Happy Tuesday everyone! For those in the US and/or those who trade the US markets, this is a weird and short trading week. I am finally catching up from my client work and am now reviewing some of what I did last week.

Strategy Factory
I have been looking into KJ Trading's (@kevinkdog's) Strategy Factory workshop. I discussed it with my partner and she thinks it would be a good investment. I am tasked with writing and testing most of our strategies, so this workshop may have some value. I will give it some more thought and decide by tomorrow. In the meantime, I've been reading his book Building Winning Algorithmic Trading Systems. The workshop is in late January and the date looks good to me.

Sim Trading
I did some optimizations Monday because I didn't keep my optimization results from last week and I had some minor code changes. I'm not sure why I didn't trade yesterday, but my partner reminded me.

Anyhow, this is my Eurodollar strategy I'm working. My earlier sim tests were on a 5 minute chart, but the strategy is designed for 60 minute chart. I set it to run last night (it starts trading at 0400 ET) and woke up to find it had successfully taken two trades. I'm currently long 10 contracts.

• 1st trade: short, -$99
• 2nd trade: long, +$312.50 (still open)

There are two issues I have found:

1. The entry occurred one bar earlier than the strategy indicated. I'm guessing that the strategy sent the wrong price.
2. The price generated by the strategy was different than the entry price, even though I was using a limit price. I will have to identify the root cause of that, but it's likely a miscalculation in the strategy.

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

Other stuff
I spent a little time last night doing some research on Forex. I mainly wanted to see how some of our existing strategies would work on forex. I'm a total noob, so I learned a lot. The main takeaway is that I will probably need to use a different broker and software vendor, though Tradestation offers forex data.

So that is about all I have to report.

For today:

• Decide on Strategy Factory (probably 'yes')
• Spend some time on calculating and understanding expectancy scores
• Read some more of of the algo book....maybe I'll start at the beginning this time
• Lurk around here for a little bit

~vmodus

So just a quick update on my trading results for my Eurodollar strategy (60 minute, EDZ19 December contract): Net Profit $265, two trades. My strategy report indicates that it should have been $315, but as I mentioned earlier, I have an issue to resolve with the limit price the strategy is sending.

Here is my cropped chart for today:


My goal is to get my sim account back to $16k, which is where I started back in the Spring. I am at $ 15,886 and am sure I will get back there by next week.

I am done trading for the week. I probably should not have traded today, but Thanksgiving snuck up on me. Tomorrow is a special day for our family, so the wife, kids and I are spending the day together having fun. I will be cooking a feast Thursday.

This will be my last post before next Monday. For those who celebrate, happy Thanksgiving!


~vmodus

Happy Monday and December to all! I hope everyone had a restful holiday, for those here in the States.

I activated my Eurodollar strategy last night, which starts trading at about 0400 ET. I woke up this morning and saw a missed entry, short. I forgot to reset the dates in my strategy, meaning that I had a trade ending date of November 26th. That was okay because it was a losing trade anyhow. I am currently long (in sim) 10 contracts EDZ19.

This is so boring.....for reals, as the kids now say. Backtesting is a lot more fun. Hurry up and wait for the next bar to close. Anyhow, I'm up $187.50 at the moment. With this particular strategy and timeframe, I close my positions at end of day. So I am inching closer to my $16k goal. Hopefully we can close strong.

I'm not doing much else, other than working on correcting some code for my partner. I'm catching up on some technical reading. All-in-all, just a boring day.

Hopefully I will have more exciting things to report tomorrow. Have a great rest of your day folks!

~vmodus

Well, today is interesting in the markets. Today would have been a really good trading day for my current Eurodollar strategy (60 minute). However, this happened...

Last night I was really tired and went to bed early. I had done some cleanup of my PC before heading to bed, but I powered down my PC. I decided to not restart my machine and enable my ED strategy. Big mistake.

My trading day for this strategy starts at 0400 ET. When I got back from my workout at around 0800, I fired up my computer and saw that I missed my 0600 ET entry.
This is what stupidity looks like:


Sometimes trading is about one really good move. I recall George Kleinman stating that sometimes you need just that one good move and it makes your month or year. This would have made my week. Or month. This particular move is worth about $687 right now, and it is still moving. I am fairly certain the trade would have been made, as my limit price was hit multiple times.

On the upside, it was only sim trading. I will likely not hit my goal of reaching $16k on my sim account today (currently $13 away from that goal), since market momentum will probably continue past close, barring any major market moving news.

So I am done for today, at least trading.

For the rest of the day and tomorrow:

• Prepare to begin live trading Eurodollar in January
• Backtest my strategies on some other markets
• Revisit ATR (average true range) calculations; I spent some time in the Spring on this topic, but never integrated this into any strategy

Stay safe out there today in the markets!

~vmodus

Today was a strange day. My Eurodollar strategy ran, but it had a couple issues.

Issue #1: Order rejected
The system rejected a 'buy to cover' order, at the price of 98.1175. This makes no sense, as this contract has a minimum price movement of .0025. This is not a one-time thing. Either I'm stupid, naive, or ignorant about this instrument, but this just doesn't seem to work. Here is a little screenshot of the market depth chart:

I need to call Tradestation about this, but I dread it. My last call to them lasted over 2 hours, not including the hold time, and didn't solve my problem.



Issue #2: End of day exit did not occur
This is weird. The conditions in my strategy have me placing an exit order (sell or buy-to-cover) after 1600 ET, if I am in a position. So I am still in a position that should have exited. My strategy report shows it should have happened, but it didn't get to the I have had this issue before, which is resolved by restarting Tradestation and/or my PC. Not cool for an algo trader, but I have to use the software I have (for now).

