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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

  #31 (permalink)
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liquidcci View Post
We think alike I think money management is a huge part of a winning or losing system. I don't scale out, at one time I used a breakeven but found over time did not help me so just have a target and a stop that do not move.

My settings change depending what instrument right now all I trade is CL where I use a stop over 30 ticks and a target over 40 ticks. I get around 65% to 70% winners with those parameters. The target and stop is much wider than I used on TF back when the Russell worked. These settings are very crude specific. Other markets I may use breakevens, scale in and out tighter stops etc. Crude is a beast and I found need a wide swath between my stop and target to win. I also found a breakeven just did not give it room it needed to get to target so it really brings my system results down. I think the nature of crude to get very directional and run hard on the trend makes that wide combo possible.

I use fixed ratio to scale up my contracts which is very key to my trading and where the profit really rolls.

I will also say one other thing about using a wide range between stop and target on crude at least for a daytrade. I designed my system to specifically weed out alot of signals that would work fine with tighter stops and closer targets. Having such a wide stop daytrading could ruin me if my system took alot of trades. It is hard for my system to have a melt down day because it takes so few trades. It does have losing days of course but has not melted down so far at least. I think if going to use a wider stop on any market have to really balance number of trades your system takes or you get wiped out.

"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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  #32 (permalink)
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Testing

Hi LiquidCCI

When you were testing your system, what parameters did you consider? e.g. Sharpe, max drawdown,etc.

Thanks

Daniel

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  #33 (permalink)
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My experience was the opposite.

I started out attempting to code a solution to the trading 'problem'. I tried indicators. I tried all sorts of things but the one thing I didn't try was being 100% personally accountable for my own decisions.

At one point, I took a step back and told myself that I had to make the decisions myself and that no system would absolve me of that responsibility. I had to accept that this was going to be subjective.

To be honest, such a decision doesn't make things harder necessarily. Its probably just as much effort coding/writing indicators as it is watching the market/tape. You have to be able to embrace that uncertainty because that is where the edge is. The edge is not in finite repeatable patterns in my opinion.

The downside of automated trading is that no-one can teach it. This is because almost no-one is making money at it. Of course, there are lots of people on the internet with lofty claims but if you talk to brokers and platform providers, they will tell you that across the board, they just don't see people making money this way.

The upside of subjective analysis (e.g. market profile) is that it gives you a chance to build prospective scenarios and play them. From the profitable traders I know, they all do something different but they all have a method of defining the action at a higher level (an expectation of what they want to see) and then a way to play it when it happens. These people are also 100% confident in their methods.

I've never met anyone that's made money on automated trading. I think it's a pipe dream for people that don't want to make a trading decision.

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  #34 (permalink)
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DionysusToast View Post
My experience was the opposite.

I started out attempting to code a solution to the trading 'problem'. I tried indicators. I tried all sorts of things but the one thing I didn't try was being 100% personally accountable for my own decisions.

At one point, I took a step back and told myself that I had to make the decisions myself and that no system would absolve me of that responsibility. I had to accept that this was going to be subjective.

To be honest, such a decision doesn't make things harder necessarily. Its probably just as much effort coding/writing indicators as it is watching the market/tape. You have to be able to embrace that uncertainty because that is where the edge is. The edge is not in finite repeatable patterns in my opinion.

The downside of automated trading is that no-one can teach it. This is because almost no-one is making money at it. Of course, there are lots of people on the internet with lofty claims but if you talk to brokers and platform providers, they will tell you that across the board, they just don't see people making money this way.

The upside of subjective analysis (e.g. market profile) is that it gives you a chance to build prospective scenarios and play them. From the profitable traders I know, they all do something different but they all have a method of defining the action at a higher level (an expectation of what they want to see) and then a way to play it when it happens. These people are also 100% confident in their methods.

I've never met anyone that's made money on automated trading. I think it's a pipe dream for people that don't want to make a trading decision.

If auto trading is a pipe dream then all the big banks with their HFT's are pipe dreamers. Most retail traders fail at auto trading because they have bad algo's or they just can't code it properly. I think I am a pretty good programmer, I use to make a living out of it. Now, I have a profitable mechanical system that I trade manually, but I just have not been able to code it so that the computer sees the trades as I see them, no matter how hard I tried. So, I have to say I fall in the latter category, I just don't have the programming resources required to code my strategy.

