I am also running automated trading systems with EOD data using Java as software language. However, instead of changing position sizes at market open I do it shortly before market close. I have tried understanding Python but for some reason I find Java language easier to read and write. Good luck with your endeavors.
I recommend reading Foundations of Trading by Howard Bandy. I just finished it and it was a real eye opener for me. It is a cheap book, to boot.
Thanks HobbyTrading. Just so I understand it right, do you mean you generate signals to trade based on EOD from the previous trade day, and you buy the shares the next day just before close? Or are you just talking about rebalancing position sizes?
All algos All algos run on 2 forms of information: volume (of buyers and sellers), which is an independent variable, and resulting price, which is a dependent variable that follows the law of supply and demand. This information is generally considered accurate and is available to the world. To go from a algo to a strategy you need a 3rd information vector based on time, which is most often derived from the past data (which is perfect knowledge) such as channels (Keltner, Donchian), horizontals (daily pivots, highs, lows, etc.) curve-linear (Fibo lines) or dynamics (MACD, RSI). It is use of this plurality of data that leads to algo strategies. One other thought: back testing with Ninja 8 is still corrupt; best use Trade Station Easy Language programs – excellent back testing. The many thousands of programs I mentioned are written for TS; Ninja sometimes.
I've been working on my own tool for a while now, whenever I have time. Building a good looking frontend is time consuming as is the backend. Multiple data providers, fast charting, tabular analysis, custom scripting syntax, not to mention the backtesting engine with a million traps to avoid. I'm going to pull the order management from my autotrader, which took a long time to create by itself. For me, I dramatically underestimated the time required. If you want something to go into production soon, I'd suggest 3rd party. If you don't mind building it for 3-4 years or more to get anything barely usable, build your own.
That would be "the conventional way". I do it slightly different. Suppose I have a strategy which takes the latest three EOD prices into account. And today is Wednesday. I would run the review at about 10 minutes before the Wednesday EOD and get the current price at that time. Combine it with the EOD prices of Monday and Tuesday. And place my orders still before Wednesday ends. The assumption in this approach is that not much will change in those last 10 minutes, and thus that the current price can be taken to be a good approximation of the imminent EOD. The benefit of this approach is that you avoid any overnight price gap, which you would be exposed to if you'd place your order on Thursday.
Hi cafeole on your rec I just listened to a podcast interview with him - seems worth paying attention to so I'll get that book. Thanks.
ValeryN has an automated trading journal and recommended Bandy. This book is an abbreviated version of his Quantitative Technical Analysis book.