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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

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  #101 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
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So I exited my short positions on the re-open of the market, but had to do it manually. I added the SetExitOnClose to my strategy, but it didn't do anything. I think it was my mistake, in that I added it after 1600 ET, so the strategy was not re-evaluated until after the bar was closed. I will try again tomorrow with a position and see how it works.

So I hit my goal of getting my sim balance back to $16k:


This is what the chart looked like:


One good move, that was all that happened and all I needed. Now I'm not too concerned with that balance, as I will be using the sim account for some other testing, such as the exit on close mentioned above.

Okay, to bed now, for reals (as the kids say).

~vmodus ... out

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  #102 (permalink)
Legendary Systematic Algo Trader
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ocpb View Post
Hi vmodus, I probably can't help all that much, but just wondering...
Since you're testing things...
Did you enter your live limit order test by clicking on a DOM at the 98.1025 price?
How about the same for a later contract month? All good?
Maybe the platform somehow thinks that EDZ19 is not the front month anymore.
Does TS have any other interfaces you can enter an order in, say a web or mobile?

Also, what about the tradestation discussion forum? I searched on there and there are at least one result about rejected orders. I can't read that forum since I'm not a TS customer, but maybe there are people on there that would have more insight.

Sorry, I totally missed your response last week. Yeah, I tried pretty much everything (Trade Bar, Chart Trading), no luck. The forums did not help, but @kevinkdog helped me by posting a request on the forum.

The price on the front month char shows .0025 increments, and later months at .005. It is not a data or chart issue. I'm guessing a bug.

Anyhow, thanks for the suggestion!

~vmodus

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  #103 (permalink)
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vmodus View Post
So yesterday was a little boring for December 19 Eurodollar, which got me thinking last night that maybe I should switch to the March 2020 contract. So I set my strategy in sim on the EDH20 before I went to bed.

When I had a little more time to look at it this morning, I found that if I had this strategy on this contract, I would have had a couple of minor, but profitable trades (~$250 worth). Anyhow, my strategy did pickup a short trade (currently +$375). Hopefully it holds and I can eek $250 profit, which puts my sim account balance back to $16k, my little goal.

EOD Exits in Easylanguage
So I have a parameter in my strategy that I can set to exit at the end of the day. I coded the exit, but it did not work properly.... or rather, didn't work at all. So I stumbled across SetExitOnClose, which is a function that will exit whatever positions I have open for this instrument at the end of the day. So I created a new version of the strategy and replaced my faulty exit with SetExitOnClose.

At first blush (backtesting), it appears to work better than my current exit. I am now running it through the gauntlet of testing to see what it will produce. The next true proof for this function is in sim.

To be continued....

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

I think that is all I have for today.

For tomorrow:
  • Finish reading Building Winning Algorithmic Trading Systems
  • Keep running my Eurodollar strategy in sim
  • Test the SetExitOnClose in my sim account



~vmodus

Don't waste your time testing setexitonclose. It works just fine in backtest, but will NEVER work in real trading (unless you are using custom sessions).

The reason?

Your chart gets notified when a session ends, and that is the last tick of the day. When that happens, setexitonclose says "oh it is the end of the day, I should sent my order to close."

Of course, it dutifully sends its order, but guess what? It is rejected because the market is closed!

Pretty silly, right? But that is what happens.

Your best bet is to use a time based exit (if you are using minute bars), or a custom session that ends a few minutes before the exchange closes (again for minute bars. With a custom session, set exit on close will actually work).

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  #104 (permalink)
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kevinkdog View Post
Don't waste your time testing setexitonclose. It works just fine in backtest, but will NEVER work in real trading (unless you are using custom sessions).

The reason?

Your chart gets notified when a session ends, and that is the last tick of the day. When that happens, setexitonclose says "oh it is the end of the day, I should sent my order to close."

Of course, it dutifully sends its order, but guess what? It is rejected because the market is closed!

Pretty silly, right? But that is what happens.

Your best bet is to use a time based exit (if you are using minute bars), or a custom session that ends a few minutes before the exchange closes (again for minute bars. With a custom session, set exit on close will actually work).

Thanks, I wont. What you described is kind of what I thought, but surely TS wouldn't give us a function that serves no real purpose would they?


I guess it is like an appendix.... it's there, but serves no useful purpose. I'll go back to my time-based exits.

~vmodus

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  #105 (permalink)
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vmodus View Post
Thanks, I wont. What you described is kind of what I thought, but surely TS wouldn't give us a function that serves no real purpose would they?


I guess it is like an appendix.... it's there, but serves no useful purpose. I'll go back to my time-based exits.

~vmodus


It goes back to the days when Tradestation first started, and backtesting (not automated live trading) was all there was. At that time "setexitonclose" was great for backtesting.

Now, it is only good with custom sessions.

I have found, however, that it is a great litmus test for trading "educators." I have seen quite a few show daily charts that use setexitonclose, and of course their results look great. Them doing that is a dead giveaway - they don't trade it live!

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  #106 (permalink)
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Well, I didn't post anything yesterday for a few reasons. I am fighting a cold (I'm winning), so I'm really just tired ("don't trade tired or sick".....Kleinman) and not terribly productive. The other reason is that my strategy, as of right now, has not produced any new trades (Eurodollar March 2020 contract, 60 minute).

I did have one signal for a short position, but the limit price was never hit, so no entry. I'm glad both sim and my strategy report are in agreement. Here is what the last two days look like:


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

Other than that, it has been a good day. Sometimes my wife/trading partner and I will go for a walk to discuss where we are with trading strategy development, markets, etc. We get some physical activity and get some work done at the same time. The big topic today was the book, Building Winning Algorithmic Trading Systems. She finished reading it Tuesday and found it to be a wake-up call, I believe. We both realize that we need to formalize our strategy development process, and the book provides a pretty good process for strategy building, testing and deployment (or binning if a strategy does not pass all tests).

I have been thinking about the processes in the book. The process is similar to SDLC (software development life cycle), so it is a familiar and comfortable process for me. Isn't algorithmic strategy development essentially software development at it's core? I want to expand on Davey's process and create a full blown process diagram. I probably won't be able to get to that until January at the earliest, due to current time constraints.

Along with that thought, one of my goals for our little trading organization is to formalize a lot of our processes, in particular cataloging strategies, entries, exits, functions, etc. We have been winging it for a long time and it is really not sustainable. This is the horrible part of system trading development that not many developer's enjoy doing, but is very important. We have all sorts of strategies, ideas, custom functions, and random code floating all over the place. It is a hot mess. The main point here is our need for discipline. To quote Aristotle, "Through discipline comes freedom", or as Jocko Willink paraphrases, "Discipline = Freedom".

I could write a book chapter on this subject, so I will just stop myself here.

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

The rest of today and tomorrow:
  • Finish Building Winning Algorithmic Trading Systems
  • Work on some code problems for my partner

That is all for today! Gotta hit the books.

~vmodus

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  #107 (permalink)
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kevinkdog View Post
It goes back to the days when Tradestation first started, and backtesting (not automated live trading) was all there was. At that time "setexitonclose" was great for backtesting.

Now, it is only good with custom sessions.

I have found, however, that it is a great litmus test for trading "educators." I have seen quite a few show daily charts that use setexitonclose, and of course their results look great. Them doing that is a dead giveaway - they don't trade it live!

This is kind of funny, but not in a good way. The Dictionary makes it seem like you can still use it, but if you look at the related built-in strategy, Close at End of Day this what they state:

Quoting 
This exit strategy is designed for use only with back-testing; it is not recommended for automation.

Funny, because the only thing in this strategy is SetExitOnClose. I'm not sure which is more accurate, the strategy or the Dictionary.

I guess someone thought it was a good idea at some point, but even for backtesting I can see it giving wildly weird backtesting results.

~vmodus

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  #108 (permalink)
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Well, I figured I should share this, since I've been writing about EOD exits. This is a simplified version of my solution (my solution is a little more elegant and efficient). It works on the 60 minute chart and Eurodollar, for now, but as someone pointed out to me it will not work on different timeframes/market close combinations (e.g. ES 10 minute chart with a 1615 market close). I'll have to puzzle that through when I need it for those markets.

Here is the logic in pseudocode:
If the current time = start of last bar
and I'm in a position
and the EOD exit flag is set to 'yes'
then buy-to-cover or sell all contracts
If you code in Tradestation, maybe you will find this useful:
 
Code
// Exit at end of session
If time = CalcTime(Sess1endtime, -Barinterval) 
   and MarketPosition = 1 
   and eod_exit = 1
      Then 
         sell ("Long Exit EOD") Currentcontracts contracts this bar at close ;
            
If time = CalcTime(Sess1endtime, -Barinterval) 
   and MarketPosition = -1 
   And eod_exit = 1
      then 
         buytocover ("Short Exit EOD") Currentcontracts contracts this bar at close ;
I think this might work in Multicharts, though you will want to check the functions to be sure. I hope you find this useful.

~vmodus

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  #109 (permalink)
Legendary Systematic Algo Trader
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I just finished reading Building Winning Algorithmic Trading Systems. Rather than bore you with the details, I just put it over in the Highly Recommended Books thread:
https://futures.io/traders-hideout/8-some-highly-recommended-books-49.html#post761471

Let's just say I recommend it and there is a little something in there for discretionary traders, too. I would say that this is a must have for algo traders. Just sayin'.

Now I have to work on a task for my partner, coding something or another.

~vmodus

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  #110 (permalink)
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Well, this week has been wildly boring for my strategy. It has been very quiet, with no trades over the past 3 days. I won't bore you with the chart.

Right now I am working through a lot of backlog and am in the process of upgrading some systems (NAS, etc.), so I have not had a lot of time to dedicate to trading today. I am sorting through some of the content for my upcoming Strategy Factory course in late January. I am really excited about it.

It is wine o'clock, so I'm going to empty the dishwasher and be domestic. I hope you all had a great week and I'll see you on the other side (of the weekend, that is).


~vmodus

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  #111 (permalink)
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Well folks, I think this will be my last entry for the year. I have been up to my hips in upgrades the past few days, as well as preparing for the holidays. I will not be developing any new strategies or testing existing strategies, with the exception of letting my Eurodollar strategy run on the March 2020 contract (60 min timeframe) in simulation.

I have a lot of reading and studying to do in preparation for my Strategy Factory class in January. I want to be ready.

I plan to relax during the holidays, even though we have a lot happening. Anyhow, if I don't check in here until January, never fret, I will be back. If I come across a hilarious picture, I'll post it over on Funny Pic of the Day. The one I posted earlier today was pretty funny.

Happy holidays, peace on earth, and pass the eggnog.


~vmodus (a/k/a Santa Claus)

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  #112 (permalink)
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Happy new year everyone!

I was able to get back to trading work last Friday. I flipped on my ED strategy, but there were no trades. I did not turn it on yesterday, mainly because I was working on other non-trading activities.

Friday:
My wife/business partner needed some help capturing values for a pivot strategy she has developed. I had written a function in Easylanguage to get the high and low session close over the past two trading sessions. It functioned okay, but then she wanted the high and low session close for three trading sessions. She specifically needed the session close from an intraday chart, not the close from the daily chart. We have learned that these values can change. Her strategy requires the session close values to function properly.

My earlier solution to get the value was a brute force method: go bar by bar, backwards (using a FOR loop), and once I get to the session close bar, store the value. There were two limitations to this approach: performance and accuracy.

Issue 1, performance:
The performance issue is not a problem on a live strategy, as it calculates in milliseconds. However, it becomes a problem when optimizing. At every bar, it loops backwards for 2-3 days. Here is what a 60 minute bar would do, in a worst case:
  • 23 bars per day * 1 (to get the value for day 1)
  • 23 * 2 (to get the value for day 2)
  • 23 * 3 (to get the value for day 3)
23 + 46 + 69 = 138 iterations
Again, this is not a problem bar-by-bar. But let's extrapolate: 1 month or 21 trading days * 23 bars per day * 138 = 66,654 iterations.

Now multiply by 12 for a year, and you get 799,848 iterations. Now let's optimize. Minimum optimization, as I understand, should have at least 10,000 scenarios. So now we have 7,998,480,000 iterations. That's 7.9 billion, just for that function. Now imagine what happens when we go to a smaller timeframe, like 5 minutes. Yikes. I will explain my simpler and more elegant solution in a moment.

Issue 2, accuracy:
I don't know why, but at the end of every month, on a continuous chart (e.g. @YM), the function comes back with zero for a session close. I think it is related to how dates are added and subtracted. In simple terms, dates are stored as numbers in TradeStation/EasyLanguage and I didn't account for that. But by this point, I'm not interested in fixing this problem.

A better solution:
I spent some time just thinking of a better way to do this. Really. Just sitting thinking, not doing anything else. To quote Lebowski: "my thinking has been very uptight", regarding this problem. My solution is much better (think elegant and simple) and doesn't require a separate function. Here is the logic, for storing the last three session close values:

Variables:
  • v_last_close
  • v_2_closes_ago
  • v_3_closes_ago
And the logic:
  1. Every day, check the session close time
  2. If we are at the session close, then:
    • move v_2_closes_ago to v_3_closes_ago
    • move v_last_close to v_2_closes_ago
    • store Close in v_last_close
  3. Get the minimum value of the three variables (lowest close)
  4. Get the maximum value of the three variables (highest close)

That is it. It only runs once per day and is 99% accurate, thus solving both issues. Performance for optimization and backtesting improves by about 97% for this section of code. It only has a problem (the 1% inaccuracy) on holidays or other days the market closes at a different time, where we may have an early session close (e.g. 1300 instead of 1700). We usually do not trade around a holiday, thus it doesn't matter for us. I can fix that, too, if I like, but for now it is good enough.

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

I did not get any trading work done yesterday, mainly due to other work commitments. Here are my plans for this week:
  • Turn on my ED strategy in sim and let it run. I can only describe this strategy as 'mercurial'. I cannot determine if it is a good strategy, a lucky strategy, or a bad strategy. Some results are breathtaking and other results are head scratching.
  • Revisit my old VX strategy and try to figure out why it was trying to take so many trades. This strategy has a ton of potential.
  • Start to build a process flow for strategy building, using the diagram in chapter 8 of Building Winning Algorithmic Trading Systems as a starting point.
I have some client commitments, so I need to focus on that. I am getting excited for my Strategy Factory course on January 29th. I am also excited to get to live trading in the near future.

