeStation. Among other things, C-Trader is far faster
and more robust than TradeStation and can easily accommodate cross-sectional
as well as longitudinal trading rules. Therefore, many TradeStation users
opt to develop their systems using C-Trader and then port them over to
TradeStation for real-time trading.
Warp Speed
Speed matters when optimizing multiple systems on
very large data sets. C-Trader Pro is extremely fast: anywhere from 20 to
well over 100 times faster than TradeStation when running on a single core.
And, unlike TradeStation, multiple instances of C-Trader can execute
simultaneously under script control enabling you to take full advantage of
cluster computing and multi-core processors! C-Trader running on a small
Linux cluster of multi-core processors can achieve mind-bending terraflop
throughput when optimizing multiple systems on a modest portfolio of
securities. Try that with TradeStation.
Easy to Use
If you have a working knowledge of the C
programming language and can read and understand the code in The
Encyclopedia of Trading Strategies, then you'll find C-Trader Pro very
logical and a pleasure to work with. The software even includes a
searchable online manual!
Readily Extended
The software is designed to be highly modular
and easily extended. By leveraging the standard Unix toolchain and other
freely available software, coupled with the excellent interprocess
communication mechanisms available in Posix-compliant operating systems, new
capabilities are fairly painless to implement. One can even execute, control,
and exchange data with other programs directly from the C-Trader command
prompt or from within C-Trader scripts!
All Trading Vehicles
You can develop and optimize systems for
entire portfolios of options and derivatives, as well as for stocks,
futures, and spot forex, on any timeframe from seconds to years. Even
models that must select trading vehicles on the fly, such as those that
dynamically choose which options on a given underlying to employ at any
instance, can be implemented and tested with ease. Want to backtest a
Gamma-scalping model that involves multiple stock and option positions that
have to be repeatedly rebalanced and otherwise modified? No problem with
C-Trader Professional; one can even make use of synthetic or modeled prices
in simulated derivatives trades! Multiple systems can be tested together as
system portfolios. Overlapping trades, scaling into and out of positions,
and multiple entries and exits are also fully supported.
Built-In Scripting
The software includes a scripting language
that is used for giving commands and for automating optimization and testing
protocols. The commands allow you to easily load data, examine performance
summaries and equity curves, run optimizations, generate graphics, even
execute operating system commands and other programs, all from within
C-Trader Pro!
Extended Performance Summaries
Performance summaries can now
be obtained in basic or extended forms. The performance summaries display
several variations on the Sharpe ratio, drawdown, net equity, average
dollars per trade, number of trades, largest win, largest loss, average win,
average loss, wins, losses, correlation of equity with a straight line,
correlations between in-sample and out-of-sample performance over variations
in system parameters, and a host of other useful statistics, some quite
unique and simply not available elsewhere. The extended reports even display
performance as a function of day-of-month, days-until-expiration, and
day-of-week. When it makes sense to do so, all performance statistics are
provided for both in-sample and out-of-sample periods.
Better Online Reports
Thanks to the pager, searching, and
sorting utilities found on Posix-compliant systems (Unix and Unix variants
like Linux), extended summaries and other reports may be viewed, scrolled,
and searched without disrupting your workflow; likewise, optimization
reports may be sorted according to various criteria, scrolled, and saved to
files for future reference. All of this can be done directly from within
C-Trader Professional without needing to manually open files in other
software applications or text editors—it is all clean and seamless, as well
as extremely fast.
Graphics Capability
C-Trader Professional includes a newly
developed module for generating various kinds of charts using Gnuplot. The
scripting language now provides commands that allow you to display a variety
of high-resolution charts. These charts may even be saved as JPEGs (or in
other formats) for publication, printing, or future reference. In addition,
the software features a scan mode with single keystroke commands that
enables you to easily scan through and examine charts for hundreds, or even
thousands, of securities. All code is supplied as source and may easily be
extended to provide additional charting capabilities. This code is under
active development.
