NexusFi: Find Your Edge


Home Menu

 





Attack of the Robots - An Algo Journal


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one vmodus with 357 posts (859 thanks)
    2. looks_two SMCJB with 38 posts (84 thanks)
    3. looks_3 kevinkdog with 27 posts (70 thanks)
    4. looks_4 bobwest with 13 posts (53 thanks)
      Best Posters
    1. looks_one bobwest with 4.1 thanks per post
    2. looks_two kevinkdog with 2.6 thanks per post
    3. looks_3 vmodus with 2.4 thanks per post
    4. looks_4 SMCJB with 2.2 thanks per post
    1. trending_up 91,873 views
    2. thumb_up 1,141 thanks given
    3. group 61 followers
    1. forum 478 posts
    2. attach_file 181 attachments




 
Search this Thread

Attack of the Robots - An Algo Journal

  #391 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853

Although this journal is mostly a relic/artifact, it is still mine, so here goes. I have been working on a ton of systems so I have not been around here as much lately, but more importantly I have been setting up my website for systematic trading. The purpose of the site is to present one trading idea per week and attempt to systematize it, hopefully with the result of having a tradable system.

Personally, this site is meant to help me hone my system development and testing skills and make me a better systems trader and developer. Since my process is transparent, I cannot hide. This will keep me accountable in continuing the process of system development. It also forces me to continue my development, as I learn more about correlation, portfolio building, etc.

Anyhow, we are still tuning and adding things, but you can send me a PM/DM if you are interested. I want to be mindful of FIO rules around promotion. I have four system ideas posted already, with another due Friday.

@bobwest , if this is not allowed, kindly let me know. I would like to update this journal with my weekly system and a link to it, if that is okay.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Exit Strategy
NinjaTrader
Futures True Range Report
The Elite Circle
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
GFIs1 1 DAX trade per day journal
18 thanks
  #392 (permalink)
 
Daytrader999's Avatar
 Daytrader999 
Ilsede, Germany
Site Moderator
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Rithmic / CQG / Ninja Trader Brokerage
Trading: NQ
Posts: 1,525 since Sep 2011
Thanks Given: 2,067
Thanks Received: 2,316

I really like your website, still checking out but definitely some great stuff to explore!

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
Reply With Quote
  #393 (permalink)
 
bobwest's Avatar
 bobwest 
Western Florida
Site Moderator
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
Frequency: Several times daily
Duration: Minutes
Posts: 8,162 since Jan 2013
Thanks Given: 57,341
Thanks Received: 26,267



vmodus View Post
Although this journal is mostly a relic/artifact, it is still mine, so here goes. I have been working on a ton of systems so I have not been around here as much lately, but more importantly I have been setting up my website for systematic trading. The purpose of the site is to present one trading idea per week and attempt to systematize it, hopefully with the result of having a tradable system.

Personally, this site is meant to help me hone my system development and testing skills and make me a better systems trader and developer. Since my process is transparent, I cannot hide. This will keep me accountable in continuing the process of system development. It also forces me to continue my development, as I learn more about correlation, portfolio building, etc.

Systematic Algo Trader: https://systematicalgotrader.com/

Anyhow, we are still tuning and adding things, but you can check out what we have done if you are interested. I have four system ideas posted already, with another due Friday.

@bobwest , if this is not allowed, kindly let me know. I would like to update this journal with my weekly system and a link to it, if that is okay.

The rules are very simple, really. You cannot have a website or other resource that has or promotes a commercial purpose -- selling something -- and also link to it or refer to it from within futures.io.

If that's not what it's for, then there's no problem. If you use or plan to use your site to get customers, in any way at all, then there is a problem.

We do have registered vendors who have services or products for sale, but they can't use futures.io to promote them. If they have a vendor review thread, opened not by themselves, but by another member for genuine review purposes, then they can respond to direct questions in that thread about their service/product, but that's it. They can't furnish a link for further info.

So, if you don't plan to use your site for any money-making purpose (other than your own trading), we will have no problem with it. If, down the road, you expect to have something that may attract customers in some way, or to be in some line of business, you would need to keep it separate from FIO, including not having any links or reference to it.

So that's the touchstone: is there a profit motive to linking to the site from futures.io? Our concern is to not make FIO members available to someone who is trying to sell them something.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Reply With Quote
Thanked by:
  #394 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


bobwest View Post
The rules are very simple, really. You cannot have a website or other resource that has or promotes a commercial purpose -- selling something -- and also link to it or refer to it from within futures.io.