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  #35 (permalink)
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DionysusToast View Post

I've never met anyone that's made money on automated trading. I think it's a pipe dream for people that don't want to make a trading decision.

I agree

I've never used automated systems but I know for sure that if one small variable like for instance not checking the news for a budget report before 2pm can be very devastating. There are a lot of factors to trading like spotting previous highs or lows people are trying to push. I don't know of any indicator that will spot out previous highs and lows because sometimes they will be camouflaged in trends or are very far away.

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  #36 (permalink)
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DionysusToast View Post
I've never met anyone that's made money on automated trading. I think it's a pipe dream for people that don't want to make a trading decision.

lol please tell me you are kidding with this statement. When you setup auto trade system you make decisions. The bot only does what you tell it to and follows your rules. Auto traders make decisions on proven probabilities not pie in the sky feelings.

"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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  #37 (permalink)
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diverdan View Post
Hi LiquidCCI

When you were testing your system, what parameters did you consider? e.g. Sharpe, max drawdown,etc.

Thanks

Daniel


Max draw down, profit factor and sharpe ratio. Also run through Monte Carlo simulations just for kicks. Don't get me wrong profit is very important and is the goal but I try to filter everything through draw down. If there is not enough profit draw down does not matter as there is no money to be made. But if can right combination that produces then I really take a hard look at draw down. Keeping draw down low can obviously keep you alive but it also allows you to ramp up your size much faster which is where the real money is made.

"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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  #38 (permalink)
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sidney7g View Post
I agree

I've never used automated systems but I know for sure that if one small variable like for instance not checking the news for a budget report before 2pm can be very devastating. There are a lot of factors to trading like spotting previous highs or lows people are trying to push. I don't know of any indicator that will spot out previous highs and lows because sometimes they will be camouflaged in trends or are very far away.


I turn my system off when major reports are coming out. If the human eye can spot a previous high or low a computer can be programmed to do the same. It's all numbers. Only thing computer can't do is feel the market which will cause you to go broke eventually. I know guys personally who made a few million feeling the market but went broke. When you try to feel the market you are betting against the house and the house will eventually take it all back. If you program the right auto system with good probabilities or have the discipline to manually trade a mechanical system you become the house.

"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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  #39 (permalink)
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monpere View Post
If auto trading is a pipe dream then all the big banks with their HFT's are pipe dreamers. Most retail traders fail at auto trading because they have bad algo's or they just can't code it properly. I think I am a pretty good programmer, I use to make a living out of it. Now, I have a profitable mechanical system that I trade manually, but I just have not been able to code it so that the computer sees the trades as I see them, no matter how hard I tried. So, I have to say I fall in the latter category, I just don't have the programming resources required to code my strategy.

In my opinion, there is little relationship between HFT algos and your typical man at home trading directional outright positions with Tradestation/NinjaTrader.

Look at "C" before the change - 300,000,000 shares a day traded and a 5 cent daily range. That's the HFT world. Co-location, rebate trading, capturing spreads. Huge investments and millions of transactions a day for pennies at a time.

It has nothing to do with 'not coding it properly' in my opinion. The retailer with his copy of Ninja doesn't have the latency, capital or fee structure to make money on the way that HFTs do. It's expecting automation to be something it isn't.

What we should learn from HFT is this: With all of the resources that these people have, why are THEY not coding directional systems that trade outright positions like the man at home? Why do they bother with HFT? The cost/use of capital is huge. If it were possible to predict future market action based on a few indicators, why would they even bother with HFT?

The answer is that they can't write the kind of systems people on internet forums are trying to write.


Last edited by DionysusToast; June 11th, 2011 at 12:50 AM.
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  #40 (permalink)
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liquidcci View Post
lol please tell me you are kidding with this statement. When you setup auto trade system you make decisions. The bot only does what you tell it to and follows your rules. Auto traders make decisions on proven probabilities not pie in the sky feelings.

Nope - not kidding at all.

All of the profitable traders I know, including one that trades a $30M fund, do not use any automation to make trading decisions. One group is using automation to help find opportunities. They also have a VWAP engine to build up positions over days in thinner stocks but all decisions to get in and out are made by seasoned traders.

I know it's not comfortable making decisions but the markets are not a problem with a mathematical solution.

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