Strategy Results versus Sim Results

• My strategy has me at +$127.50 for the day, with two trades (one long win, one short loss)
• My actual trading has me at -$200 at the close, with only one short trade (one rejected exit and no re-entry)

So this is not ideal. If the order had not been rejected, I should have entered long after exit short and then exited my position at the end of the day.

Other stuff
I have been reading Building Winning Algorithmic Trading Systems (@kevinkdog), which is really good stuff. Kevin writes it in a narrative style which makes it easy to read. Although it is geared to algorithmic traders, I think the book has value for discretionary traders. I can see some mistakes that I have made regarding systems trading, in particular testing one strategy against multiple instruments and picking the best performer.

Next steps:

• Call Tradestation regarding the price issue with my strategy
• Keep reading Building Winning Algorithmic Trading Systems
• Keep running my Eurodollar strategy

~vmodus

You might check to see if tradestation has some variety of an audit log, which might shed more light on why your order was rejected.

You also might keep in mind that Eurodollars have a different matching algorithm than most futures, orders fill based on a size priority (pro-rata), instead of time priority (fifo). I don't know of any retail platforms that accurately simulate order matching in eurodollars, so it's likely your live results won't ever match up to sim (not saying it won't make money, just that sim won't be indicative of a strategies pnl, even remotely).

vmodus 

Today was a strange day. My Eurodollar strategy ran, but it had a couple issues. Issue #1: Order rejected The system rejected a 'buy to cover' order, at the price of 98.1175. This makes no sense, as this contract has a minimum price movement of .0025. This is not a one-time thing. Either I'm stupid, naive, or ignorant about this instrument, but this just doesn't seem to work. Here is a little screenshot of the market depth chart: I need to call Tradestation about this, but I dread it. My last call to them lasted over 2 hours, not including the hold time, and didn't solve my problem. Issue #2: End of day exit did not occur This is weird. The conditions in my strategy have me placing an exit order (sell or buy-to-cover) after 1600 ET, if I am in a position. So I am still in a position that should have exited. My strategy report shows it should have happened, but it didn't get to the I have had this issue before, which is resolved by restarting Tradestation and/or my PC. Not cool for an algo trader, but I have to use the software I have (for now). Strategy Results versus Sim Results My strategy has me at +$127.50 for the day, with two trades (one long win, one short loss) My actual trading has me at -$200 at the close, with only one short trade (one rejected exit and no re-entry) So this is not ideal. If the order had not been rejected, I should have entered long after exit short and then exited my position at the end of the day. Other stuff I have been reading Building Winning Algorithmic Trading Systems (@kevinkdog), which is really good stuff. Kevin writes it in a narrative style which makes it easy to read. Although it is geared to algorithmic traders, I think the book has value for discretionary traders. I can see some mistakes that I have made regarding systems trading, in particular testing one strategy against multiple instruments and picking the best performer. Next steps: Call Tradestation regarding the price issue with my strategy Keep reading Building Winning Algorithmic Trading Systems Keep running my Eurodollar strategy ~vmodus

If you have not shutdown TS since that rejected order issue, try going to Trade Manager and click on Messages tab. That should show you the reason it was rejected.

You could call the Trade Desk instead of Client Services, since this was an active trade issue. They should be able to tell you what they see on their end...

And Thanks for reading that book!!!!

addchild 

You might check to see if tradestation has some variety of an audit log, which might shed more light on why your order was rejected. You also might keep in mind that Eurodollars have a different matching algorithm than most futures, orders fill based on a size priority (pro-rata), instead of time priority (fifo). I don't know of any retail platforms that accurately simulate order matching in eurodollars, so it's likely your live results won't ever match up to sim (not saying it won't make money, just that sim won't be indicative of a strategies pnl, even remotely).

Thanks @addchild. The Trade Manager gives me the reason, which is a limit price precision issue. This would be an okay error for contracts beyond the nearest contract (e.g. June 2020), but not for the nearest contract, which has a .0025 minimum price move. So it will allow 98.115 but not 98.1175, which it should. Gotta call Tradestation (dread).

~vmodus

kevinkdog 

If you have not shutdown TS since that rejected order issue, try going to Trade Manager and click on Messages tab. That should show you the reason it was rejected. You could call the Trade Desk instead of Client Services, since this was an active trade issue. They should be able to tell you what they see on their end... And Thanks for reading that book!!!!

Thanks for writing the book @kevinkdog. There is a lot of value for us. It is like holding up a mirror and realizing what we should have seen in ourselves long ago.

I know the reason for the rejection, but it doesn't make sense for the Dec 19 contract. I will try the Trade Desk, but not sure if they can help with a sim order. In any case, they can route me to someone who should be able to help. I will report back here with the answer.

As a side note, I signed up for your workshop last night and am super excited about that in January! Thanks for all the work you put into that and here at FIO.

~vmodus

Well, I made the dreaded call to Tradestation. I started with the Trade Desk (wishful thinking), but they passed me along to client services. Client services told me that a price to the fourth decimal place (10 thousandths) was not allowed. This did not resolve anything. They said it may be a sim thing (it isn't....stay tuned).

So I thanked them for the help. Then I tried to place a live order with a legitimate price (according to CME contract specs, that is): 98.1025 long (well below current bid/ask). This is what I get:



Either I am dense, or there is a problem here. Of course, Tradestation support did not help me with my issue, but I didn't expect them to have an answer. There was still some uncertainty about why the system would not accept it.

I think my next step is to try to place a live limit order via strategy, allow the system to reject the order, then call the Trade Desk again and find out why.

If anyone has any thoughts on this, feel free to comment.

To be continued....

~vmodus