~vmodus

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  #113 (permalink)
Legendary Systematic Algo Trader
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I realized yesterday that I did not "show my work" from yesterday, as my teachers might have said. Below is a little EasyLanguage code snippet from my strategy that solved my three day close problem.
 
Code
//  Note: this does not account for markets that close early (e.g. holiday, emergency, etc.)
//      Also, the values are not populated until the fourth trading day
variables: 
   day_of_week(0) ,
   session_end_time(0) ,

   v_last_close(0) ,
   v_2_closes_ago(0) ,
   v_3_closes_ago(0) 
   ;
   
day_of_week = dayofweek(date) ;   // This is probably redundant, but I use day_of_week elsewhere in my strategy
session_end_time = SessionendtimeMS(FirstSessionMS(day_of_week)) ;

if time = session_end_time 
   Then  
      Begin
         v_3_closes_ago = v_2_closes_ago ;
         v_2_closes_ago = v_last_close ; 
         v_last_close = close ; 
      end ;
~vmodus

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  #114 (permalink)
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vmodus View Post
I realized yesterday that I did not "show my work" from yesterday, as my teachers might have said. Below is a little EasyLanguage code snippet from my strategy that solved my three day close problem.
 
Code
//  Note: this does not account for markets that close early (e.g. holiday, emergency, etc.)
//      Also, the values are not populated until the fourth trading day
variables: 
   day_of_week(0) ,
   session_end_time(0) ,

   v_last_close(0) ,
   v_2_closes_ago(0) ,
   v_3_closes_ago(0) 
   ;
   
day_of_week = dayofweek(date) ;   // This is probably redundant, but I use day_of_week elsewhere in my strategy
session_end_time = SessionendtimeMS(FirstSessionMS(day_of_week)) ;

if time = session_end_time 
   Then  
      Begin
         v_3_closes_ago = v_2_closes_ago ;
         v_2_closes_ago = v_last_close ; 
         v_last_close = close ; 
      end ;
~vmodus

Could you use close[1], close[2], close[...], close[n] etc. instead of keeping track of the close values yourself?

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  #115 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
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Well, today was an interesting day. I spent some time researching and learning about ATR, or Average True Range. I explored this last Spring, but I tabled it. There was a specific article in TASC (aka Stocks & Commodities magazine) which featured an alternative calculation for ATR. I foolishly did not bookmark or otherwise save it, so it is lost until I stumble across it again.

Anyhow, I have been looking for a complimentary indicator for the trend-following and cycle indicators I use, specifically a volatility indicator. I read a couple of articles about ATR by Jeff Swanson on easylanguagemastery.com. I spent a little time learning about ATR, including this cool video from Reyner Teo:


It was very informative, though I think it needs several viewings to get a good grasp of how I can utilize it.

At first blush, I can see some value on Eurodollar, (EDH20, 60 minute):


The general idea, at least for me, is to stay out of the market during low volatility. As you can see above, I probably wouldn't trade when ATR is below a certain level. I drew an arbitrary line to give me a reference point in my thinking. I'm not sure ATR is totally useful for my ED strategy (it would have filtered two small but profitable trades), but it definitely has promise on some other futures instruments.

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

In trading news, for some reason, I have not been running my ED strategy in sim. I guess I should have, if nothing else than to validate what I think I know (that maybe it works?). I looked at my strategy performance report and I would have had one trade (you can see it above), for a $220 net profit (after commissions and fees).

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

Tomorrow:
  • Run my ED strategy in sim (duh)
  • Work on my old VX strategy
  • Catch-up on trading videos and reading that I have piling up

Have a great evening and catch you on the other side of today!


~vmodus

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  #116 (permalink)
Legendary Systematic Algo Trader
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userque View Post
Could you use close[1], close[2], close[...], close[n] etc. instead of keeping track of the close values yourself?

Sadly, no. We tried using a daily chart ( close[1], etc. ) on Data2, but the daily close is not always the same as the session close. Rationally, I would expect that, but it isn't the case. I'm guessing this is due to the settlement after the close and whatever adjustments are happening on the exchange side.

This solution is actually really simple and easy once I figured it out. It is lightweight, as the condition is only met once per day.

~vmodus

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  #117 (permalink)
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So today I tried to work on the things I set as my activities today.

ED Strategy:
I set this up before I went to bed, automated, in my sim account. Trading for this strategy starts at 400. There were no entries triggered until 1400, but my sim order did not get filled until nearly 1430, due to unusually low volume. I have end of day exits setup, so I exited at 1600, with a loss of -$24, which was all commission.

Below is what it looks like:


So if I had applied an ATR filter, this trade may not have happened. It doesn't really matter, as all I lost was commission. A better exit would have been profitable, but it is a hard market order at end of day.

VX Strategy Redux:
I spent some time rewriting my VX strategy to incorporate some of the changes I've made to variants of the strategy. I started testing on the 60 minute chart, with mixed results. I need to dig in and make sure it is taking the entries it should.

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

Well, it is late and I am tired. I'll work on this more tomorrow.

~vmodus ... out

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Well, today was a pretty interesting day. I'll make it quick because I want to get away from my desk.

ED Strategy
Trading on the Eurodollar (EDH20, 60 minute), my strategy was flat like yesterday, taking one trade. I exited early to break even, rather than take a potential -$125 hit. Again, ATR was low, as seen here:


I like that the strategy is working 100% as expected. Seriously, that is kind of a big deal. The last couple of days have been quiet for Eurodollar, so I'm not going to stress that. I will consider going live with one contract next week, as it is a low risk proposition.

VX Strategy
I feel like Dr. Frankenstein, raising my monster, made from all sorts of odd parts of old strategies, from the dead. I didn't like one thing happening with my strategy on the VX. My exit criteria for a long entry was, in pseudocode:
 
Code
if iTrend > Trigger, sell short
(For those who haven't been following this journal, these are two trendlines....my strategy is a 'simple' [hahaha] crossover strategy). The problem with the criteria above is that, for VX, iTrend = Trigger too often, thus exits were being missed. I hadn't really noticed until I checked the chart against the signals and saw missed or delayed exits.

Anywho....I fixed that today, for both the short and long side.
 
Code
if iTrend >= Trigger, sell short
Yeah, it was simply 'greater than or equal to'. Of course that required a who bunch of retesting and walk-forward optimization, but I expected better results due to code change. Since this is a VX specific strategy, I tested two timeframes:
  • 60 minute: Overall okay, but testing was a mixed bag, in particular walk-forward. Equity curve is upward, but too much like a shark's mouth for my liking.
  • 5 minute: Pretty good, to the point that I wanted to see how it would perform in sim. I turned it on for the last 90 minutes of my trading window (1430 to 1600) and it did fine, make a little money for my sim account, about $193 (I was focused on execution, not).
I would like to test an intermediate timeframe, maybe 15 or 30 minute. Things can move fast on this, so the 60 minute timeframe is not ideal.

Sim Account:
So I started the week somewhere around $16,050 and am closing the week at $16,247, +197 (or so)


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

Next Week:
  • I have a bunch of client activities to do next week. So I better work on those things.
  • I will let the Eurodollar strategy continue to run in sim;
  • Decide to go live with one contract of the Eurodollar with my strategy;
  • Sim test VX strategy on 5 minute for a full day.

Okay, that wasn't quick at all. Anyhow, I happily go into the weekend with two potentially profitable strategies. I'm tired of being on the bench and am ready to get back to, you know, trading.

Have a great weekend all! See you Monday!

~vmodus

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Happy Monday folks! I was going to post an explanation of the VX that I wrote over the weekend, as a refresher for those who are not familiar. Unfortunately, it got lost in a system crash (thanks again TradeStation), so that will have to wait until I can rewrite it. VX is a funny little instrument.

Today, I enabled both of my strategies in sim:
  • VXF20 5 minute
  • EDH20 60 minute

VXF20 (VIX Futures) 5 minute
This was the boss today. I changed the starting time for this strategy from 800 ET to 900 ET, just to take advantage of trading in the highest volume periods of the day. After a slow start (first entry at 1025 ET), it chugged along slowly until it hit a range and generated more signals. This is an 'always in' strategy, trading between 900 and 1600. Any exit from the long side is an entry to the short side, and vice versa. The only times we are out is at the beginning of the day (until our first signal), if stopped out, and at 1600, when we exit all positions.

We had 12 entries, which is kind of high for this strategy. Between 1430 and 1530, a one hour stretch, we generated 5 entries. We were in a range, so that was about right. This strategy loves a range, since the limit orders are set at the tops and bottoms of the range, for the most part. We got on the right side (short) of the last big move of the day:



Strategy Performance Report versus Sim Trading
  • Strategy Report: Net Profit = $740
  • Sim Trading: Net Profit = $724
  • Win rate = 100% (just one of those days)
  • Sim trading missed one entry ($45 net profit), but that is to be expected (11 trades in sim versus 12 trades in the strategy performance report)
  • Strategy performance report uses a higher commission ($2.50 each way) than the sim engine. I am using a higher commission for my strategy performance report, because that seems to be the total cost of trading this, at least according to my old statement.
The differences between the two is than one trade was not filled and the differences in commissions.

One final note about the VX: I may need to scale back the timescale to 10 or 15 minutes if/when I go live if I am having issues getting orders filled. This strategy works well in several timeframes, including 60 minute.

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

Eurodollar (EDH20) 60 Minute
Boring. No trades. There was one signal that occurred right before I start trading (400 bar). From there the market declined slowly, but it was otherwise pretty quiet.

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

What I liked:
  • Both strategies required zero intervention
  • I was not freaked out by my lack of understanding the VX orders, as I was last Spring
  • My code executed perfectly (even with the missed order...it was the market's fault)
  • All of the issues I had with VX appear to have been resolved
  • The EOD code for my end of day exit worked (I may push it a couple of bars earlier....TBD)

What I did not like:
  • Nuthin'

This is all sim trading, so these results would probably not match live. I am encouraged that sim is closely following the strategy performance report for both VX and ED. We are one step away from live trading both of these strategies. Unfortunately I cannot trade sim and live at the same time, so I will have to figure out something there.

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

Tomorrow:
  • Client work
  • Watch sim for VX and ED

~vmodus

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  #120 (permalink)
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userque View Post
Could you use close[1], close[2], close[...], close[n] etc. instead of keeping track of the close values yourself?


vmodus View Post
Sadly, no. We tried using a daily chart ( close[1], etc. ) on Data2, but the daily close is not always the same as the session close. Rationally, I would expect that, but it isn't the case. I'm guessing this is due to the settlement after the close and whatever adjustments are happening on the exchange side.

This solution is actually really simple and easy once I figured it out. It is lightweight, as the condition is only met once per day.

~vmodus

On a daily bar the close is the official settlement price which is different than the last trade. For example with Crude / CL the settlement window where the settlement price is determined is from 1:28pm to 1:30pm Central but the last trade occurs at 4pm when Globex shuts. That 2.5 hour difference can result in some significant differences in close/settlement and last trade. A way round this is to use 1440 min bars. These are effectively daily bars but with the actual last trade of the day rather than the settlement price.

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SMCJB View Post
On a daily bar the close is the official settlement price which is different than the last trade. For example with Crude / CL the settlement window where the settlement price is determined is from 1:28pm to 1:30pm Central but the last trade occurs at 4pm when Globex shuts. That 2.5 hour difference can result in some significant differences in close/settlement and last trade. A way round this is to use 1440 min bars. These are effectively daily bars but with the actual last trade of the day rather than the settlement price.

Thanks, I understand now. I guess I assumed a trading platform's [scripting] language would handle this sort of thing.

I use C# to load and pre-process historical raw minute data [from a csv text file]; how do you handle holidays? Do you extend the last [good] data [bar] to fill out the rest of the 1440 bars, or do you use zero to fill them out, or something else?

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  #122 (permalink)
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SMCJB View Post
On a daily bar the close is the official settlement price which is different than the last trade. For example with Crude / CL the settlement window where the settlement price is determined is from 1:28pm to 1:30pm Central but the last trade occurs at 4pm when Globex shuts. That 2.5 hour difference can result in some significant differences in close/settlement and last trade. A way round this is to use 1440 min bars. These are effectively daily bars but with the actual last trade of the day rather than the settlement price.

Wow, thanks for the explanation and the alternate solution @SMCJB! This makes total sense to me.

~vmodus

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userque View Post
Thanks, I understand now. I guess I assumed a trading platform's language would handle this sort of thing.

I use C# to load and pre-process historical raw minute data; how do you handle holidays? Do you extend the last data to fill out the rest of the 1440 bars, or do you use zero to fill them out, or something else?

Since we do not, as a rule, trade right before or on a US holiday, it is a non-factor.

I have written a function to stop trading around holidays. The function is mostly used for backtesting, as we manually disable our strategies before holidays.

To get the data for a market close of 1pm (1300 ET) before a holiday, for example, I would probably write a function to store the last bar's value based on date/time, similar to my solution described earlier. Use an array to store the dates and times of irregular market close, and use the function to get the values from the array. It mucks up the code, but if I need to have it fully automated, I suppose I would have to write something to code around it.

I hope all that makes sense.

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Today has been a wild ride. Let get to it.

Eurodollar Strategy
So things are humming along, with no trades. I look at the chart and see a couple of crossovers with no trades. What?!? So I look at my setup and noticed that I hadn't changed my dates from last week... i.e. my strategy was essentially off.
This is what the parameter setup looks like:

{FYI: TradeStation stores it's dates as an integer and in an odd format: 1200110 = Jan 10, 2020 (120 = 2020 , 01 = Jan, 10 = the 10th).}

I missed a losing trade (-$155 net loss) and should have been in a short position when I noticed this. I manually entered the second missed trade just to try and align to the strategy. I ended up exiting that position as the limit price from the strategy wasn't hit anyhow and the market had stalled... anyhow, it was a hot mess.

Strategy versus Sim
  • Strategy Report: Net Loss = -$310
  • Sim Trading: Net Loss = -$30 (commissions on 10 contracts)
  • Win rate = 0% (2 trade)

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

VX Strategy
This was another hot mess. The strategy got off to a bad start, in that a phantom order was placed by the strategy, but it did not appear on the strategy performance report. I suspect this is a technology issue. We have noticed that we get this once in a while if we do not restart TradeStation or our PC. Anyhow, the phantom order happened this morning, to the tune of -$155 net loss.

