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I need some strategy advice
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I need some strategy advice

  #1 (permalink)
Elite Member
Austin, Texas
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: TF
 
emily28's Avatar
 
Posts: 29 since Mar 2014
Thanks: 51 given, 20 received

I need some strategy advice

I have been trading manually for about a year, i need some advice on strategies.

I have never built a strategy that I felt consistently worked enough on backtesting and market replay to give that sort of automated trading a try.

I built a strategy that is pretty simple, using two macd's when they sync up crossing over around the same time I take a trade, with a few other ideas worked in, like the trade has to go in the direction of the SMA.

so I backtested it, worked it on market replay, and traded it live on a sim account.
I always get different results, backtesting is always relatively positive. market replay usually stays around break even territory and live trading on sim is pretty productive.

so I have a few questions that are all over the place.

1) is the best way to learn if a strategy is good for you to just trade it live but make it where the losses are very low, going in for say one contract at a time (i plan to trade it on YM via ninjatrader).

2) the chart on which this works is Linebreak, is that generally untrustworthy for backtesting like renko is?

3) I got elite status on here in hopes I could find some strategies to download and hopefully use / play with, I haven't been able to find anything yet. I mean I found the page for downloading strategies from ninja but none of those are working out for me, anywhere else on here I can check for that stuff, are some strategies in the indicator section?

4) whats the general feeling on automated trading strategies? I have a friend who trades who says they are worthless, but I feel like there has to be some that work right?

any help is appreciated, i know theres a few threads on here similar to mine but none answered my semi specfic questions.

feel free to private message me as well.
thanks

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  #2 (permalink)
Site Administrator
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Platform: My own custom solution
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Big Mike's Avatar
 
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First, watch these three webinars:

https://futures.io/webinars/mar5_2013/developing_an_algorithmic_trading_system_kevin_davey/

https://futures.io/webinars/dec6_2012/kevin_davey_algorithmic_trading/

https://futures.io/webinars/dec4_2013/algorithmic_trading_challenge_kevin_davey/

That should get you up to speed quickly. From there, make sure you are not making rookie mistakes like using Renko bars or other exotic bar types. Also don't use limit orders on big bar timeframes (ie limit orders on a 5 minute or higher time frame) without carefully examining your entry and exit points, basically eliminate any 1 bar trades as they will be false winners usually.

I also recommend Kevin's thread for a good example:

https://futures.io/trading-journals/28404-taking-trading-system-live.html

You can also look at all the examples in the Battle of the Bots:

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatrader-algorithmic-strategy-development.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #3 (permalink)
Elite Member
London + UK
 
Futures Experience: Advanced
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Broker/Data: Multiple broker + Multiple feed
Favorite Futures: Currently European and US equities
 
sands's Avatar
 
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Big Mike View Post
First, watch these three webinars:

https://futures.io/webinars/mar5_2013/developing_an_algorithmic_trading_system_kevin_davey/

https://futures.io/webinars/dec6_2012/kevin_davey_algorithmic_trading/

https://futures.io/webinars/dec4_2013/algorithmic_trading_challenge_kevin_davey/

That should get you up to speed quickly. From there, make sure you are not making rookie mistakes like using Renko bars or other exotic bar types. Also don't use limit orders on big bar timeframes (ie limit orders on a 5 minute or higher time frame) without carefully examining your entry and exit points, basically eliminate any 1 bar trades as they will be false winners usually.

I also recommend Kevin's thread for a good example:

https://futures.io/trading-journals/28404-taking-trading-system-live.html

You can also look at all the examples in the Battle of the Bots:

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatrader-algorithmic-strategy-development.html

Mike

Hi @Big Mike can you please detail why you think Renko is a bad bar type to use. I'm looking at using it not necessarily to initiate execution decisions but to confirm a bias, and so appreciate your view based on what you've seen.

Thanks

Sand.

