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Algorithmic Intraday Swing Trading
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Algorithmic Intraday Swing Trading

  #1 (permalink)
Elite Member
Frankfurt am Main, Germany
 
Futures Experience: Intermediate
Platform: Sino
Favorite Futures: FGBL, FESX
 
Ludi's Avatar
 
Posts: 2 since Dec 2014
Thanks: 0 given, 0 received

Algorithmic Intraday Swing Trading

Hi there,

I've been lurking around on this forum for a few weeks. But now it's time to say hello to everyone. I'm a long time software engineer and a intermediate trader, doing some trading in my free time, and I want to move on and want to make a living from trading.

As most of the people out there, in the beginning, I thought "It can't be that hard to write a program, that makes some automated trades to get lots of $$$ without any work." But I was wrong. After losing lots of money by simply doing stupid things (now I know, how stupid and naive I was back then). Well I read a lots of books, lots of internet sites, and now I'm here

During that time, I developed over the last years a software on my own, which helps me to develop, backtest and live trade my strategies (well, I'm a OS X user and there was no usefull software available).
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By reading the title, you can see, how and what I want to trade. Currently, I would like to trade (automated) the Bund Future (FGBL) and Euro Stoxx 50 (FESX), intraday, using swing trading (for me, swing trading means, that after every new high follows a new low, as you can see in the screenshot), using maybe 5, 10 or 30 minute bars. And I want to trade as "naked" as possible.

What do think? Is this sane or insane? Currently, I haven't developed a strategy yet or thought about filters to get ride of the bad trades, so I don't know, if this idea is usefull or not, I want to hear some thoughs about this from the users here, if it is a good idea or a dead end.

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  #3 (permalink)
Elite Member
Madrid - Spain
 
Futures Experience: Advanced
Platform: Own supported by others
Favorite Futures: FDAX, SP500, €/$, CL, etc.
 
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Posts: 125 since May 2014
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Hi.

Well, if you want thoughts, IMO you're still poorly defined the project.

Start trying systems from usual indicators. Play a bit with them at all levels (parameters, backtesting, etc). Next, look for better ideas from what develop a system; maybe from some indicators/systems shared here in futures.io (formerly BMT)F. Again, play with them (simulated).

And unless you have a strong impression of having found "something", go thinking that must invent something to base and develop your algorithmic technique.

Regards.

Home people force
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  #4 (permalink)
Elite Member
Frankfurt am Main, Germany
 
Futures Experience: Intermediate
Platform: Sino
Favorite Futures: FGBL, FESX
 
Ludi's Avatar
 
Posts: 2 since Dec 2014
Thanks: 0 given, 0 received

Hi Wikmar,

thanks for the answer. And you're absolutly right, I poorly defined, what I want to achieve. I just want to get some input from others, who may have done the same thing in the past.

Trading in so short time frames (e.g. 5 minutes) produces lots of noise and signals. So, I guess the first question would be, if there are any indicators, which are more robust on such short timeframes.

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  #5 (permalink)
Elite Member
Madrid - Spain
 
Futures Experience: Advanced
Platform: Own supported by others
Favorite Futures: FDAX, SP500, €/$, CL, etc.
 
Wikmar's Avatar
 
Posts: 125 since May 2014
Thanks: 1,583 given, 90 received


Ludi View Post
Hi Wikmar,

thanks for the answer. And you're absolutly right, I poorly defined, what I want to achieve. I just want to get some input from others, who may have done the same thing in the past.

Trading in so short time frames (e.g. 5 minutes) produces lots of noise and signals. So, I guess the first question would be, if there are any indicators, which are more robust on such short timeframes.

You are nearly asking for the Holy Grail. We are so much people looking for an approximation.

Probably you know indicators, generally speaking, indicates late (those that indicate something, because many just give noise).

The way of this approximation I said, is a whole World.

Attempting to take you some steps forward, I would recomend you two things:

* Study the world of the averages. See special developments (Kauffman, Hull, etc),... see its drawbacks and... develop your one!.

* Study this thread, take ideas from it even though some things are not comfortable for you (i.e.: the type of bars used or whatever else): https://futures.io/elite-circle/2662-wizards-den-holy-grail-ii.html


Done, but I strongly recomend the process I said in the other post; try, play, with all the rest of indicators and its combinations (MACD, CCI, etc, etc). And be aware about other very important component; the volume (another whole World).

And don't forget share your findings with friends

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