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Auto trading is only thing that conquered my darkside
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Auto trading is only thing that conquered my darkside

  #311 (permalink)
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I am hoping that it is not necessary for me to be a rocket scientist to automate some special situation trades. Forex is a treasure trove of special situation opportunities! The problem: I am not fast enough to trade them manually mostly because it works best to trade these opportunities with multiple pairs.

At this point I have these pieces developed:

The ability to continuously scan across 20+ pairs

Various custom regressions and automatic algebraic trendlines

And most importantly several solid concepts.


I do not trust MT4 for backtesting since many of my concepts do not require stops exceeding 10 to 15 pips. I also want a portable solution so moving to an external dll seems to be required. Looks like my limited C and Pascal capabilities will need to be upgraded before I can continue.

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  #312 (permalink)
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Start off with MT4 to prove the concept in a backtested EA then look to replicate with standalone code or a more solid platform.

But yes its a lot of work. Some brokers (Interactive) will provide you decent APIs (C#/Java) for order generation, instrument definition and historical / live data subscription etc...

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andyb1979 View Post
Yes and yes, but even so its not easy by any stretch of the imagination. The part I find hard is not the technology side, its the trading side. Coming up with rules/methods for trading that are not subjective and work is actually very difficult. As an example, a statement "uptrends consist of higher highs and lows" may be subjective. In this case how would you define highs/lows? If you can quantify it then you can auto-trade it. Failing that semi auto where you devise indicators to spot the opportunity in the noise. It's likely you just need a non-linear decision maker. If/else statements won't cut it as the market is more complex than that.

I have been able to define the swing highs/lows so you should be able to also. You can also do a lot of things with them that make much more sense than the traditional indicators. Other than trying to use some unique regression stuff to quantify what my eyes are seeing, I do not use any indicators.


andyb1979 View Post
So far in a month of R&D, backtesting etc... I've learned loads about what is and is not statistically viable. I dare say the computer taught me more about trading in that time than I knew from years previously. Things like what is the effect on long term profits of an x% stoploss, or the effect on drawdown of taking partial profits early. Things like what indicator combinations are useful and which are useless. I've found a very simple combination of 1x trend indicator (to gauge long or short) and 1x cycle indicator (for entry) combined with stop, take profit & trailing stop to be effective. If I didn't test these assumptions I'd easily get discouraged when the first losses came.

If you are going to pursue FX, ditching the indicators might be a good idea. For me, the indicators took my attention away from the bars on the chart where the real information is. But everyone is different so definitely pursue your own path.

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  #314 (permalink)
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GT22 View Post
I have been able to define the swing highs/lows so you should be able to also. You can also do a lot of things with them that make much more sense than the traditional indicators. Other than trying to use some unique regression stuff to quantify what my eyes are seeing, I do not use any indicators.

Shhh!

I've always been amazed by how the obvious is so often overlooked by most... Basic concepts, using (often) simple arithmetic, can be quite useful...

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  #315 (permalink)
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andyb1979 View Post
Start off with MT4 to prove the concept in a backtested EA then look to replicate with standalone code or a more solid platform.

But yes its a lot of work. Some brokers (Interactive) will provide you decent APIs (C#/Java) for order generation, instrument definition and historical / live data subscription etc...

I believe that my stops will be too tight for backtesting on the 1 minute bars. Perhaps not. Perhaps it can still be used to validate the concept, then I would have to port it to test the desired stop placements.

Yes, Oanda also has an API plus I want to add at least one more broker. The goal of moving to direct APIs makes more sense to me than trading through MT4, MultiCharts, NeoTicker, NinjaTrader, etc.

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  #316 (permalink)
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andyb1979 View Post
Good idea. I used to trade Crude spot (discretionary) and had some success. I found it cycled/trended nicely and was fairly predictable. One thing about FX is its a totally different beast to say stock indices. It's noisy - breakouts come out of no-where then reverse?!

Reading the pages, I got to ~10 then gave up. Save to say agree 100% with discretionary traders often being dead men walking and that its a numbers/probability game after all. A rudimentary understanding of probabillity can really help when understanding why your system has an edge that you can't see when you obey subjective trading rules and why it behaves differently in live than backtest mode (e.g. run monte carlo over its profit/loss probabililty and win:loss ratio to generate 100s of random equity curves that are all different yet use the same inputs).

Edit: yes monpere agree why move? But then I'm at the beginning of this research so now is the tmie to play around. Besides trading is an arms race, once I have one algo on one asset class that I am willing to run live I will need to have another in the pipeline close behind it. Also understanding other asset classes is a key to diversification.

Monpere I notice you mentioned in posts before "if I could program what my eye sees". How have you progressed on this front? You know rules-based algos (ie: using if-else) will likely not help you but there are an array of non-linear software techniques that can (support vector machines, AI, fuzzy logic etc)

I am trading in semi auto mode because as of yet, I still am not fully satisfied with the accuracy of the signal identification of my code, but I have made some progress lately when I have time to play with the code. The only thing that is not automated is the pulling of the trigger, because a percentage of the signals identified by code are not valid as my brain sees them. This is due to the fact that my method is pretty visual.

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  #317 (permalink)
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Yeah semi-auto is great also. basically what I mean when I say I agree with the original poster is you need a system. Either you pull the trigger (and are very accurate) or the computer does, but either way, if the system is tested + obeyed its a recipe for success.

Seat of the pants in my experience, is not!! You may be different but I can't hold my nerve when discretionary trading. Unless its one of those screaming buy moments like oil at $35 : )

Ok I'm making my first foray into Ninjatrader. I've been backtesting using R then later OpenQuant (evaluation) looking for a trading platform to make that first auto trade. I'm currently using NT as I am impressed with the support/community, however I am not impressed with how buggy it is. Seriously guys, writing software that works is not that hard ...

Here's a printout of one of my strategies in the optimiser. I want to optimise this using Piersh Genetic (I have installed the extension) and maximise the SQN (System Quality Number - again extension). I am testing on NYSE:SSO daily bars (S&P500 leveraged index fund). To my dismay the optimiser outputs only one row. Even when in "Default" mode.

Whats going on here? NT can't be that crap, surely its my mistake.

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  #318 (permalink)
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Quoting 
I have been able to define the swing highs/lows so you should be able to also. You can also do a lot of things with them that make much more sense than the traditional indicators. Other than trying to use some unique regression stuff to quantify what my eyes are seeing, I do not use any indicators.

Hey there, yes I wanted to de-subjectivise this process so I used a slow Fisher Transform (John Elhers) to detect cycle tops/bottoms, then drew a Manhattan chart on the turning points. I'm in the process of researching *how* to use this information in trading systems. I'm thinking a gann based method, like buy new highs, sell new lows. Or at least use previous low (or high) as stop-loss when long (short) and accumulating positions

Your thoughts welcome

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  #319 (permalink)
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andyb1979 View Post
Whats going on here? NT can't be that crap, surely its my mistake.

sorry, im being a total thicko. I forgot to click the tab to show the top 20 :S

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  #320 (permalink)
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andyb1979 View Post
sorry, im being a total thicko. I forgot to click the tab to show the top 20 :S

NT has its issues although I find NT7 to work quite well and to be stable. Trading software you just have know limitations of each vendor. All have pluses and minuses. In many ways comes down to what you need. What I do works great with NT but may not work for someone else. One thing is for sure right strategy you can make a lot of money with NT.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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