The first bad trade was offset by later trades. Then we had a combination of things happen. We had a buy signal, which was filled, then a reversal (sell and sell short) the next bar. The actual trend changed just enough to trigger these signals, but the short signal was in the wrong direction of the next trend. So we are in a short position when the market takes off long.

A stop loss was set to kick in, but it was rejected by the simulator. I had to manually set a limit order and a disadvantageous price because the market was running. I exited with a loss of -$402 (stop loss is $200, btw).

So the stop loss thing wasn't bad, because it showed an error in the code. I need to modify my strategy to send a limit order for a stop, rather than using the built-in SetStopLoss function.



After all that nonsense, things got back on track. One short-side crossover was missed because the limit order price wasn't met (as expected). It then reversed to the long side. The EOD exit was a little awkward and I had to manually intervene. I think I may set the EOD exit to occur a few bars before close. Limit orders are tricky here.

Strategy versus Sim
  • Strategy Report: Net Profit = $280
  • Sim Trading: Net Profit = $100
  • Win rate = 71% (12 trades)

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

Two Systems at Once
Today is the first time I have had two orders in two different systems at the same time. This is one of our goals, which is to have multiple tradable systems running concurrently. Overall, in spite of the problems, it went well. Overall, the systems generated $70 net profit. Without the snafus, it probably would have caused other issues.

Total results for two systems:
  • Total sim net profit: $70
  • Total strategy performance report net profit: -$30
  • Win rate: 69%


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

Lessons Learned:
  • Allow a strategy to run in sim until confident it is following the rules perfectly; we were tempted to start early, but resisted
  • Get out of a bad trade quickly; it is an age-old lesson, but we applied it
  • Check my trading parameters when setting up automation

Tomorrow
  • Write a stop loss exit in my VX strategy
  • Keep running both systems in sim
  • Replace the evaporator fan in my refrigerator
~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

Have a great evening and I'll see you tomorrow!

~vmodus

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Today was quite interesting.

Not trading related, but I have had quite the day. I checked my strategies then got a haircut. I fixed my refrigerator, all by myself. I had to overnight a part, but it came today and I fixed it in less than 10 minutes. It still ate into my work day, but when you are just watching automated strategies run (like watching paint dry), it is not like it terribly impacted my day.



Okay, back on topic. On the trading side of things, my strategies ran. Let's go one by one, then in aggregate.

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

Eurodollar Strategy
This was flat. It took some trades, but it was locked in a range, so all I lost was commission. Unlike some strategies and instruments, this doesn't whipsaw your account to shreds.

Strategy versus Sim
  • Strategy Report: Net Loss = -$90
  • Sim Trading: Net Loss = -$75 (all commissions)
  • Win rate = 0% (6 trades/3 round trips)
The difference in commissions is as stated before: I pad the strategy report a little more.

ATR is still impossibly low. As mentioned last week, we may not trade when ATR is really low as it is. Here is a sample of my 60 minute chart with ATR at the bottom:


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

VX Strategy
This strategy is supporting my Eurodollar habit.

Seriously, the VX strategy did okay today. There were a bunch of signals that did not result in trades, which is an expected outcome with my limit orders. There is no reason to enter a bad trade, which the limit orders help prevent. I did not have time to fix the stop loss issue, which means I also did not have time to fix the end of day issue. I placed a manual limit order to exit my position. I think I will have my strategy look at 16:10 ET for my exit, because there is plenty of volume as everyone else is unloading their contracts before 16:15 ET.

Strategy versus Sim
  • Strategy Report: Net Profit = $220
  • Sim Trading: Net Profit = $189
  • Win rate = 67% (12 trades/6 round trips)

The difference in net profit is that the report is looking at the price at end of day, so it is $50 higher than my actual exit. This should be fixed by tomorrow, I hope.

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

Overall Results - 2 Strategies

Strategy versus Sim
  • Strategy Report: Net Profit = $130
  • Sim Trading: Net Profit = $114
  • Win rate = 67% (12 trades/6 round trips)

I am still waiting for Eurodollar to bust out of its funk, but it will happen eventually. The strategy report is closely matching sim results. I am happy with where we are with this. The one thing that is interesting to watch is what happens with open profit/loss. With two positions, it can be all over the place, up-down-sideways (and is essentially a useless metric). If I ever get motivated, maybe I will make a small timelapse recording of it and post it here.



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

Exploring New Charts

I spent some time today just thinking about charts and data, and how I can mimic the VX and Eurodollar charts in how it looks. I am toying with range charts in TradeStation, with different price ranges and time intervals. They look funny, but maybe I can use them. Here is YM (Dow e-Mini) 15 minute chart:



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

Tomorrow
  • Run my strategies in sim
  • Fix my stop loss and EOD issue on the VX strategy
  • Further explore my new charts

Have a great evening everyone!


~vmodus

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Today was wacky Thursday, mainly because I made it so.

I applied one of my strategies to the funny zig-zaggy chart I showed yesterday and decided to just let the strategy run overnight in sim (Euro FX, ECH20) to see what would happen. The backtest results looked great, so why not? Guess what? It blew up. (Don't Let the Pigeon Drive the Bus).

So if you see my closed P/L screenshot later in this post with a large negative number, you will know why.

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

Enough of that silliness. I continued trading my Eurodollar and VX strategy in sim.

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

Eurodollar Strategy
ED continued flat. It basically looks the same as it did yesterday. Rather than bore you with the details, you can always just look at yesterday's journal entry.

Strategy versus Sim
  • Strategy Report: Net Profit = $65
  • Sim Trading: Net Profit = $65
  • Win rate = % (4 trades/2 round trips)
I forced the final exit when I reached my last trading bar of the day, by manually placing my exit order to pick up the $125 profit for 10 contracts. Unattended, I would have let this go, but in real life I would have taken the money rather than give it back to the market. This is my first profitable day with Eurodollar this week.

One item of note: the ATR, still riding below the minimum point movement, gives me a discretionary trading idea for this instrument. If ATR is below the minimum price movement, then trade the top and bottom of the range. I mean the open and close of each bar for the last 24 hours have been the same prices, as shown here:


I will have to give it some more thought, but it has some potential for bringing in a little more 'folding money' when this instrument is sleepy.

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

VX Strategy
This strategy just keeps chugging along, 4 days in a row profitable. This is not unexpected.

Strategy versus Sim
  • Strategy Report: Net Profit = $615
  • Sim Trading: Net Profit = $639 (estimated, since I was testing the other strategy)
  • Win rate = 67% (34 trades/17 round trips)
No real difference. There were no missed trades. The strategy report (what should have been) matches the sim results (what was) for the most part, aside from some rounding of the commissions. I am very happy about that.

It was an unusually heavy trading day for us.

Here is my equity curve for this week, on the VX:


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

Overall Results - 2 Strategies

Strategy versus Sim
  • Strategy Report: Net Profit = $680
  • Sim Trading: Net Profit = $714
  • Win rate = 67% (38 trades/19 round trips)
Note: Automated trading is kind of boring.

As mentioned earlier, my P/L for the day and the balance are a little goofy:


I will update my sim account to reflect the correct balance for the end of today.

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

Other stuff:
I fixed my stop loss and EOD exit for the VX strategy. This solution is essentially just sending a limit order when my stop loss amount is hit. I tested it successfully, so I updated the code I was using in sim, to verify that it works at end of day.

All-in-all a good day of work and trading. The wacky stuff at the beginning with the Euro FX chart was just to see what would happen.

Tomorrow is Friday....see you then!

~vmodus

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Legendary Systematic Algo Trader
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It is a quiet morning in my office, so I thought I would spend a little time on just some trading things rather than just results.

Psychology
I haven't talked much about this mainly because my emotions are in check by the fact that automated systems take a lot of the emotion away. By way of analogy, it is hard to get too mad because your box of cereal is not full when you buy it (no you weren't cheated) or too happy because a baker's dozen is more than a dozen. It is what it is. You can be mad that a strategy is not performing, but 2+2 still equals 4. If it is executing as designed, meaning no bugs, then you have to accept it.

The other day I experienced some highs and lows, but I used mindfulness to manage it. I stumbled across something that I thought was going to crush the market, so of course I ran with it, with that wonderful rush of hopefulness we experience when we see something that is just out of this world. By experience, I know that in trading, if something is too good to be true, it probably is. Such was the case here. So then, I had to temper my disappointment when my idea failed terribly (see yesterday's journal entry, 'Wacky Thursday'). But coming down was easier because I didn't let myself fly high on the idea.

What I'm saying about my psychology is that I try to temper whatever is happening. Automated trading, or as I prefer to refer to it, algorithmic trading, helps a lot.

My need to be right
Like most humans, I have a very strong need to be right. While watching something go bad this week, I had to stop myself several times from disrupting the flow of automation and system development, and let it play out as it should. I have, from time to time, thrown an internal temper tantrum, when I am wrong. I rarely externalize things.

I have heard parents at soccer matches tell their kids, when they got or are getting crushed by another team: Trust the process. In the context of soccer, their team has a process for developing soccer players, not just winning games/tournaments. I have to tell myself to trust the process of developing ideas into trading systems. When I go off script, bad things happen and things get destroyed. It happened with me and the VX last year. It is part psychology, part discipline. So here are two quote that I need to abide by:
  • Trust the process
  • Through discipline comes freedom
Beliefs written into an automated system
Van Tharp rightly states in his writings that we trade our beliefs. Building and trading an automated system is not immune to this. Indeed, when we develop and write our systems, we are literally codifying our beliefs. Of course, what we believe may be totally wrong.

What else?
I have been contemplating this thought: once I have a set of strategies that are working and running, then what? I am a bit of a futurist and always looking at what might be ahead. What happens if I get to a point where I am just running and monitoring strategies? These are somewhat existential questions I am spinning in my head, probably no doubt along the lines of Maslow's hierarchy of needs, but adapted to trading. Once I get past just surviving with my account intact and eventually thriving....what is next?

I know strategies eventually die, so the exploration and development process should never end. I could do discretionary trading on the side. Start a podcast. Start a band (not really). I'm not sure what life looks like when I'm just running strategies. Like, this morning, my trading activities are this: nothing. Yes, I know 'automated trading is not unattended trading', but in sim, there is not much to do. I am going grocery shopping now, then will come home and make some pćo de queijo for multicultural night at my daughter's school.

I will have to refer back to Tim Ferriss' The Four Hour Workweek, where he addresses this type of existential problem.

Other journals
I follow a few other journals, and I must say that I admire those of you who are discretionary chart traders. I am mostly lost when I try to follow along. Anyhow, hats off to those of you who can do it successfully. So thanks to @snax, @Zachary Standley, and others for laying it out there with regularity. I don't always understand what I'm reading, but I always glean something useful. You also inspire me to be diligent in my journaling.

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~
Now I'm off until later. My VX strategy just kicked in at 900 ET, and my ED strategy picked up an order earlier this morning.

~vmodus

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  #128 (permalink)
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@vmodus .... Portuguese?

Absorb what is useful, discard what is useless and add what is specifically your own. – Bruce Lee
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  #129 (permalink)
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Almost... a few times removed. My wife is Brazilian, I am an American mutt. Our family was in Portugal for a couple months last year and loved it. Pćo de queijo is a distinctly Brazilian food, developed when Portuguese colonists found they couldn't grow wheat, so used cassava root starch (tapioca) for flour.

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Almost... a few times removed. My wife is Brazilian, I am an American mutt. Our family was in Portugal for a couple months last year and loved it. Pćo de queijo is a distinctly Brazilian food, developed when Portuguese colonists found they couldn't grow wheat, so used cassava root starch (tapioca) for flour.

~vmodus

Half mutt here myself, but my mom and grandmother are from the Azores. Had a chance to spend a couple of summers there when I was a kid, and it may very well be the retirement spot for us someday.

Recognized the portuguese, but not the bread itself, so makes sense that it is Brazilian. Looks good though! We may be missing out on the good stuff across the pond there.

Have a great weekend

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Half mutt here myself, but my mom and grandmother are from the Azores. Had a chance to spend a couple of summers there when I was a kid, and it may very well be the retirement spot for us someday.

I would love to visit the Azores. Apparently, they produce a lot of milk there, as all of the milk we had in Portugal was from there.

Like you, we are considering retiring there as well. English is essentially a second language there and it is mandatory in schools starting with 5th grade. Lots of Brits go to the coast for holiday, so it is critical to their tourism industry.

Have a good weekend yourself!

~vmodus

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I did think too much about this, but I realized that I was trading the day before a US holiday weekend. Generally we don't trade this day, but that is typically when we are swing trading (holding overnight). Since all of my back testing has included the day before a holiday, I figured that I would just let everything run until the end of the normal day, since I day trade these two strategies.

So a couple of weird things happened, and I swear my early morning musings here were just about prophetic: "Automated trading is not unattended trading." As mentioned earlier, I did my grocery shopping, fueled the car and returned home. I checked my strategies, everything was moving along nicely. Had some incredibly spicy Korean chicken ramen for lunch, then checked my PC. The system had frozen, while live, in two positions (ED and VX).

Long story short, some trades were missed for VX, so my strategy and sim do not quite match. After restarting, it got a little weird in that it seemed like my strategy tried to catch-up by placing an additional order (I think). Anyhow, lesson learned there. My wife and trading partner uses the TradeStation app to monitor her trades when she is away from her desk and running an automated strategy.

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

Overall Results - 2 Strategies
I figure today I would start with the overall results, since it is easier to just show my little spreadsheet:


My strategy is following sim pretty closely now. This tells me that execution of the strategy in sim is working. This is great news. Execution live is a whole different situation, but this is very close.

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

VX Strategy
I expected today to be bad, since it is the Friday before a holiday. Volume was still substantial enough to support trading.

Strategy versus Sim
  • Strategy Report: Net Profit = $345
  • Sim Trading: Net Profit = $329
  • Win rate = 67% (18 trades/9 round trips)
In sim, I lost two trades when my PC was frozen for about 40 minutes. I had to fix this in the Trade Manager (where we can place, cancel, or modify orders). Actual win rate was lower than the strategy win rate shown earlier.