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  #4 (permalink)
Membership Temporarily Revoked
Portugal, Viana do Castelo
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: 6e
 
Posts: 358 since Sep 2011
Thanks: 187 given, 343 received


Big Mike View Post
First, watch these three webinars:

https://futures.io/webinars/mar5_2013/developing_an_algorithmic_trading_system_kevin_davey/

https://futures.io/webinars/dec6_2012/kevin_davey_algorithmic_trading/

https://futures.io/webinars/dec4_2013/algorithmic_trading_challenge_kevin_davey/

That should get you up to speed quickly. From there, make sure you are not making rookie mistakes like using Renko bars or other exotic bar types. Also don't use limit orders on big bar timeframes (ie limit orders on a 5 minute or higher time frame) without carefully examining your entry and exit points, basically eliminate any 1 bar trades as they will be false winners usually.

I also recommend Kevin's thread for a good example:

https://futures.io/trading-journals/28404-taking-trading-system-live.html

You can also look at all the examples in the Battle of the Bots:

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatrader-algorithmic-strategy-development.html

Mike

Do not under estimate renko bars. They can be useful to detect support and resistance areas and if you have the right tools in combination with the renko bars then you can be surprised how good they work.
You just have too use it in combination with the normal charts, so you cannot lost track, because renko charts is the same as looking at a chart with a big loop.

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  #5 (permalink)
Site Administrator
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Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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sands View Post
Hi @Big Mike can you please detail why you think Renko is a bad bar type to use. I'm looking at using it not necessarily to initiate execution decisions but to confirm a bias, and so appreciate your view based on what you've seen.

Thanks

Sand.

Countless threads on this. In short, exotic bars have false opens and produce worthless backtesting results. You'll need to be an advanced programmer with a secondary bar series to get around it, in my experience there is no point or edge in using exotic bars.

Sent from my LG Optimus G Pro

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 3 users say Thank You to Big Mike for this post:
 
  #6 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,859 since Jun 2009
Thanks: 480 given, 3,254 received


emily28 View Post
I have been trading manually for about a year, i need some advice on strategies.

I have never built a strategy that I felt consistently worked enough on backtesting and market replay to give that sort of automated trading a try.

Welcome.

I'll reiterate a few things already said and say a few of my own.
  1. Stay away from Renkos, as far as automation goes. I've never heard of line break charts.
  2. Start small, yes 1 contract. Nothing beats going live because you have to learn how to deal with running an automated trading system, both operationally and psychologically. Maybe start on SIM but in a live market first to get the operations part down, then ease into small positions with real money.
  3. You can trade profitably with automated strategies, but it's hard. Here are some tips
    • Find the best times of the days and days of the week to have your strat run, know best times of year too. People often underestimate seasonality. Be careful not to curve-fit this too much though, so test several years of data if possible.
    • Find out if the market trades well on days of important announcements or not, trade or avoid them per your testing
    • Size your stops and targets based on ATR or some other measure of market volatility
    • Know your "off switch" point, how much drawdown is too much to keep it running. Know this before you go live with real cash.
    • Consider higher time frames, you spend less on slippage and commission in terms of a cost per trade basis with higher time frames.
    • Try testing with limit orders, but know that they always won't be filled. Personally, I enter with limit orders and exit with market orders. This ensures no slippage on entry, but sometimes I miss a winning trade but get filled on every loser, but I rarely miss winner if I stick with liquid markets. And I exit with market orders because when I want out I want to make sure I am out and not lose a ton of money trying to get some exit limit order filled. Again, higher time frames are your friend here: with larger moves a tick of slippage or missed trades are less likely when you're playing for 20-40 tick moves.
    • Make sure your test results always include commission.
    • Determine a trend bias in your testing, see how long-only or short-only regimes improve your system's performance.
    • Temper your expectations. You are not going to get rich overnight. What's important now is consistent performance.

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  #7 (permalink)
Elite Member
London + UK
 
Futures Experience: Advanced
Platform: Proprietary Analytics
Broker/Data: Multiple broker + Multiple feed
Favorite Futures: Currently European and US equities
 
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Big Mike View Post
Countless threads on this. In short, exotic bars have false opens and produce worthless backtesting results. You'll need to be an advanced programmer with a secondary bar series to get around it, in my experience there is no point or edge in using exotic bars.

Sent from my LG Optimus G Pro

I've learnt that complexity is a chain around your neck I've found myself removing a lot from my screens over time. However I'm always open to experimenting with techniques and trying to apply tools in non standard ways, if only for development and never hurts to learn from the experiences of fellow pros. :-)

Thanks for the feedback,

Sand.

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