Blackthorne Trader Toolbox

The Blackthorne Trader Toolbox is an interactive design tool that allows a user to research, develop, and deploy a variety of trading strategies. The Toolbox maintains all intermediate calculations and displays them in a variety of user-friendly graphical interface.

  • Rich collection of statistical and technical indicators
  • Extensive warehouse of futures and equity data
  • Ease of incorporation of non-price, time-series and event data
  • Backtesting and optimization engine
  • Front-end trading system

Allows a researcher or trader to deploy cross-functional expertise to spur innovation and shorting the development time of new trading insights

Trading Toolbox Components

Research
Research

• Define a Trading strategy
• Select the algorithms
• Select the machines
• Animate the model
• Back Test it
• Persist it

Develop
Develop

• Retrieve the Trading Strategy
• Drop it into the Development Environment
• Add implementation support machines
• Live Test it
• Persist it

Deploy
Deploy

• Retrieve the Trading Strategy
• Drop it into the Deployment Portfolio
• Allocate resources
• Instantiate the Live Trading Strategy

Capabilities

Transaction Ledger

The database that backs the order management system keeps
track of all relevant information about each order that is placed.

Order Manager

Orders can be scheduled to automatically cancel at the end of the
trading day, or to remain open until manually canceled.

Execution

Blackthorne subscribes to Interactive Brokers for Futures
and Equities execution.

FIX Protocol

Current brokers utilize the FIX Protocol. A broker specific communication
layer is required for brokers that do not use FIX.

Order Types

Strategies are currently able to send Profit Limit orders, Market orders, Trailing stops, and Range stops using the Strategy Builder

Fills

Partial Fill during an Exit – Partially Filled remnants will be canceled if an
exit order is triggered prior to the initial order completing

Matrix Elements

Blackthorne Trading Toolbox Matrix Elements

Matrix Element are functions or algorithms that result in arrays of data.

Proprietary Methods:

  • Indicators
  • Pattern Features
  • Neural Networks
  • Boosting Ensembles
  • Multiple Linear Regressions

As well as:

  • User defined Methods
  • Wrapped Matlab Functions
  • Wrapped R Functions
  • Java/Python Library Functions
  • Standard Statistical Package Functions

Currently there are hundreds of Matrix Elements.

Partial word search capability scans the entire corpus.

Right Click on the Element for an explanation of what it does and how it does it.

Blackthorne Trading Toolbox Matrix Screenshots

Animated Models

SAMs – Synchronized Animated Models

Visually gain insights into market behavior and model parameters.

Persisted Personal Collections of:

  • Matrix Views
  • Machine Views
  • Graphs, Plots, Charts

Machine Learning

Recalibrating in REAL TIME

…it’s already done for you!

Blackthorne Trading Toolbox MLR

For MODELS with Regressions that need to be periodically recalculated.

Here, the Analyst has determined that the three Predictor Variables have a 10 price bar life on a 20 price bar regression.

The Prediction targets a time 5 price bars away.
AAPLclose(n+5) = alpha + beta1 × AAPLopen(n) + beta2 × ABTopen(n) + beta3 × WFMopen(n)

Strategy Development

Strategy Views

Back Test & Live
A Whole System to Debug a Strategy

Blackthorne Trading Toolbox - Strategy Development

Synchronized Views

Conditional Break Point Control
Visualization Speed Control
Mouse Over Machines  and Elements

  • Machine  Information
  • Matrix Element Values
  • Matrix Element Descriptions
Blackthorne Trading Toolbox Synchronized Views

Optimization Sweeps

Blackthorne Trading Toolbox Optimization Sweeps

All matrix element parameters in the strategy are potential sweep targets.

Sweeps are useful for finding the optimum value and sensitivity of the design performance to certain parameters.

And can be swept using either a structured GRID SEARCH or a RANDOM SEARCH.

Statistics Report

After each strategy is run, the toolbox can automatically generate a statistics report.

The report contains industry standard performance evaluators such as:

  • Sharpe Ratio
  • Sortino Ratio
  • Percent Profits

The reports also produce:

  • Profit Charts
  • Drawdowns
  • Buy & Hold Comparisons
Blackthorne Trading Toolbox Statistics Report
Blackthorne Capital Management - Logo - Large

In July of 2014, college students attending the Blackthorne Summer Institute for Algorithmic Trading, constructed a Stacked Entry/Exit Model employing multiple trading indicators, several weighting and scoring methods, fuzzy logic, and various stops and order types.   

The students had two weeks of education in Futures, Equities, and Options.  After one week of instruction on the fundamentals of model building they were introduced to the Analytics Toolbox.  Three days into week four they produced a successful, fully back tested, eight-strategy aggregation for futures trading.

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