Overall, I'm happy with this. Last night I compared the equity curve for my walk-forward optimization (which is used to identify the parameters with the highest probability for success) versus my equity curve that I showed in yesterday's journal entry, and they are almost identical. That is incredible. I have pretty good confidence that this strategy will be successful.

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

ED Strategy
This is the same story all week: range. Still, we got on the right side and made a little funny money.

Strategy versus Sim
  • Strategy Report: Net Profit = $95
  • Sim Trading: Net Profit = $101
  • Win rate = 100% (2 trades/1 round trip)
I'm neutral on this strategy. It is doing exactly what it is supposed to. The market is just not playing along. As a result of this boring situation, I was able to identify a possible discretionary trading opportunity for Eurodollar. I will explain in the next section.

I think this strategy will be profitable, but right now we are in a lull. I need to understand more of the fundamentals driving interest rates, aside from the obvious (Fed meetings, etc.).

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~
Eurodollar Discretionary Trading
One interesting thing that I see with Eurodollar is that when the price is stuck, as shown by ATR being below the minimum point move (.005), the price just oscillates between two prices, occasionally touching a third price, but always returning. I think that this can be traded, but I'm not sure.

Today I took one discretionary trade, using this theory. I sold 10 contracts at the bottom price (limit order) and then placed a limit order to buy at the top price (my exit). It worked great. Essentially, it is a 1 tick win, which nets about $101 for 10 contracts. Here is what the chart looks like:



I could possible write a strategy for this, or just trade it when I see it. In any case, here is another little opportunity that may have some merit.

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

Weekly Results (Sim only)
Here are my net profit/losses for the week:

VIX Futures:
  • Sim: $1,981
  • Strategy: $2,500

The difference in VX was due to the stop loss and end of day issues that I resolved Thursday. Also, there was the system crash.

Eurodollar:
  • Sim: $162
  • Strategy: -$20
The difference in Eurodollar was related to not setting my dates on the strategy Sunday evening, plus discretionary exits and trades when we were obviously stuck in a range.

Overall:
  • Sim: $2,042
  • Strategy: $2,260
Despite the issues I had, my sim results were pretty close. I expect that by resolving user error and the bugs in the VX code, sim and strategy would be even closer.

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

This post was way too long. It is well past wine o'clock, so I am going to wrap it up. I hope you had a good trading week and I will see you all next Tuesday!

~vmodus out!

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I only have a few minutes, but wanted to post an update. I setup my VX strategy live and it didn't go well. I had several checkpoints setup throughout the day to stop the strategy if it was failing. There were two bad trades, but no good trades.

Bad trade 1:
Order was entered long, then a reversal order short, but limit order never hit, so I was on the wrong end of a long move. I let it run, to a loss of $400. I could and should have pulled the plug at $150, because my short order wasn't going to get filled.

Bad trade 2:
Order was entered short, but it took so long to fill (11+ minutes) that the market had already exhausted itself and started to reverse when the order was finally filled. This was a loss of $200.

Other trades were either flat or small losses that were reflected on the strategy performance report, so not all trades were a bust, just two. I was able to mitigate the losses with two discretionary trades, to the tune of +$100.

Lessons learned:
  • 5 minute chart won't work on VX due to long time to fill; looking at 15, 18, 20 and 30 minute timeframes.
  • A stop loss appears to be required here, due to the slow fills
  • Due to the way orders are placed, I actually need to keep a minimum of 2 times the initial margin (2 * 8800 = $17,600), since I may have two orders in queue at the same time. Otherwise I need to place an order that was rejected for insufficient purchasing power. This issue may go away with a longer timeframe, but for now I will have to monitor.
  • For now I need to babysit the strategy.

Overall I'm not terribly pleased with the results, but at least my results were sufficient to stop the process. I don't need a sample of 30 bad trades to tell me the system is not working. I am evaluating the 18 minute timeframe, which tested as well as the 5 minute in walk-forward optimization. I will decide tonight or early tomorrow if I will switch timeframes.

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

See ya' tomorrow!

~vmodus

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Regarding Eurodollars, the prompt contract will rarely move much. How much can interest rates really move in the next 15-30 days? A lot of people trade the 4th contract in the H, M, U, Z cycle which would currently be Z20. Don't worry about liquidity as this contract will trade >1M contracts/day. Now your trading an interest rate 270-360 days in the future which can move a lot more! If your using Tradestation though be careful with their Eurodollar custom contracts as the rolls are often wrong.

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SMCJB View Post
Regarding Eurodollars, the prompt contract will rarely move much. How much can interest rates really move in the next 15-30 days? A lot of people trade the 4th contract in the H, M, U, Z cycle which would currently be Z20. Don't worry about liquidity as this contract will trade >1M contracts/day. Now your trading an interest rate 270-360 days in the future which can move a lot more! If your using Tradestation though be careful with their Eurodollar custom contracts as the rolls are often wrong.

Thanks! I'm currently using the Z 2020 contract, as it has the liquidity, which initially drew me to ED in the first place. Plus, I can trade the separate contracts if I want. I will have to keep an eye on TradeStation, but I don't generally hold overnight positions or do rollovers (yet at least).

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I have a few thoughts about yesterday. I was working a 5 minute chart, which in hindsight was pretty aggressive for an instrument (VX) that only accepts limit orders. I took a look at my trade manager and I see that most orders were filled within 12 minutes or less. Given that, I decided to move to an 18 minute timeframe for trading. This generates a lot fewer trades and signals, but they are of the same quality.

My walk-forward optimization parameters yielded an 88% win rate on unseen data (Jan 12th to 21st) on 50 trades. Yesterday's win rate would likely have been 50%.

The interesting thing about yesterday is that it would have been a losing day on the 18 minute chart, -$268. I'm okay with that, as it comes closer to my actual losses for yesterday, -$564 (exacerbated by not having a stop loss). I can't compare apples to apples on the different timeframes, but it works nonetheless.

The Problem with Fills
The next problem I have to consider is: will my orders even get filled? With a longer timeframe, that is less of a problem because I have few signals. Here is the problem on 5 minute chart:
  • 905 > Go long 1 contract @14.50
  • 910 > order still not filled
  • 915 > order still not filled
  • 920 > Go short 1 contract, order rejected (still have an order for 1 long contract, not enough margin for both orders)
  • 921 > Long order filled (doh!) ... yeah, we are in the wrong direction!
On an 18 minute chart, it would look like this:
  • 918 > Go long 1 contract @14.55
  • 929 > Order filled
  • 932 > Reverse position, sell 1, then sell short 1 contract @14.60
So this may work. One area of concern will be getting filled on a reversal (exit and re-entry). I will have to see how that plays out with the longer timeframe. The unfortunate thing is that within sim, it will produce good results. So I have no choice but to test it live.

Bottom Line
I think the problems seen yesterday are fixable. The strategy needs to be babysat for now, though new signals generally cancel out orders that don't get filled. I have a goal of at least 75% of orders filled, which I think is achievable. There are orders that just won't get filled, and that is okay.

My strategy kicks off in about 3 minutes, so I have run. See you later today!

~vmodus

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vmodus View Post
The Problem with Fills
The next problem I have to consider is: will my orders even get filled? With a longer timeframe, that is less of a problem because I have few signals. Here is the problem on 5 minute chart:
  • 905 > Go long 1 contract @14.50
  • 910 > order still not filled
  • 915 > order still not filled
  • 920 > Go short 1 contract, order rejected (still have an order for 1 long contract, not enough margin for both orders)
  • 921 > Long order filled (doh!) ... yeah, we are in the wrong direction!
On an 18 minute chart, it would look like this:
  • 918 > Go long 1 contract @14.55
  • 929 > Order filled
  • 932 > Reverse position, sell 1, then sell short 1 contract @14.60

I assume you will get some feedback from TradeStation when your initial order is filled, and that you can capture this in your code . If so, then don't send off the sell until you are notified that the long was filled. The sell should be contingent on actually having a long position, not on assuming you do because you sent off the long order.

Will this work for you?

Bob.

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bobwest View Post
I assume you will get some feedback from TradeStation when your initial order is filled, and that you can capture this in your code . If so, then don't send off the sell until you are notified that the long was filled. The sell should be contingent on actually having a long position, not on assuming you do because you sent off the long order.

Will this work for you?

Bob.

That is probably a brilliant solution if I can figure it out. I will think about this. With the longer timeframe, it might not matter any more, so I shall have to see.

For now....automated trading is not unattended trading. Thanks for the suggestion!

~vmodus

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vmodus View Post
Thanks! I'm currently using the Z 2020 contract, as it has the liquidity, which initially drew me to ED in the first place. Plus, I can trade the separate contracts if I want. I will have to keep an eye on TradeStation, but I don't generally hold overnight positions or do rollovers (yet at least).

In Tradestation you can backtest against EDZ20 easily but backtesting a constant time to maturity contract doesn't work. For example @ED=219XC+HMUZ should give you a chart of the 2nd contract in the HMUZ which is currently EDM20. If you chart that though you will see that the closing price yesterday was 98.29 which was the closing price for April!!!! This is not an issue related to overnight positions, more an issue that it's just giving you the wrong data. This was reported to Tradestation over two years ago but I guess so few people use it they don't care to fix it.

Also with regards to actually getting fills in Eurodollars you may want to check out this thread

Something similar is probably causing your VX fill issues although thats CBOE not CME and their matching engine is different.

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I missed my journal entry yesterday as I had some things to take care of at market close. Anyhow, the VX strategy on the 18 minute chart performed better (??), but not really. Again, I am seeing the problem with order fills. I had one order yesterday, short, then my reversal buy order was never filled, due to the fact that the price moved beyond before my limit order was filled.

I was eventually able to exit, but it took hours. Part of it was my fault, as I tried to adjust my exit, which of course threw me to the back of the queue for that limit price. There is one thing that may (or may not) have affected this strategy. It is the rollover period, meaning Tuesday was the last full trading day and Wednesday was the expiration day for the January VX contract. I'm not sure how people are doing rollover, but I'm wondering if that could have muddled things. It is just a thought, but I won't dwell on that too much.

Bottom line:
  • 1 trade, short, -$212
  • Strategy performance report: 6 trades, +382
  • I can't trade a strategy where orders aren't filled
  • This strategy won't work with this instrument, at least with a smaller account size (large account size I could place multiple orders, now I am limited to 1 with the margin requirements)
There is one final thing that I will explore with this strategy, which may be the final nail in the coffin to bury it. It may be possible to just take one direction trades, i.e. short only. I am going to sit on this idea for a day. It all comes down to fills and execution.

Next up:
The Eurodollar strategy has been sitting on the back burner, but it's time to bring it to the front. I will be looking trading this strategy on the December 2020 contract (EDZ20). This is a low risk and medium reward strategy which has potential. The expectancy for the prior two days is 17.00 and 20.66 for the month (through yesterday).

As a side note, I am struggling calculating expectancy (Van Tharp versus regular expectancy), so I am just using the calculation I know best:
Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss)
That is all for now. I hope to update this later today once I see what I can do with the Eurodollar strategy.

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vmodus View Post
I missed my journal entry yesterday as I had some things to take care of at market close. Anyhow, the VX strategy on the 18 minute chart performed better (??), but not really. Again, I am seeing the problem with order fills. I had one order yesterday, short, then my reversal buy order was never filled, due to the fact that the price moved beyond before my limit order was filled.

I was eventually able to exit, but it took hours. Part of it was my fault, as I tried to adjust my exit, which of course threw me to the back of the queue for that limit price. There is one thing that may (or may not) have affected this strategy. It is the rollover period, meaning Tuesday was the last full trading day and Wednesday was the expiration day for the January VX contract. I'm not sure how people are doing rollover, but I'm wondering if that could have muddled things. It is just a thought, but I won't dwell on that too much.

Bottom line:
  • 1 trade, short, -$212
  • Strategy performance report: 6 trades, +382
  • I can't trade a strategy where orders aren't filled
  • This strategy won't work with this instrument, at least with a smaller account size (large account size I could place multiple orders, now I am limited to 1 with the margin requirements)
There is one final thing that I will explore with this strategy, which may be the final nail in the coffin to bury it. It may be possible to just take one direction trades, i.e. short only. I am going to sit on this idea for a day. It all comes down to fills and execution.

Next up:
The Eurodollar strategy has been sitting on the back burner, but it's time to bring it to the front. I will be looking trading this strategy on the December 2020 contract (EDZ20). This is a low risk and medium reward strategy which has potential. The expectancy for the prior two days is 17.00 and 20.66 for the month (through yesterday).

As a side note, I am struggling calculating expectancy (Van Tharp versus regular expectancy), so I am just using the calculation I know best:
Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss)
That is all for now. I hope to update this later today once I see what I can do with the Eurodollar strategy.

~vmodus


For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

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kevinkdog View Post
For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

Damn, Kevin. I'm glad you said that!

I sat down some while ago with one of the expectancy formulas and did some high-school algebra and said, "Hey, that's just the average per trade."

But "expectancy" sure sounds much better, doesn't it?

Basically, you can expect to get about what your average has been.

Unless something changes, and then you won't.

Bob.

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kevinkdog View Post
For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

Thanks for clarifying! I was trying to use the calculation from your book, but it didn't match the calculations from the calculator on your site at first. I even pulled out my Van Tharp books and realized he did not have the calculation clearly defined. I trolled here and the internet and came up with a few different calculations

Regardless of how the calculation came out, I believe my expectancy is good.

Now, I think my Van Tharp expectancy is .78 for that two day period, .30 for the month of January. Phew, no sweat.

~vmodus

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I realize that I left out a few things regarding how I am trading ED:
  • Trading Eurodollar EDZ20 for now
  • Start time: 400 ET
  • End time: 1500 ET
  • 12 minute chart, an oddball time to be sure, but it works for me.
  • 1 contract, but expect to scale to 10 slowly
I just have a quick update. I set my ED strategy on for EDZ20 last night, but I failed to turn on the automation, thus I missed 4 hours of trades.

Also, things started to get weird once I turned on the automation. Some orders were not getting sent from the strategy, possibly because I am doing other work on my PC. The solution will be to restart, but for now I'm just watching it. As-is, I know I will not have accurate reporting. My solution on Monday will be to cold-reboot my PC on Sunday evening, then set my strategies. I have a pretty powerful PC (my own build), but Tradestation still has some performance issues when performing multiple tasks (it locked up twice yesterday).