If that's not what it's for, then there's no problem. If you use or plan to use your site to get customers, in any way at all, then there is a problem.

We do have registered vendors who have services or products for sale, but they can't use futures.io to promote them. If they have a vendor review thread, opened not by themselves, but by another member for genuine review purposes, then they can respond to direct questions in that thread about their service/product, but that's it. They can't furnish a link for further info.

So, if you don't plan to use your site for any money-making purpose (other than your own trading), we will have no problem with it. If, down the road, you expect to have something that may attract customers in some way, or to be in some line of business, you would need to keep it separate from FIO, including not having any links or reference to it.

So that's the touchstone: is there a profit motive to linking to the site from futures.io? Our concern is to not make FIO members available to someone who is trying to sell them something.

Bob.

Thanks for the quick response @bobwest ! It is a non-commercial site in the respect that I do not plan to monetize it or sell anything, though it is owned by my company. For simplicity I will not link anything there, that way there is nothing to think about. If people want to search it otherwise, they can PM me easily enough.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #395 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853

It has been a while since I have posted, but I figured I should give some sort of update. I have been cranking out one system per week over on my own site. I have had the most success with mean-reversion systems, which are still relatively new to me. I try to mix up the system ideas, just to keep things fresh.

I stumbled across a great LinkedIn group, which @kevinkdog and others frequent: Algorithmic Traders Association. It is a members only group, but they let me in, so their standards can't be too high.

I would spend more time over here on FIO, but I am juggling the site, plus client work, plus trading. I will say this: I spend less than 4 hours per week on my live trading. This includes O/S and platform updates, setting everything up, optimizations (when needed), and checking the systems a couple times per day to make sure everything is firing on all cylinders. It took me a long time to get myself organized to the point where I was just letting the robots do their thing. This has given me a ton of freedom to focus on other things.

That's it for now! I may post some of my analysis here once I get caught up on some of the other things I'm doing.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #396 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853

It has been quite a while since I updated what is happening in my futures and algo trading journey. Things went kind of weird in July, which has nothing to do with algos or my trading. My wife, who works in the financial industry, took a job with a very large financial institution. We expected there would be some restrictions on our trading activities, but the reality was worse than we initially thought. Let's just say, neither I nor anyone in our household can trade futures, along with a host of other instruments. Considering my journal is here on FIO, I feel like a tourist now.

Here are the changes we had to make to comply with her job requirements:
  • Only use approved brokers; TradeStation Securities and OANDA are not among the approved brokers
  • Close all those accounts (and prove it); this includes both personal and company accounts
  • Comply with a set of draconian trading rules, the strictest I have seen among financial institutions
This means:
  • I needed to migrate away from the TradeStation platform, on which all my algos ran (except Forex, on MultiCharts)
  • Open new accounts (still in progress) with an approved broker
  • Shelve my existing algos
  • Start writing algos that work with instruments that we can trade and on the platform I could use (MultiCharts), all within the constraints for trading
Her job is a very good job with tremendous upside potential, but it has an opportunity cost. It is a cost we are willing to take, but it is an abrupt change in our plans.

Why share this here? It should be a cautionary tale for anyone thinking about moving into the financial services sector, or if they have a spouse or other 'connected person' who is considering doing the same. I know other members of FIO have had to leave FIO when they went to work in the industry, so this is not a new thing and I am not surprised. I am thrilled that my wife is pursuing this opportunity, as she is awesome and will be kicking butt in the industry.

I was supposed to be attending @kevinkdog's Beyond the Strategy Factory event this week (today, in fact). The whole idea was to hang out with other algo traders and build some systems together for a few days. I am greatly disappointed to have had to cancel, but without a trading platform, data, or even the ability to use any of the algos we built, it was pointless to attend. I am seriously bummed out, as I was going to meet some of my fellow FIO colleagues.

What now? Well, I launched a website back in January that was focused on the process of building algos. Up until I lost my platform and data, I was building one system per week. Now I am working on getting my data feeds and platform up and running so that I can start posting weekly again. It may seem like a pointless exercise to build systems I might not be able to trade, but I am thinking about the process.