Greater Trading Model Flexibility
The new C-Trader
Professional makes it feasible to backtest systems that trade individual
series, as well as those that trade multiple series, e.g., multiple
derivatives on a single underlying with said derivatives changing from trade
to trade on the basis of the trading rules. Such multiple-series situations
occur, for example, when trading delta-neutral hedges, engaging in gamma
scalping, exploiting skew in options or distortions between different
expirations in futures, and in other similar contexts. Even systems that
trade different stocks, futures, or currencies, depending on comparisons
amongst them, can readily be implemented in C-Trader Pro. To provide these
new capabilities, the software uses a simulation model and an architecture
for defining trades that differs significantly from the original C-Trader
and from other available platforms. If your model only requires trading in
one series at a time, C-Trader Pro provides a translation layer that allows
you to write your system in a simpler TradeStation-like style closer to that
used by the original C-Trader.
Ability to Implement Complex Trading Rules
Trading systems can
make use of both longitudinal and cross-sectional rules in all contexts. For
example, if you want to implement a pairs trading strategy or an option
hedging model, this is the software you need. Trading rules can involve
comparisons over time (i.e., previous bars) and across tradables (i.e.,
different futures, stocks, or options), and these rules can place trades
selectively on different tradables (e.g., options of different strikes and
expirations on a given underlying). It is even possible to have a trading
model that sells one option short while buying another, the particular
options depending dynamically on volatility characteristics, and to have the
backtest treat such combined positions as unitary trades!
Database Management Tools
The package now comes with a variety
of database management tools. Among these are a Yahoo downloader that can
quickly and automatically retrieve end-of-day stock data from Yahoo and
place it into standard comma-delimited files. Similar utilities for handling
data from Pinnacle (end-of-day futures) and from Worden Brothers (end-of-day
stocks) are included. With the aid of some third-party software that
downloads data from Interactive Brokers into shareable comma-delimited files
on a real-time basis, C-Trader Pro can even generate live trading signals
and charts! The same software can be used to download historical data from
Interactive Brokers on timeframes all the way down to 1-second bars for use
in system development. Several utilities to store data from comma-delimited
files into the software's native high-speed binary database formats are also
provided; among these is a program to save raw options data from
Stricknet.com in the highly compressed binary file format used by C-Trader
Professional for managing options data. This latter program is so efficient
that data for every equity option (well over 100,000 per day) on every stock
(several thousand) in the Stricknet data set going back several years can be
saved in a fast-reading file that is well under 1 gigabyte in size! Like
C-Trader Professional itself, all data management tools have the ability to
handle extremely large data sets efficiently. These programs all contain
detailed internal documentation and are easily modified to handle other
input data formats so that they can be customized to work with your favorite
data sources. NEW!!! You can now even use data from TradeStation to
build models in C-Trader!
Live Charts and Trading Signals
C-Trader Professional will
soon include a component with the ability to generate real-time charts and
trading signals for live trading on any desired timeframe. All you need is a
good third-party "data daemon" that can run your data feed into
sharable files. For users of Interactive Brokers we can recommend jTWSdump and jTWSdata . These Java
utilities can download historical data as well as maintain the necessary
"live" files for those who use Interactive Brokers TWS as their trading
platform. C-Trader Pro and jTWSdata make an unbeatable combination for
high-speed scalping and day-trading.
Trading Systems Included as Examples
The software comes with
examples that illustrate how trading systems are implemented and tested in
C-Trader Professional. You can run these examples, optimize them, and modify
them to get a feel for developing your own strategies using this platform.
Among the examples are a simple moving average system and a simple
delta-neutral hedging strategy with simulated Black-Scholes option
prices.
Hardware
The software will compile and run on all Intel-type
hardware (AMD, Cyrix, Intel) with at least 256 MB memory and a few gigabytes
of disk space. Disk and memory requirements beyond the minimum depend on
your data.
Once you order, you will be provided with a password that will enable you to immediately download the software and sample data from our ftp server.
Scientific Consultant Services, Inc.
20 Stagecoach Road,
Selden, New York 11784
Tel: 631-696-3333
Email: Jeffrey Owen Katz, Ph.D., President
Email: Donna
L. McCormick, VP