Will update at EOD/EOW.

~vmodus

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Friday was a bad day from the start with Eurodollar, but it had a silver lining. I will just go through each piece, one by one.

Forgot to automate my strategy
Yeah, this happened. So no trades were taken. This becomes important a little later.

TradeStation goes wacky
Once I turned on automation, a few weird things happened. Firstly, there were trades that should have been sent to the Trade Manager, but weren't. Secondly, later in the day, I turned off the automation because the trades weren't going in. Then at about 1400 I saw that a buy order went to the Trade Manager, and then was filled before I could react. I immediately sold, since I wasn't supposed to be in any position. I thought I might have fat-fingered something, but then it happened again sometime after 1500, this time a short sell. My strategy does not trade after 1500 and I know for sure that I did not accidentally place an order, but it happened again while I was working on backtesting another strategy.

I don't know where these orders came from. Maybe they were stuck in memory....I just don't know. I won't go into my bad history with this software, but it is what I have for now. I suspect that maybe I am causing this by doing other things on my PC while my strategy runs.

Disappointment
My main disappointment is that I was not able to allow the strategy to run and evaluate the execution, which was my primary goal.

Not a total bust
Yesterday would have been a losing day, likely about -$44 on one contract (or -$440 when I scale up). So I avoided losses, but again my goal is to see if the strategy executes. This was my silver lining, for what it's worth.

Lessons learned:
  • Restart PC before each trading session
  • Turn on automation at the beginning of the trading day and leave it on
  • Do not do anything else on my PC that is processor intensive (e.g. optimization)
  • If the strategy has problems, restart everything and enable the strategy at the beginning of the next bar

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

So this wasn't my best week, but I do expect things to be better next week. I am excited to take @kevinkdog's Strategy Factory course on Wednesday, so hopefully it ads value to our strategy development processes.

Have a great weekend all!

~vmodus

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  #146 (permalink)
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vmodus View Post
Lessons learned:
  • Restart PC before each trading session
  • Turn on automation at the beginning of the trading day and leave it on
  • Do not do anything else on my PC that is processor intensive (e.g. optimization)
  • If the strategy has problems, restart everything and enable the strategy at the beginning of the next bar

Or have a computer dedicated to running your Tradestation automation. You can get something cloud based very cheap <$60/month. Dedicated server will $100+/month.

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SMCJB View Post
Or have a computer dedicated to running your Tradestation automation. You can get something cloud based very cheap <$60/month. Dedicated server will $100+/month.

Thanks for the suggestion. This is already in the pipeline for us. We will be moving to a virtual PC at some point in the future dedicated to running our strategies, because this solves a few of our problems: uptime (internet connectivity, overloaded PC, location dependence/mobility, etc.). The problem I have not solved is the increased costs, mainly around data fees. Example:

PC 1:
  • Runs our live trading strategies
  • Data fees: $160 / month
  • Virtual machine costs: $0-60 / month
PC 2:
  • Development of strategies
  • Back-testing and optimization
  • Sim testing
  • Data fees: $160 / month
TradeStation (and I'm guessing other platforms are similar) only allow us to have one active login: either sim or live trading, but not both simultaneously. I believe this is due to exchange limitations regarding data usage (one active connection per data subscription), but I'm not certain. Anyhow, I can do development offline with data, but there are limitations, and I need to be able to do both sim and live at the same time, otherwise development gets to be exceptionally difficult.

If anyone knows of a better solution for running sim and live at the same time, I would appreciate any feedback.

~vmodus

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  #148 (permalink)
Legendary Market Wizard
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Why is your data so much? Non-professional data should be about $10/month for futures?

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Legendary Market Wizard
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Sorry for double post.

Re: Tradestation. You can get a second account, thats what I used to do. On the primary account I would have real time data just for the products I was trading, then on the second account have delayed data for everything! As long as your primary account does 2x the minimum volume, both accounts will have Tradestation for free. You will have to pay for data on both accounts though.

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  #150 (permalink)
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SMCJB View Post
Sorry for double post.

Re: Tradestation. You can get a second account, thats what I used to do. On the primary account I would have real time data just for the products I was trading, then on the second account have delayed data for everything! As long as your primary account does 2x the minimum volume, both accounts will have Tradestation for free. You will have to pay for data on both accounts though.

Thanks! We have a main account and a sub-account. We do get TS free, but of course there is data. We are classified as pros, so hence the higher fees.

I may open a personal account, which may help but I am working through the particulars of that. The main thing for me will be running sim for a long period of time while trading live. Algorithmically of course.



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Thanks for the suggestion. This is already in the pipeline for us. We will be moving to a virtual PC at some point in the future dedicated to running our strategies, because this solves a few of our problems: uptime (internet connectivity, overloaded PC, location dependence/mobility, etc.). The problem I have not solved is the increased costs, mainly around data fees. Example:

PC 1:
  • Runs our live trading strategies
  • Data fees: $160 / month
  • Virtual machine costs: $0-60 / month
PC 2:
  • Development of strategies
  • Back-testing and optimization
  • Sim testing
  • Data fees: $160 / month
TradeStation (and I'm guessing other platforms are similar) only allow us to have one active login: either sim or live trading, but not both simultaneously. I believe this is due to exchange limitations regarding data usage (one active connection per data subscription), but I'm not certain. Anyhow, I can do development offline with data, but there are limitations, and I need to be able to do both sim and live at the same time, otherwise development gets to be exceptionally difficult.

If anyone knows of a better solution for running sim and live at the same time, I would appreciate any feedback.

~vmodus

Here's a question/suggestion that may or may not be of help, but have you considered moving off of TradeStation? (This is a more general question, not about the sim/live issue.)

I ask this because you write often of TradeStation-related issues and problems that seem to me to be a little unusual, given the experience of other traders on FIO who are with different brokers and platforms.

I do understand the difficulties of such a change. They can be severe, especially if you have a lot of code written for the platform you would be leaving. Also, it is somewhat a leap of faith to think that the new destination would be any better... it's sort of like, "the devil you know is better than the one you don't...."

I just went through my memory and counted 6 platform changes I have gone through, all of which included some porting of code to a new environment and learning some new scripting language. It was a pain each and every time.

But I'm glad I did. I simply left behind some of the problems and didn't have to find ways to work around them any more. I'm happy where I am now (Sierra Chart, which works with many brokers), but who knows? I'm mobile, and the moves all were beneficial after the effort of change.

Just a thought. For all I know, you may have done dozens of changes and may now be settled on TS as the best.... I'm sure you have reasons to be with them.

But is there any appeal to the idea?

Bob.

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  #152 (permalink)
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bobwest View Post
Here's a question/suggestion that may or may not be of help, but have you considered moving off of TradeStation? (This is a more general question, not about the sim/live issue.)

I ask this because you write often of TradeStation-related issues and problems that seem to me to be a little unusual, given the experience of other traders on FIO who are with different brokers and platforms.

I do understand the difficulties of such a change. They can be severe, especially if you have a lot of code written for the platform you would be leaving. Also, it is somewhat a leap of faith to think that the new destination would be any better... it's sort of like, "the devil you know is better than the one you don't...."

I just went through my memory and counted 6 platform changes I have gone through, all of which included some porting of code to a new environment and learning some new scripting language. It was a pain each and every time.

But I'm glad I did. I simply left behind some of the problems and didn't have to find ways to work around them any more. I'm happy where I am now (Sierra Chart, which works with many brokers), but who knows? I'm mobile, and the moves all were beneficial after the effort of change.

Just a thought. For all I know, you may have done dozens of changes and may now be settled on TS as the best.... I'm sure you have reasons to be with them.

But is there any appeal to the idea?

Bob.

I have considered moving from TS, but it is taking me longer than I would like. My issues with TS go back to my old trading journal (and actually further than that), not the least of which was the loss of an entire days worth of coding last spring. Migrating elsewhere would involve learning a new language (exception: Multicharts), rewriting code for our existing strategies, functions and indicators, and making sure everything actually works. Our strategy development workflow is built around TS. If we were just chart/discretionary traders, the move would be magnitudes easier.

And yes, we stick with TS for now because it is the devil we know.

I use Sierra, but primarily for analysis. It has worked flawlessly, and I love the speed and simplicity. I would love to move to Sierra, but it really comes down to time constraints and assuring it has the capabilities I need. Eventually we will move on from TS, but for now we're here.

Thanks for the advice!

~vmodus

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  #153 (permalink)
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vmodus View Post
Thanks! We have a main account and a sub-account. We do get TS free, but of course there is data. We are classified as pros, so hence the higher fees.

If you go all delayed data on the second account it a) should be much cheaper - the pro rates are only for live data and b) since everything is delayed you won't get that annoying 'you can't chart symbols with different times' all the time.


vmodus View Post
Eventually we will move on from TS, but for now we're here.

Easy language is super easy. Other than that I was not impressed with Tradestation. Too many bugs and unexplainable missed executions. Too many data issues. Too many product issues (having to execute rolls as two outright orders rather than using exchange listed spreads, no access to 'Trade at Settlement' markets etc etc) and let's be honest they aren't the cheapest either. It was always my plan to move to something else, but in the end I stopped doing that type of trading before I moved!

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SMCJB View Post
If you go all delayed data on the second account it a) should be much cheaper - the pro rates are only for live data and b) since everything is delayed you won't get that annoying 'you can't chart symbols with different times' all the time.

Easy language is super easy. Other than that I was not impressed with Tradestation. Too many bugs and unexplainable missed executions. Too many data issues. Too many product issues (having to execute rolls as two outright orders rather than using exchange listed spreads, no access to 'Trade at Settlement' markets etc etc) and let's be honest they aren't the cheapest either. It was always my plan to move to something else, but in the end I stopped doing that type of trading before I moved!

I could go with delayed data, or just work offline for development, but there are occasions I need to see a strategy in sim to work out any bugs.

I see by your profile you use X_Trader. Are you happy with TT's platform? I looked into last year, so it is in our pool for consideration. I like the market replay feature (similar feature in Sierra), which is sadly lacking in TS.

Ultimately, if TS continues to cost us money (lost trades, opportunity costs, etc.), then we will need to move. Right now it is like a big Band-aid that has outlived it's purpose: we still have to pull it off, painful or not.

I would love to hear your thoughts about the platform you use.

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I did not post yesterday because I did not trade. I mainly spent the day in education, catching up on some reading as I mentally prepare for my class Wednesday.

Why I didn't trade
I evaluated my Eurodollar strategy a little further late Friday and some over the weekend and I decided it is too flaky to trade at this time. Once I factor in commission and other fees, it is essentially a zero sum game for me, occasionally profitable. In the long run it would probably be profitable, but it can be flat for 50-100 trades (after commission and fees), before picking up a profitable run. I will set it off to the side for now.

I did some experimentation with a couple of variations. The best variation was a strategy that only trades, on average, once every four days. It may be useful to have it in my portfolio, but it won't be a world beater. It may prove to be 'get rich slowly' strategy.

OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout. The thought is that institutional traders unload their positions (increased volume), but without attempting to push the price. The increase in volume gets the attention of retail investors, then the price increases (or decreases) as others try to get on board the movement.

That is my explanation, but only as I understand it. Here is a good video explaining it in greater detail:


I applied this to a chart in TradeStation and then in Sierra Chart. Sierra also had a moving average with their OBV, which I thought was a novel idea. So I wrote my own indicator for TradeStation, but smoothing the curve with a 14 day simple moving average (SMA) and then another indicator using John Ehler's SuperSmoother code to further remove chop from my SMA. Below are the results:


This is probably a little more useful for chart traders, but I'm sure I could incorporate this into an automated strategy. The indicator doesn't stand alone well, but seems to compliment a trend following indicator. I'm not sure it is useful to me, yet, but I think it might be useful in a swing trading system.

If anyone is interested in the EasyLanguage code, PM me.

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

That's about it. See you all around!


~vmodus

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  #156 (permalink)
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vmodus View Post
I could go with delayed data, or just work offline for development, but there are occasions I need to see a strategy in sim to work out any bugs.

You can use delayed data in sim as well!


vmodus View Post
I see by your profile you use X_Trader. Are you happy with TT's platform? I looked into last year, so it is in our pool for consideration. I like the market replay feature (similar feature in Sierra), which is sadly lacking in TS.

I was a massive fan of XTrader, but it's being discontinued in the next few months. I'm much less of a fan of new or cloud TT. I find using it (not the order execution) to be considerably slower. Pulling up a new contract or loading an autospreader? Instantaneous in XTrader, but in new TT it takes several seconds. Seems like a nit pick I know but when your used to instantaneous, the slowness of new TT seems like an eternity. I worry because I'm only looking at a few 'smaller' products for now, so maybe 20 futures and 50 spreads. What will happen when I want the system to pull in 100s of futures and 1000s of spreads? Will it grind to a halt? Theoretically it's a 4 year old product at this point but it feels like it's still in Beta. In the six weeks I've been using it I've had 4 relatively major issues, 2 of which where obviously caused by a lack of testing on their behalf and the other 2 were just stupid incorrect server settings. In 15 years of Xtrader we only probably had half a dozen similar issues, so quality control is very concerning. Sure it has charts now, but I don't care about the charts and even if you do like charts I think you will find charting poor versus say CQG, Tradestation, Sierra etc. But if you want Autospreaders... it's probably the best there is.


vmodus View Post
OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout. The thought is that institutional traders unload their positions (increased volume), but without attempting to push the price. The increase in volume gets the attention of retail investors, then the price increases (or decreases) as others try to get on board the movement.

I applied this to a chart in TradeStation and then in Sierra Chart. Sierra also had a moving average with their OBV, which I thought was a novel idea. So I wrote my own indicator for TradeStation, but smoothing the curve with a 14 day simple moving average (SMA) and then another indicator using John Ehler's SuperSmoother code to further remove chop from my SMA. Below are the results:
...removed for space reasons...
This is probably a little more useful for chart traders, but I'm sure I could incorporate this into an automated strategy. The indicator doesn't stand alone well, but seems to compliment a trend following indicator. I'm not sure it is useful to me, yet, but I think it might be useful in a swing trading system.

The first bar of that chart, and last bar are at the same price. Despite no overall change in price the indicator trends down for the entire time!

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  #157 (permalink)
Legendary Systematic Algo Trader
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SMCJB View Post
The first bar of that chart, and last bar are at the same price. Despite no overall change in price the indicator trends down for the entire time!