Starting next week (hopefully), I will start posting new systems on my site. I already have 23 system ideas I have published. Check it out:

https://systematicalgotrader.com/

I am not selling anything and do not intend to use my site as a vehicle for selling. I will start posting a link to my weekly system here in my journal.

One challenge I have is building trading systems that comply with the trading rules I have been given. This is a challenge I look forward to taking. I already have a bunch of ideas that I am ready to start building.

That's it for now. I will try to post weekly here as I publish my systems over on my site.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #397 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192

Missing you in Cleveland @vmodus, was looking forward to putting a face with the name.

The rules financial institutions put on their employees (while the higher up's still enrich themselves) are very harsh. Thankfully my limited experience of that (working at a Bank) didn't last very long. You are right though, there is no way I could post like I do if I was in any of my corporate jobs. Being your own boss definitely has its benefits!

Nice website by the way.

Reply With Quote
Thanked by:
  #398 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


SMCJB View Post
Missing you in Cleveland @vmodus, was looking forward to putting a face with the name.

The rules financial institutions put on their employees (while the higher up's still enrich themselves) are very harsh. Thankfully my limited experience of that (working at a Bank) didn't last very long. You are right though, there is no way I could post like I do if I was in any of my corporate jobs. Being your own boss definitely has its benefits!

Nice website by the way.

Thanks, missing you folks as well. I hope you are enjoying the 'retreat'. Make sure @kevinkdog gets a picture of the FIO members to share here.

The thing that makes zero sense about the restrictions is that it is a blanket policy: CEO, back office, custodian, and cafeteria worker are all subject to the same restrictions.

Even external consultants have to abide by the rules (not sure how they enforce that). I may do some contract work with them to just find out.

The one big positive to come out of this is that it forced me to move from the TradeStation 'walled garden', which is something I have wanted to do for a few years. I lose things like integrated data and MultiOpt, but I gain freedom. MultiCharts will be a good bridge until I start working with Python. I've moved one account to IB and may setup our business account there. If my wife's work situation changes, then I can easily ramp-up futures trading again.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #399 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853

This is my first update in a while, mainly because I finished work with one of my clients (non-trading) last week and have a pause before I jump into the next activity. I am posting my experience here because the process of shifting brokers, changing trading styles, etc. is interesting to me.

It has been a painful transition, but I finally have my broker (IB) setup for for both personal and business trading. I went with IB because they are an 'approved broker', according to my wife's employer. 'Approved broker' is code for: "we can easily look at your trading activity", i.e. there is a relationship between her institution and IB.

My IB experience is completely different from my wife's experience last year, when she tried to open an account with them for our business and the process was so bad that she abandoned it after two weeks of struggling with them. I was able to open an account and be approved in less than 24 hours. Her struggle in opening the account was, in part, due to the onslaught of new accounts IB was seeing while a good number of people were in lockdown last year. Anyhow, I was amazed at how easy it was, and the only human interaction I needed to do was at my own bank for the wire transfer to fund the account. A business account has more paperwork involved, but IB has their process perfected.

I am writing this today because I just got my data feeds from IB flowing into MultiCharts, which is a big milestone for me. I am only using delayed data (that is all I need in my new paradigm), which will allow me to get back to building trading systems. Data pricing is a lot different with IB in how they package things, but since my live trading is exclusively long term now, my costs will be minimal.

My next thing to do is begin migrating my existing systems to MultiCharts from TradeStation. As many people know, they share similar languages, so the process is not difficult, though there are some differences. Firstly, I will migrate my working systems, meaning those that passed my criteria for live trading. Secondly, I will look at equity curves and performance reports. Finally, for those systems that require optimization, I will go through the exercise of walk-forward analysis and optimization.

I am eager to get on with this while I have the free time to do it. I hope to get a new system developed this week for my blog. I'll add updates on my migration process. I leave with with my CL chart in IB with one of my favorite indicators, the KAMA (my custom version).


~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #400 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


I had a few minutes this morning to migrate one of my systems (Heating Oil, swing) to MultiCharts. I plugged in the code, tweaked it a little, and got it working.

SAT2021-07 HO


This is one of the systems that passes my criteria for live trading. If you are interested in the details of how I developed this system, you can check it out on my blog:
https://systematicalgotrader.com/2021/03/19/sat2021-07-fractals1/

I will update this as I progress through my other systems.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:




Last Updated on March 31, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts