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Automated Strategies Minus Indicators

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Automated Strategies Minus Indicators

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  #1 (permalink)
Experience: None
Platform: Tradestation
Trading: Emini ES
oakguy's Avatar
Posts: 4 since Feb 2018
Thanks: 1 given, 1 received

Ok. I give. New guy here as I dipped in for a month now on Tradestation. I subscribed to two automated strategies, one opening bell and a second one. Neither rely on indicators which has not worked for me since I can't get past zero. These work great on good market days but don't appear to be working well for me. ES-Mini futures is where I dipped in.

I could really use some ideas on something better? Automated works great for my lifestyle since I still work. But is there an indicator on ES-Mini health, something that would say, not a good day to be in the market? So I can disable my strategies?

Or dump these and you suggest something better?

Thanks. Criticism welcomed! Warning, new guy here. Pass on what you think. Wisdom welcomed. Not looking for a big days here! Just a slow positive return.


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  #3 (permalink)
charlotte nc
Experience: Master
Platform: ninjatrader
Broker: NinjaTrader
Trading: Emini (ES, YM, NQ, ect.)
Posts: 398 since Jan 2015
Thanks: 76 given, 1,081 received

Hi oakguy,

I think this is relative. When you say you are looking for something to alert you that today is "not a good day to be in the market" this will be specific to your type strategy, edge, etc. For example if your system crushes it on high volatility / trending days, but gets killed on low volatility / range days, then you are trying to define when the market is not in a high volatility period. Conversely, if your system crushes it on range days and uses a mean reversal type of strategy only, but then gets killed when volatility increases you should only trade on low volatility days.

I think generically what you have is a basic algo that trades well in one specific type of market condition, and when the market is not in this type of condition it does poorly. If you are starting out then I will assume that you more than likely have a trend following system (this line crosses that line, go long, or short, etc.), these types of systems do well in high volatility environments when the market is really moving. Be careful here, because we have seen some unprecedented high volatility in the last few months, but this is far from the norm. So you will need to be able to know what levels your system wins and what levels it fails and be able to react.

But I guess to your main question: Can you achieve some sort of automatic logic to turn it on and off based on certain criteria: Yes. Easily. I think your best play will be to take apart your 2 algo's and understand how they work and most importantly why they work. From here you should be able to create an on/off switch.

Happy Trading!


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  #4 (permalink)
North Carolina
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
Posts: 644 since Nov 2011

@oakguy You can't capture the gains without risking loss. If you are running an automated strategy and not planning to use discretion, i.e. a graybox (which is another sort of system entirely), then you would normally not intervene, and unless you have access to the strategy code and desire to build a new strategy then you won't know what is normal or abnormal for the system.

However, I will state my assessment of the market is that it is veering toward more abnormality and risk. If your strategies weren't developed for current or similar conditions there is probably a higher probability of significant losses especially with systems that use larger stop losses versus smaller stop losses.

As for simple measures you can take to reduce risk, you can disable the strategies from trading when or around reports are released. Reports are commonly released around 8:30 AM and 10:00 AM. You might also look at the prior day range and if it is way out of line then normal then you could disable the strategy. As for real-time measures, you could shut down if a 1 minute bar exceeds some maximum threshold or range.

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  #5 (permalink)
Experience: None
Platform: Tradestation
Trading: Emini ES
oakguy's Avatar
Posts: 4 since Feb 2018
Thanks: 1 given, 1 received

Thanks! Good direction and I agree about the risk. It appears that the one of the strategies has a start only after 10:30 am so apparently the developer was aware of the possible volatility on announcements or reports. Is it possibly to view strategies in Developer? Was not sure and never tried it.


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  #6 (permalink)
Odessa, Ukraine
Posts: 12 since May 2018
Thanks: 1 given, 1 received

For example, You can disable your trading when important economic data are released
But firstly you have to calculate statistics how was you successfull at that days

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