Thanks for all the feedback. I don't care too much for charting, to be honest, since what we see can deceive us (we tend to see what want/expect to see). It is really the data I'm interested in, which is why I prefer algo/automated trading. Charting only provides a visual confirmation of signals for me.

With the chart, I was lazy and didn't find a better example than that. The video I shared has better examples towards the ends. I'm still figuring if OBV has use in futures, but I have an all-day class Wednesday, so it will have to wait.

Cheers!
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SMCJB View Post
You can use delayed data in sim as well!

I forgot respond about this. TS does not allow simulated trades on delayed data. I wasn't sure, but I checked this morning and am unable. I'm sure it is because they 'attempt' to fill the order in a realistic manner. Maybe other platforms, such as those with market replay, can do it.

Thanks!

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  #159 (permalink)
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OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout.


vmodus View Post
I'm still figuring if OBV has use in futures, but I have an all-day class Wednesday, so it will have to wait.

On OBV, I recall when Granville introduced the concept, or at least when I first read about it in a book he wrote (it was a very, very long time ago .) He was regarded as next to being a god at the time, because he had made some good calls (in the 70's? I think so.) Subsequently his reputation started to shred because of some really bad calls that he held on to as his believers steadily lost money. It was illuminating and disillusioning at the same time. It had something to teach about indicators and about gurus.

It's sort of misnamed, in my opinion. If a price bar closes up, all the volume it had is added to the cumulative tally, so it's all regarded as up volume -- essentially, buying volume. If it closed down, all the volume is subtracted from the tally (I don't recall what do if it's unchanged.) The cumulative number is the indicator. This is not exactly "on balance," since each allocation is 100% based on the net price change. A bar that moves up one tick on large volume (which happens) contributes all of its volume to the upside, as would a very large up bar that has the same volume.

It's semi-useful sometimes, when the cumulative line starts to go down while price is going up, or vice-versa.

Not trying to be discouraging. But there are other ways to slice and dice volume, for those who want to do that.

Bob.

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  #160 (permalink)
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Wouldn't it be like VWAP. The smaller the bar size you use the more accurate the result?

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bobwest View Post
On OBV, I recall when Granville introduced the concept, or at least when I first read about it in a book he wrote (it was a very, very long time ago .) He was regarded as next to being a god at the time, because he had made some good calls (in the 70's? I think so.) Subsequently his reputation started to shred because of some really bad calls that he held on to as his believers steadily lost money. It was illuminating and disillusioning at the same time. It had something to teach about indicators and about gurus.

It's sort of misnamed, in my opinion. If a price bar closes up, all the volume it had is added to the cumulative tally, so it's all regarded as up volume -- essentially, buying volume. If it closed down, all the volume is subtracted from the tally (I don't recall what do if it's unchanged.) The cumulative number is the indicator. This is not exactly "on balance," since each allocation is 100% based on the net price change. A bar that moves up one tick on large volume (which happens) contributes all of its volume to the upside, as would a very large up bar that has the same volume.

It's semi-useful sometimes, when the cumulative line starts to go down while price is going up, or vice-versa.

Not trying to be discouraging. But there are other ways to slice and dice volume, for those who want to do that.

Bob.

Thanks for the background, Bob. It will be interesting to see if this has any value for us. At this point my review of OBV has had mixed results, though I have been focused on interest rate products.

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SMCJB View Post
Wouldn't it be like VWAP. The smaller the bar size you use the more accurate the result?

I guess you'd have to try it and see.

In a way, OBV is giving more weight to bars with more volume, but not taking account of the size of the price bar, only the direction. So this means that, for example, in a strong move over many bars in one direction that is supported by good volume per bar, the cumulative line moves strongly too, in the direction of price, so they confirm. But if the volume drops off after a peak, or any time where the participation is less, then cumulative OBV lags the price, or tends to do so over time. Which would be the thing you use it for.

Will this warn you of a change? And how reliably?

I haven't really used it or looked at in a long time, so who knows? Experimentation may answer the questions.

Bob.

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Today was a school day for me, so no trading. I took @kevinkdog's Strategy Factory course today and it is pure gold. His methodology is solid and I have learned all of the things we have been doing wrong or should have been doing all along. If you need more info, just search 'Strategy Factory' on the internet.

One of the most important things I learned was about diversification (trading more than one instrument/strategy at once) and how it positively affects equity curves and drawdown (lessens the effects of drawdowns). I think long term success lies in diversification. The first two hours were incredibly enlightening.

I learned that I probably already have 1 or 2 strategies that meet the criteria for trading. The interesting thing, which has also come from experience, is that simpler is better. I have coded complex strategies with all sorts of rules, which have subsequently not performed any better than a simple cross-over strategy.

The best part of the course was the content. There is a ton of content (video, tools, code, etc.) which will be of immense value moving forward. I am happy that I'm not starting strategy development from scratch. Having a good understanding of the process going into the class was helpful, but not necessary.

If I am able to apply the concepts learned, I'm sure I will become a better trader.

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

Aside from the all-day class, I was able to look at one of my strategies and apply some analysis learned. It is a new idea based on an old idea using ATR to avoid ranges for a cross-over strategy I have for Eurodollar. I need to take it back to the beginning of the strategy development process, but it may be viable.

That's all for today. I may not post tomorrow as I have some other things to do.


~vmodus

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Excellent Course. I have done it myself. The Strategy Club is very cool as well. (My last entry was in August, and the 6 month incubation finishes in 2 days and I expect it to pass!). Kevin also has a dedicated thread here at futures.io

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vmodus View Post
Today was a school day for me, so no trading. I took @kevinkdog's Strategy Factory course today and it is pure gold. His methodology is solid and I have learned all of the things we have been doing wrong or should have been doing all along. If you need more info, just search 'Strategy Factory' on the internet.

One of the most important things I learned was about diversification (trading more than one instrument/strategy at once) and how it positively affects equity curves and drawdown (lessens the effects of drawdowns). I think long term success lies in diversification. The first two hours were incredibly enlightening.

I learned that I probably already have 1 or 2 strategies that meet the criteria for trading. The interesting thing, which has also come from experience, is that simpler is better. I have coded complex strategies with all sorts of rules, which have subsequently not performed any better than a simple cross-over strategy.

The best part of the course was the content. There is a ton of content (video, tools, code, etc.) which will be of immense value moving forward. I am happy that I'm not starting strategy development from scratch. Having a good understanding of the process going into the class was helpful, but not necessary.

If I am able to apply the concepts learned, I'm sure I will become a better trader.

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

Aside from the all-day class, I was able to look at one of my strategies and apply some analysis learned. It is a new idea based on an old idea using ATR to avoid ranges for a cross-over strategy I have for Eurodollar. I need to take it back to the beginning of the strategy development process, but it may be viable.

That's all for today. I may not post tomorrow as I have some other things to do.


~vmodus


Glad you enjoyed it! You were an excellent contributor, asking some very pointed questions. Your questions I know enhanced the experience for the other new students.

I am excited to see your strategy development progress!

Kevin

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SMCJB View Post
Excellent Course. I have done it myself. The Strategy Club is very cool as well. (My last entry was in August, and the 6 month incubation finishes in 2 days and I expect it to pass!). Kevin also has a dedicated thread here at futures.io

I'm glad to hear about your strategy making it (almost) through the incubator! I hope to have something to submit to the club for the next monthly cycle.

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Just a quick update for today. I turned on my Eurodollar strategy on EDH20, live. It took a long time to fill its limit orders, but still managed to match the strategy performance report by the end of the day.
  • 1 win, 0 losses (on 10 contracts)
  • 100% win rate
  • +$99 (probably closer to +$76 after clearing and NFA fees)


Two mistakes were made:
  • I forgot to change the contract number to 1 instead of 10
  • I forgot to change the stop loss to $25 from $250
I started the strategy late (should kick off at 400 ET), but that was by design. I needed to version and archive my code this morning, so I started it just after 800 ET. It runs on a 15 minute timeframe. For this market, limit orders are probably not ideal, despite the liquidity. There is not enough price movement on the nearest contract month.

I do like the nearest contract. I see some potential opportunities in there, but I have to let my brain work on it overnight.

Tomorrow:
  • Run ED strategy
  • Meet with my partner and start building our business processes

Later gators!

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vmodus View Post
I'm glad to hear about your strategy making it (almost) through the incubator! I hope to have something to submit to the club for the next monthly cycle.

~vmodus

Looks like I passed.
Seven trades in 6 months. -1000 -1000 -1000 +6125 +1968 -1562 +1718.
43% win rate, Avg Trade $750, Avg Winner $3270, Avg Loser $1140, Avg Win/Avg Loss 2.87, 3 Long trades (avg $708) 4 short trades (avg $781)
Wish all my attempts did that well although I probably wish it had more trades. Question is would I trade it? Appears a little dependent on one big win, but did also suffer from one outside loss as well. This obviously had a $1000 stop loss but one of the trades lost $1562, 56% more than the stop, due to a gap open!

Sorry for hijacking your thread!

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SMCJB View Post
Looks like I passed.
Seven trades in 6 months. -1000 -1000 -1000 +6125 +1968 -1562 +1718.
43% win rate, Avg Trade $750, Avg Winner $3270, Avg Loser $1140, Avg Win/Avg Loss 2.87, 3 Long trades (avg $708) 4 short trades (avg $781)
Wish all my attempts did that well although I probably wish it had more trades. Question is would I trade it? Appears a little dependent on one big win, but did also suffer from one outside loss as well. This obviously had a $1000 stop loss but one of the trades lost $1562, 56% more than the stop, due to a gap open!

Sorry for hijacking your thread!

No problem. I'm glad you passed! Question: what instrument, timeframe, and position size was used (I assume 1 contract)?

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I did not have a chance to do my Friday update, as I was pretty busy all around. I ran my strategy for Eurodollar and was able to confirm that it is not viable, at least as it is structured with limit orders. I know part of it is due to the lower price contract on the nearest contract month. The volume is there, but the price action is not. I was actually able to trade it as a discretionary trader better than my automated system. But discretionary trading is not my business, otherwise I have to start another journal.

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

Business Processes
We spent some time Friday working on our business processes. We have always attempted to put most of our efforts into developing strategies, deferring planning until we had strategies up and running. In other words, doing things backwards. We never planned, we just jumped right into research and development (or operations, if you prefer), without working on the business side of thing.

Starting with @kevinkdog's Building Winning Algorithmic Trading Systems and continuing with his Strategy Factory, we realized that we cannot keep doing business as usual. So we spent Friday working on how we are going to approach system development. In an early part of the Strategy Factory course, Kevin talks about where to find ideas. Yeah..... that is not really the problem for us. The problem for us is: "Oh I just had a great idea, let us build a system, test it and torture it". To modify a famous quote from economist Ronald H. Coase: "If you torture trading systems enough, they will confess.".

Anyhow, we have a lifetime of ideas. So what we have to do is to wrangle those ideas, track them, and then take them through our (now) formalized process. We started with the process described by Kevin, but have fleshed it out, so to speak, and integrated it into how we develop and deploy strategies.

The holy grail for some or most traders is not one system that crushes the market, but rather trading for a living. That is where we are headed, but we were really approaching it all wrong.

Impossibly High Standards
I should make that into a bumper sticker. It describes our business before the Strategy Factory process. One of the things we are doing is going back to all of the strategies we have shelved. Why are they on the shelf? Because we have impossibly high standards.



Kind of like that.

We were, of course, looking for a Holy Grail strategy, instead of settling for 'Okay, we have a moderately profitable strategy with reasonable risk here'. I think we have never had realistic expectations and metrics for our strategies. When a strategy had a minor setback, we shelved it and went to the next thing we were developing.

What is next
My wife/partner and I are now meeting every morning for a few minutes, mainly to make sure we don't just pick up the first idea that pops in our head and then 5 days later can't remember how we got there. We have introduced (shudder) paperwork, to establish our goals for a given strategy, and to prevent us from running away on tangents. So our processes introduce some friction to slow us down, introduce some discipline, but not enough to snuff the creative fires we have. If we have an idea, we add it to our tracking list, discuss it in our meeting and figure out where to go from there.

We also have weekly meetings to discuss bigger things, such as setting our long term goals, review of system performance metrics, and other housekeeping things. This sounds all terribly sophisticated, but we are really just stumbling out of the dark forest and finding our way.

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

Other Stuff
I have dug back into John Ehler's works on cycle analytics and whatnot. It actually makes a lot more sense reading it again 9 months later. I won't pretend to understand the math behind it, but I understand the output of his indicators a lot better.

Last week, I mentioned I used his Super Smoother calculation to smooth the moving average of OBV. It wasn't useful for that application (too smooth, too much lag), but it got me thinking about other applications. I am thinking that my next thing will be to see what happens if I use Super Smoother (or other filter) on MACD. Anyhow, that will probably be more of a vanity project. I like MACD, but have had no success with it, though I haven't really used it for ages.

I had some downtime yesterday, so I swung by one of our libraries to see if they had any interesting trading books. This was a new library for me, so I picked up Swing Trading for Dummies. Go ahead, get your giggles out now. However, as I see it, ideas are everywhere. The book itself is not all that good, at least from my perspective, with all due respect to the author. It is a little heavy on the equities side of things, but I find it useful to look at things from a different perspective. I read about DMI and ADX, which was interesting. The point is that I keep my mind open, even if it is a book with the word 'dummies' in the title.

So all of that led me to thinking about OBV again. It may have some utility for me, but I am interested in the strength change from one bar to the next. I gave some thought about calculating the slope of (darn near impossible from my vantage). I was reading a forex forum where the discussion was around the inability to calculate it for chart data. I cannot slap a protractor on my screen to measure the angle (and there is the problem with scale). I am not a mathematician nor an engineer, but I may have a novel way to emulate it. If I figure that problem, even in the most rudimentary way, I will share.

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

That is all for now. No trading today, just building some tools for our business processes.


~vmodus

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vmodus View Post
No problem. I'm glad you passed! Question: what instrument, timeframe, and position size was used (I assume 1 contract)?

