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New Strategy Coding Help
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Created: by FatDemon Attachments:9

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New Strategy Coding Help

  #41 (permalink)
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Futures Experience: Intermediate
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FatDemon View Post
I noticed on your charts that you are taking 1 contract at entry. When I take an entry, it is always 2. One which takes a 2pt target, and the other to break even + 1 tick (for commissions) and left to catch a quick run up/down in price. The majority of success I've had trading this is that second contract.

Tiny bug in the first version: Misplaced two lines of code which resulted in the strategy not taking all of the available trades. After the fix, it performs even worse (not surprisingly).

If you insist the reason it's not profitable is due to the breakeven stop, I'll take a look.

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  #42 (permalink)
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grimReaper View Post
Tiny bug in the first version: Misplaced two lines of code which resulted in the strategy not taking all of the available trades. After the fix, it performs even worse (not surprisingly).

If you insist the reason it's not profitable is due to the breakeven stop, I'll take a look.

I've been trading this manually for about two weeks with great results. Although I initially only wanted to script this so I'd get better entry...and still use discretion on exits, I think it could be tweaked to preform on its own. Who knows... It may be profitable also because I stop using this strategy once my profit target is hit. This may keep me out of losers, but also out of winners. All in all, I think it is reasonable to assume that being up $500 at some point most days is realistic. Many times, that happens within the first few hours of the session. There have been days I've traded till close and still fell short by a few hundred bucks.

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  #43 (permalink)
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FatDemon View Post
I've been trading this manually for about two weeks with great results.

Two weeks is not enough. Look at the graph if you want to know what I mean.

Implemented trailing stops. Entry same as last time, but I added colored dots show the trail, and blue dots to represent trailing stop. Still not profitable.

Works well when price trends, otherwise it gets chopped around.

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New Strategy Coding Help-chart.png   New Strategy Coding Help-results.png   New Strategy Coding Help-graph.png  

Last edited by grimReaper; November 26th, 2012 at 12:08 AM.
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  #44 (permalink)
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grimReaper View Post
Two weeks is not enough. Look at the graph if you want to know what I mean.

Implemented trailing stops. Entry same as last time, but I added colored dots show the trail, and blue dots to represent trailing stop. Still not profitable.

Works well when price trends, otherwise it gets chopped around.


Not profitable! It's up $725 bucks! lol

I see what you mean though, not nearly enough upside to be worth the time. What if the entry was executed on the second signal in the same direction (long or short)? Would that identify a trend and eliminate being stopped out during choppy sideways channels?

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  #45 (permalink)
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FatDemon View Post
Not profitable! It's up $725 bucks! lol

I see what you mean though, not nearly enough upside to be worth the time. What if the entry was executed on the second signal in the same direction (long or short)? Would that identify a trend and eliminate being stopped out during choppy sideways channels?

It's not statistically significant. It spent most of the time in the red. I didn't even apply the $1000s in commission.

I applied the tweek. Makes about $2k, but was unprofitable in 2011. Time to shelve this idea, I'm burned out

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  #46 (permalink)
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grimReaper View Post
It's not statistically significant. It spent most of the time in the red. I didn't even apply the $1000s in commission.

I applied the tweek. Makes about $2k, but was unprofitable in 2011. Time to shelve this idea, I'm burned out

I appreciate you taking a look at it! I guess it's back to watching charts all day... the only consistant profitable method for me over the last 7 years trading. I may get skin cancer from monitor radiation and was hoping this would prevent it... sigh

If you're willing to share your code, I'd love to play with it. Perhaps I can modify it when I learn a little more about programming.

Thanks again.

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  #47 (permalink)
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FatDemon View Post
I appreciate you taking a look at it! I guess it's back to watching charts all day... the only consistant profitable method for me over the last 7 years trading. I may get skin cancer from monitor radiation and was hoping this would prevent it... sigh

If you're willing to share your code, I'd love to play with it. Perhaps I can modify it when I learn a little more about programming.

Thanks again.

I was out most of the day yesterday and just caught up with this thread. @grimReaper thank you for stepping in and doing all the work. You confirmed what my previous study of the donchian entries told me. As I see it, @FatDemon has more knowledge about his set up than he did before so your effort wasn't in vain. Also, it appears that @FatDemon now knows that in order for him to be profitable with this set up, he needs to apply the discretion as he's been doing even though he may die at an early age from radiation poisoning. I have one of these strategies as well. I'm doing very well applying discretion but it's pretty bad as an automated strat.

Good luck...

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  #48 (permalink)
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@FatDemon - Are you still using this strategy? If so, how many trades did you take and how is it going?

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  #49 (permalink)
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grimReaper View Post
@FatDemon - Are you still using this strategy? If so, how many trades did you take and how is it going?

No @grimReaper, I haven't been using this strategy at all for the last few weeks. I've been sticking to price action lately. My hopes and dreams of fully automating my profession have been dashed... sigh... I will however revisit this approach later this month. I'll post the results when I resume.

FD

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  #50 (permalink)
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@FatDemons, alright. Just wondering because I was rereading the thread and despite the very small sample, your initial results (post #7) looks nice. So maybe there was a difference between how my program executed the trades and how you executed the trades.


FatDemon View Post
No My hopes and dreams of fully automating my profession have been dashed... sigh...
FD

What?! Don't give up so easily

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