The Bounty for that month was for Fixed Income contracts. Hence this system trades the 30 Year Treasury @US using 1440min bars - which are basically daily bars with a slight difference. Just under 108 trades in 17.5 years but as you can see performance has been pretty consistent in backtest and in the 6 month incubation (as seen by the red line I added). System has a stop and holds trades for a maximum of a week. Entry requires two conditions to line up (not symmetrical, different rules for long and short) exit is purely time or stop.

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SMCJB View Post
The Bounty for that month was for Fixed Income contracts. Hence this system trades the 30 Year Treasury @US using 1440min bars - which are basically daily bars with a slight difference. Just under 108 trades in 17.5 years but as you can see performance has been pretty consistent in backtest and in the 6 month incubation (as seen by the red line I added). System has a stop and holds trades for a maximum of a week. Entry requires two conditions to line up (not symmetrical, different rules for long and short) exit is purely time or stop.

Wow, that is fantastic! I know 7 trades is a small sample, but you match the equity curve of your backtest, so that is a great sign. Thanks for sharing!

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No trading today. After yesterday's entry, I have been thinking about ideas, having come up with two more yesterday evening as I was out for a long walk. The ideas themselves are not the important thing to me (PM me if you need a few hundred ). The process of organizing my ideas is really a huge concern. I have had ideas that are forever lost to the ether because I did not simply write them down.

I use mind-mapping for a lot of different purposes, so I have applied this to organizing my trading ideas. Here is a sample of my mind map:


As you can see, I have my central topic, Ideas 2020 and then the sources of my ideas (FIO, books, inspiration, etc.). I can add as many topics as I need, and subtopics. So I may have three ideas around iTrend, so I will just add topics under the iTrend topic. I can get as granular as I want. The image you see is just drop in the bucket of the ideas that I haven't added here yet.

I use Xmind (the free version) for mind mapping, but also use Freemind (FOSS: Free and Open Source) and SimpleMind Pro (Android, when I'm out and about).

I have also created a spreadsheet for tracking all our ideas, which is more formal than the mind map. It incorporates the processes learned in the Strategy Factory. Maybe I will post it next time, but I have to clean it up. If anyone is interested, let me know.

So yeah, I have been working on the business of trading, not really trading. We already have a better grasp on what we are doing then we did a week ago. We have a formal process for identifying, documenting and discussing ideas. I expect the organization, planning, and preparation will pay.

That is all. I have to work on some ideas now.

~vmodus

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I was thinking earlier today that I may have my assistant put together something. I know money.cnn.com usually has a weekly list of events (earnings, Fed notes, ADP reports, unemployment, etc.). If I could know the time and day of each of those, then I could easily back-test those. The important ones are the events that people tend to react/over-react to.

I did something similar with holidays and I actually built a function that my strategies could use that would avoid trading around certain holidays. It also helped in back-testing, avoiding holidays.

I'll post it here on FIO if we come up with anything.

just found this algo trade journal and loving reading it. Just wanted to share that and let you know I am just now beginning my own trade algo journey. maybe I will start a journal as well. The reason I am replying to an old post is to keep my place so I can keep reading later.

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just found this algo trade journal and loving reading it. Just wanted to share that and let you know I am just now beginning my own trade algo journey. maybe I will start a journal as well. The reason I am replying to an old post is to keep my place so I can keep reading later.

I'm glad you are liking and can find something useful here. I will check out your journal, too!

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Thanks for the interesting posts

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Well, I wasn't supposed to do much trading related stuff today, but since ideas are flowing fast right now, I had to document them. I did run a couple of rudimentary strategies on RTY in simulation, mostly as an information gathering exercise and help build a case for the ideas that might become strategies.

Right now I am doing feasibility testing on a couple of ideas I have. Right now I am limited in my data subscriptions, with relation to index futures, so I only have Russell 2000 (RTY) as a major index. So I have been learning about how it behaves and seeing if there are any trading opportunities there. I have one idea that spawned two more ideas (Instantaneous Trend, MACD, and both).

One idea I have will be very difficult to implement, as it might be impossible to back-test programmatically. It has pretty good upside, but it needs a lot of work.
Ideas are like rabbits. You get a couple and learn how to handle them, and pretty soon you have a dozen.
- John Steinbeck
Just sayin'.

Speaking of ideas, here is a video I watched earlier today, shared by my partner (she's awesome, btw). She thought the RSI idea paired with OBV was novel and perhaps useful:

Swing Trading Using On Balance Volume Indicator (OBV):


I have to go. I have been so busy, I didn't even have time to put my contact lenses on my eyes. I hope everyone is having a great trading day!

~vmodus

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Legendary Market Wizard
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vmodus View Post
So yeah, I have been working on the business of trading, not really trading. We already have a better grasp on what we are doing then we did a week ago. We have a formal process for identifying, documenting and discussing ideas. I expect the organization, planning, and preparation will pay.

When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.


vmodus View Post
Right now I am doing feasibility testing on a couple of ideas I have. Right now I am limited in my data subscriptions, with relation to index futures, so I only have Russell 2000 (RTY) as a major index. So I have been learning about how it behaves and seeing if there are any trading opportunities there. I have one idea that spawned two more ideas (Instantaneous Trend, MACD, and both).

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11). While Tradestation does now have an api style interface, where this is actually reasonably easy to process, that's in reality only a fraction of the work. Automating the optimization is nice but you also need to automate the analysis of the outputs as well. You need reports that you can look at quickly and identify potential candidates easily otherwise you have 100s of reports that take you hours to analyze. I know several people who have done this, and at least one of them as been able to build a decent portfolio of strategies. If I was a hard core programmer this would be a lot easier but I'm not so I made the decision that with all that I have going on, I could not dedicate the time it would need to get it to where I thought it could useful/powerful.

Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

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SMCJB View Post
When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11). While Tradestation does now have an api style interface, where this is actually reasonably easy to process, that's in reality only a fraction of the work. Automating the optimization is nice but you also need to automate the analysis of the outputs as well. You need reports that you can look at quickly and identify potential candidates easily otherwise you have 100s of reports that take you hours to analyze. I know several people who have done this, and at least one of them as been able to build a decent portfolio of strategies. If I was a hard core programmer this would be a lot easier but I'm not so I made the decision that with all that I have going on, I could not dedicate the time it would need to get it to where I thought it could useful/powerful.

Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

Do you know about the tool that an SF student created? It might be what you are looking for. I've used it this week to to look at 5 strategies with about 100 iterations each, with about 50 markets and 5 bar sizes. Just e-mail me if you want details.

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SMCJB View Post
When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11).

Funny you mention this. Last night I was discussing this exact point with my partner. The next tool we will be developing is a tracking sheet for each of our strategies. It will have the instruments we trade (indices, energies, and metals, with a little interest rate for added flavor) and the timeframes.... in other words a large matrix to track these things. Unfortunately the testing process is manual for now, but we can vet each strategy through.

As far as automating the testing/evaluation process across multiple instruments and timeframes, that is one of our future goals. I can do all sorts of interesting data mining and analysis using databases (prefer Oracle DB), but I am getting way ahead of myself here.


SMCJB View Post
Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

One solution we have come up with for this is to have one strategy with multiple entries and exits:
  • Each entry and exit has an on-off flag (0 or 1)
  • We optimize on each of the entry and exit flag (range 0 - 1, increment 1)
  • We run it for a given time period
  • The best entries and exits for the instrument/timeframe are given (hopefully)
It is not ideal and we haven't determined if it is a valid approach moving forward. Nonetheless, it has allowed us to effectively test sets of entries and exits. We did that with @kevinkdog's entries and exits from his 9 and 7 e-book, to evaluate the entries and exits on a couple of markets we trade. There are 63 pairs of entries and exits there (by my calc), so putting them in one strategy and running it against an instrument and timeframe might yield something useful. Or not. (I hope this made sense).

Ultimately we would probably do this in Python or other language, but again, I'm getting way ahead of myself.

Thanks for the feedback!

~vmodus

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Today was a little crazy, but probably in a good way. I was doing some analysis in Excel that was extremely time consuming, and then realized I could just write a strategy that could output the same thing I was doing. Duh. I won't go into details until I know what I have, but something is brewing.

But then there is always something brewing.

The process of our daily meetings is going very well. We find that we are a lot more productive when we are focused and keeping each other accountable.

I buried my first strategy yesterday, which actually felt good. It is great to take something through a process and have closure if it does not work. That frees up my mind and time for the other things.

I have to work on the strategies I received through the Strategy Factory. Hopefully I have at least one fully vetted by next Monday.

I ran one strategy that I have in simulation, which I am not comfortable back-testing due to how I am using data. I got squirrelly results last time I tried to backtest a similar strategy, so I am going through the process of running it in simulation and comparing results to the trades recorded in the Trade Manager. It is tedious, but necessary. If the results in the Trade Manager match my Strategy Performance Report, then I will have confidence that I can backtest it.

I keep watching and re-watching videos on ATR. It is helping cement my understanding of this indicator.

That is all for now. I have a ton of other things to do, personal and otherwise. See you all tomorrow!

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In another thread someone made a bold statement:


Quoting 
If a trading system works for one timeframe and fails for other timeframe, then it is not a good trading system/strategy. You need to try to come up with a strategy/system that must work for any timeframes, any security products (stock, option, mutual fund, futures, forex, etc.).

What do you guys that are developing mechanical systems think of this? When you develop a system, are you looking for it to work on all timeframes?

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trendisyourfriend View Post
In another thread someone made a bold statement:

What do you guys that are developing mechanical systems think of this? When you develop a system, are you looking for it to work on all timeframes?

As I say.... not no, but heck no. There are so many different instruments with different attributes across time. For example, Eurodollar (depending upon which contract you are trading), is difficult or impossible to trade in a short timeframe with a longer timeframe strategy. Then a system for multiple markets.... believe me a strategy for ES is completely different from a strategy for Eurodollar. And don't even get me started on softs and all the seasonal shenanigans around those.

The further you go in time (second, minute, hour, day, week, month....) the more your trading goes from short term scalping and opportunity trades, to swing, and then positional trading at the other end of the spectrum. Those are different types of systems. One one system I am developing, I look at intraday swings in price movement and attempt to capitalize on this. If I were to zoom out to a 60 min chart, everything changes and I would look at what I was trading as a ridiculous exercise.

This is my experience only, but I'm sure others would agree. There are some strategies that may work across different timeframes (I had one or two, but they failed for other reasons). I have found that strategies that are successful across multiple timeframes to be an exception and not the rule.

You definitely do not need a strategy to work on multiple timeframes to be a good strategy, either. And sometimes, timeframe is not necessarily the important thing, but rather time itself. Example, you may have a strategy that takes a position at a set time and exits at a set time, based on whatever criteria. So even the chart doesn't really matter, as long as the entry goes and the criteria has been met.

You may also trade a system that uses multiple timeframes, for example 60 minute and 240 minute. Have an entry based on the 240 (e.g. RSI crosses above 50, go long), and an exit based on the 60 (e.g. MACD cross over). So timeframe is absolutely essential.

One system to rule them all..... I wish.

Just my 25 cents.

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Food for thought....

Read recently that Renaissance Capital crossed and concluded that a system that works on all markets is better than a system that only works on an individual market....

Also there is the evidence/theory/assumption that markets are "fractal" in nature...ie they all look the same on different time scales.

Personally not really bothered at all as for the 3 systems that I use - 2 are longer term and traded on equities and the other is discretionary scalping on the hang seng...

My advice....find something that works (even if its copied from someone else) and trade it....you will save yourself a LOT of TIME.

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Not happy that it is Friday. It seems like something good that I've worked up has to wait until the markets open again Sunday night. Darn.

It was a weird day, personally. I was at a Chinese New Year's performance this morning at a school, when a tornado warning was issued. Imagine, you are in a school cafeteria watching kids perform with a few hundred other people, when everyone's phones start issue weather alerts all at the same time. So we had to shelter in the halls while that weather passed (apparently right over our school).

Then a small tornado actually hit one of my other kid's schools today and damaged a classroom. So that was exciting (no one was hurt, thankfully). Then we had some snow after the temperature dropped 20 degrees F. Back to school to watch the rest of the performance in the afternoon. And some trading stuff in the mix, too.

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

I came up with a new idea, regarding the open of the market and index futures. I am working through the analysis prior to going into any sort of feasibility testing. I am looking at pre-market sentiment, then placing a trade at open and exiting within 30 minutes. I see a pattern, especially on down days. It is new and still under analysis.... to be continued.

I ran one of my strategies in sim overnight, as I wanted to see how closely sim entries may or may not match my strategy performance report. Basically I don't know if I am able to backtest a strategy, so I am comparing sim and my strategy performance report. I saw something peculiar: some trades in sim that showed positive slippage. It may not mean anything, but it is curious. I think our exits are happening while the prices move in a favorable direction (retracement), but it is statistically significant (+25% in my favor). It have slippage accounted for in my report. This will be interesting to see what happens.

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

I found a cool site describing MACD: https://www.netpicks.com/macd-indicator/

I am very familiar with MACD, but the intraday settings were interesting to me: 3/10/16. I plugged them into one of my intraday strategies and it automatically improved the results.


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

We are now into our 8th day of following the Strategy Factory process (with our own flourishes) and it has changed our development process forever. We are fine-tuning (curve-fitting? ) the development process to fit into our own best practices, but just being better organized has helped us tremendously. Burying strategy is sad and liberating at the same time. Once we know that a strategy sucks, we can move our energies to the next thing with some peace of mind.

We still have a ton of work to do, but that is okay. All in good time.

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

That is all for this week. Wine-o'clock was about three hours ago. Have a great weekend all and see you on the other side!

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Godzilla View Post
Food for thought....

Read recently that Renaissance Capital crossed and concluded that a system that works on all markets is better than a system that only works on an individual market....

Also there is the evidence/theory/assumption that markets are "fractal" in nature...ie they all look the same on different time scales.

Personally not really bothered at all as for the 3 systems that I use - 2 are longer term and traded on equities and the other is discretionary scalping on the hang seng...

My advice....find something that works (even if its copied from someone else) and trade it....you will save yourself a LOT of TIME.

Thanks for sharing. I would love to read their research on the topic.

I agree with the fractal theory. Put enough 1 minute data together against enough like daily data, and it starts to look the same. (but can you trade it? ) Seriously though, the analysis techniques do not always work in the macro and micro equally.

Great advice, btw. We have learned that simple is better and if it does work, throw it out.

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  #187 (permalink)
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vmodus View Post
Today was a little crazy, but probably in a good way. I was doing some analysis in Excel that was extremely time consuming, and then realized I could just write a strategy that could output the same thing I was doing. Duh. I won't go into details until I know what I have, but something is brewing.

I went back and forth on this a lot. Part of it was my unhappiness with how Tradestation calculates some things (ie Drawdowns) and part additional information I wanted. It's actually very easy to write some code, that you then put at the end of your strategies, that creates your own reports. Problem is writing the code to create your own report is the easy bit, you also need to write the code to create all the results you want to write to the report. Also loading and formating a csv is a lot less convenient than just clicking on the Tradestation Report button.

vmodus View Post
I keep watching and re-watching videos on ATR. It is helping cement my understanding of this indicator.

I think ATR is a much much better estimate of volatility than the traditional close-close volatility measure. There are also other volatility measures that taken into consideration the range rather than just the close-close volatility. Parkinson Volatility takes into consideration the high and the low but not the close. Garman-Klass Volatility goes a step further and uses all of 4 OHLC. Yang Zhang go a step further and incorporate opening gaps. Wish I could say I was an expert on all of this but I just happen to be reading Volatility Trading by Euan Sinclair.

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SMCJB View Post
I went back and forth on this a lot. Part of it was my unhappiness with how Tradestation calculates some things (ie Drawdowns) and part additional information I wanted. It's actually very easy to write some code, that you then put at the end of your strategies, that creates your own reports. Problem is writing the code to create your own report is the easy bit, you also need to write the code to create all the results you want to write to the report. Also loading and formating a csv is a lot less convenient than just clicking on the Tradestation Report button.
I think ATR is a much much better estimate of volatility than the traditional close-close volatility measure. There are also other volatility measures that taken into consideration the range rather than just the close-close volatility. Parkinson Volatility takes into consideration the high and the low but not the close. Garman-Klass Volatility goes a step further and uses all of 4 OHLC. Yang Zhang go a step further and incorporate opening gaps. Wish I could say I was an expert on all of this but I just happen to be reading Volatility Trading by Euan Sinclair.

Writing the code is not too bad, even if I have to write output to a .csv file. Mainly what I was doing was using a strategy to give me the entry and exit signals. By exporting the trade list, I can then see if an idea is worth pursuing. It is a quick and dirty strategy and not meant for trading, but it helps me accomplish the analysis a lot faster.

Once I understand ATR well enough, then I will have it in my toolbox. I'm curious about using it for position sizing. I will have to look into the book by Sinclair. Thanks for sharing!

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I do not have a lot of time this week due to client commitments, but I do have trading things happening. My entries will be short and sweet.

Today:
I am running my M004 strategy (internal id to keep things straight) in simulation, which is a MACD entry with iTrend exit. It is designed for indexes, but we are running it on CL (over at our 'energies desk' ) to see what happens. This is a strange little strategy that uses range bars instead of time bars, so we cannot properly back-test it. It is something we have to tune and incubate in a sim environment, so it may not see the light of day anytime soon. It is actually able to mimic what I would do as a discretionary trader (just faster), so just watching trades occur as I would have placed them manually from my chart analysis is really nice.

There several holes in the system (see below), so following the practices learned in the Strategy Factory do not exactly work. We will be tossing it after running for this week, because we know it has flaws. Because it doesn't fit the norm, the walk-forward is a true walk-forward, on totally unseen data. I am letting run all week, even though I know it will not pass, so that I can identify any other issues before moving on to a spawned idea.

One problem with the system:
Most of my systems have been 'always in'. The strategy mentioned above is a long or short only (I set the bias as a parameter), so the problem seen below is now something I must account for:


With an always in, the next signal ends a poor entry from running away. Here, not every entry signal is good, of course. After entry, I will need a confirming signal, which fortunately I have available. If the confirming signal (iTrend) doesn't share the sentiment (you can see iTrend on the candlesticks), then we can exit before things get too bad.

I ran in ES and RTY (Russell 2000), but with short and long bias respectively. This is pitting the two against each other (they often trend together), but again I want to see what happens when running one short and one long. They often offset each other, but ES was stronger. The point is that I'm learning how the system behaves with real, unfiltered data.

I have a couple changes that will reduce the number of entries. Continual improvement is part of our business, so new ideas are already queuing at the 'factory' entrance:
  • Enter long when MACD < 0; short when MACD > 0 (will reduce number of trades)
  • Change the trend bias based on market trend (avoids placing a bunch of trades against the trend)
~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

The processes we have implemented are working well. We are dealing with bad strategies through a normal grieving process, but I think it will get better with time. I have already buried three ideas, but from the ashes have arisen more ideas.

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

We have one system that we are prepping for submission to the Strategy Factory Club. It passed feasibility, walk-forward test and Monte Carlo, so we are excited to move the process forward and meet the February deadline.

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

I have been filling some of my downtime with podcasts, as I do a lot of walking and waiting for kids. I know Chat With Traders is popular, but I've been listening to some of the Optimus Futures podcasts this past weekend, which have been really informative (I know they are a vendor here, but I'm not affiliated and do not have any relationship with them). The one I liked is the 10,000 hours rule podcast. My wife/partner and I have discussed this rule in the past (refer to the book 'Outliers' if you want), so it was interesting to get the perspective of someone in our industry.

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

Things are starting to clear for us, despite rain and cold. Documenting all of these ideas can be pretty mundane, but it forces us to think about the process. We continue to meet every morning and are moving ahead in a good direction.

Until tomorrow....

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  #190 (permalink)
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SMCJB View Post
I went back and forth on this a lot. Part of it was my unhappiness with how Tradestation calculates some things (ie Drawdowns) and part additional information I wanted. It's actually very easy to write some code, that you then put at the end of your strategies, that creates your own reports. Problem is writing the code to create your own report is the easy bit, you also need to write the code to create all the results you want to write to the report. Also loading and formating a csv is a lot less convenient than just clicking on the Tradestation Report button.
I think ATR is a much much better estimate of volatility than the traditional close-close volatility measure. There are also other volatility measures that taken into consideration the range rather than just the close-close volatility. Parkinson Volatility takes into consideration the high and the low but not the close. Garman-Klass Volatility goes a step further and uses all of 4 OHLC. Yang Zhang go a step further and incorporate opening gaps. Wish I could say I was an expert on all of this but I just happen to be reading Volatility Trading by Euan Sinclair.

I was thinking about this some more this evening. The problem with all of those volatility calculations in Tradestation (except ATR) is that they are based upon returns and hence will not work on continuous adjusted futures contracts.


vmodus View Post
I have been filling some of my downtime with podcasts, as I do a lot of walking and waiting for kids. I know Chat With Traders is popular, but I've been listening to some of the Optimus Futures podcasts this past weekend, which have been really informative (I know they are a vendor here, but I'm not affiliated and do not have any relationship with them).

Better System Trader, Top Traders Unplugged are both very similair to chat with traders. Two of my favorites are Macrovoices (podcast) and Real Vision (Subscription TV currently has a $1/1 month special) but they trading/finance and not system trading specificly.

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  #191 (permalink)
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It occurred to me that I should probably give a visual of the system I am forward testing. This is the ideal trade, and it comes up often enough to make up for the small in/out losses:



+$1275 on ESH20 and still running.

The MACD gets me in; the iTrend keeps me in, when other indicators may kick me out. Just in the example above, I had a potential 4 exits and re-entries. The iTrend is an exceptionally difficult indicator to work with, so I have learned to be extremely selective in my usage. I do not like it for entries on most markets and I found it to be easier to use for discretionary trading than system trading.

Now to fix all of the little things nibbling away at these profits....

Good night.

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SMCJB View Post
I was thinking about this some more this evening. The problem with all of those volatility calculations in Tradestation (except ATR) is that they are based upon returns and hence will not work on continuous adjusted futures contracts.

Better System Trader, Top Traders Unplugged are both very similair to chat with traders. Two of my favorites are Macrovoices (podcast) and Real Vision (Subscription TV currently has a $1/1 month special) but they trading/finance and not system trading specificly.

Wow, thanks! I just subscribed to BST and TTU. Scanning some of the titles, it seems like BST is ideal for an algo like me.

Cheers!

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Short entry (pun intended) for today.

Today was interesting. I ran the strategy that I've been talking about the past few days in sim again. It ran for another full 23 hours (except for NQ.... forgot to change the dates) on ES, NQ, and RTY. I didn't expect it to be profitable, as the strategy has flaws described yesterday. The purpose of today's exercise was to run multiple strategies, all with long bias, and see what other flaws may surface.

Of course, there is high correlation with these instruments, being all index funds, so they generally moved in the same direction. Overall trend affected the strategies: profitable during bull runs, not so profitable during bear run-downs. The high P/L of the day was about +$1400, the low of the day was about -$1,000, swinging a total of $2,400 peak to trough.

NQ took way too many trades, about four times as many as RTY. RTY was mildly profitable. There were two trades of about +$2,100 (RTY and ES) which were not counted, as I reset balances on my sim account. End of day P&L was -$844, or $1,256 if I add in the two missing trades.

There are instrument and chart specific settings, so I haven't quite figured out NQ yet, given the large volume of trades. ES performed a lot better than yesterday, taking fewer and better trades.

I am looking for a way to change the trend bias during the day, i.e. start taking short entries when the overall market turns. I'm not sure if this will work, but it will be integrated into another idea. My partner suggested Ehler's Trendflex Reflex indicator (TASC Feb 2020), which may be a brilliant idea.

Strategies started up again at 1800 ET, so another night and day to see if I can identify any additional issues before I bury this idea and move on to variants. I have 5 new ideas that have spawned from the original ideas.

For the record forward testing is a bear. No pun intended.

Go robots go!

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  #194 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
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Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received

You know, they call trading a zero sum game. I have never really agreed with that statement. If it were, trading would be a lose-lose for everyone if that were the case, and no one would trade. Anyhow, before I go down a rabbit hole, I have just been thinking about it. For brokers, data providers, etc., all other things being equal, trading is definitely not a zero sum game. We have to make enough money to get to zero. So if we were all even, we would still lose. So much for zero sum.

I'm thinking of becoming a broker.

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

It's been a weird day. I mentioned yesterday that forward testing a strategy that cannot be properly back-tested is a pain. So I have had to work the ideas directly in sim, as well as debug. And then there was my data issue.

Today was a zero sum day, kind of. I mean, I'm flat for the day in simulation as I write this, but that is fine. I found a couple of issues, had a couple of bad trades as a result of an oversight (I forgot to have my code check open positions before sending another order.... oops).

I killed another two ideas today (TrendFlex for trend bias... ). I tried to see if Trendflex could help me identify a trend bias, but it only worked some of the time. (if you want more info on Trendflex, see the link at the end of this entry). I also wrote something to exit if the turn in trend never came, but it bombed in a big way. A stop loss actually works better in that case, and doesn't seem to occur very often.

My data issue:
I was having a heck of time trying to figure out why my ES strategy died on January 16th. There was about a $2000 drawdown in my strategy. Well.... seems like there is a data issue on ESH20, at least for me:


Yeah, 5 point trading range for over eight hours on a Thursday during a peak time of the day? I don't think so (verified with a CME chart). It took me a couple of hours to figure out that I was dealing with a data issue and not a problem with my strategy having a bad day. I'll have to contact Tradestation for a data correction on this one. Wow.

As I finish writing this, I'm up to +$90 for the day on RTY and ES together. Zero sum game... kiss my booty.

Gotta run. Have a good evening everyone and see you all on the other side of midnight.

~vmodus


Trendflex indicator and functions can be found here:
Traders Tips - February 2020

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  #195 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
vmodus's Avatar
 
Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received


vmodus View Post
So all of that led me to thinking about OBV again. It may have some utility for me, but I am interested in the strength change from one bar to the next. I gave some thought about calculating the slope of (darn near impossible from my vantage). I was reading a forex forum where the discussion was around the inability to calculate it for chart data. I cannot slap a protractor on my screen to measure the angle (and there is the problem with scale). I am not a mathematician nor an engineer, but I may have a novel way to emulate it. If I figure that problem, even in the most rudimentary way, I will share.

Okay, replying to myself here. I was perusing the Jan 2020 copy of TASC and noticed that the slope calculation problem may have a solution. I am just now looking at it, but it might solve the problem. Anyhow, here is a link to the code for a variety of different platforms:

TRADERS™ TIPS - JANUARY 2020

I have had a lot of other problems I have been puzzling through.... slope has been the least of them.

~vmodus

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  #196 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
vmodus's Avatar
 
Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received

I have just a quick update for the day. My strategies ran overnight on RTY and ES. I noticed an issue with them at about 800 ET this morning. It was reversing positions on my entry signal, while totally ignoring my exit signal. Thankfully I caught the mistake, but two good moves were lost in that time period. I created a new strategy from that, documented it, and then put it in place.



Aside from that blunder, the strategy ran on the two markets from about 900 until market close at 1700.
  • Closed P/L: $242
  • Open P/L: $155 (1 contract, RTY)
The P/L numbers themselves are not important. This is not a 23/5 strategy (23 hours a day, 5 trading days per week). When I wrote the goal for this idea, it is meant to trade about 4 hours per day. My wife/partner suggested that a daily profit target might be a good idea, to which I agreed. To that end, here is a sample of what closed P/L looked like from 900 to 1700:
  • +89
  • +363
  • +720
  • +609
  • +632
  • +329
  • +211
  • -110
  • -73
  • +99
  • +27
  • +46
  • -4
  • +333
  • +561
  • +487
  • +242
My goal here is to see what execution might be like and to see if the orders coming from the strategy match what is showing up in simulation. Simulation is crap for analyzing results like P/L, so that is less important than accuracy. I am also identifying any additional issues that might exist. The peak-to-trough drawdown you see above was -$830. Two of those were consecutive stop losses (300 a piece), which identified a lingering issue with being on the wrong side. I did not interfere despite some temptation, just let things run.

Anyhow, I have one more 23 hour cycle. Let's see how it does Friday.


~vmodus.... out

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  #197 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little ES, GE, GC, SI & Bitcoin
 
Posts: 3,781 since Dec 2013
Thanks: 3,059 given, 7,314 received


vmodus View Post
This is not a 23/5 strategy (23 hours a day, 5 trading days per week). When I wrote the goal for this idea, it is meant to trade about 4 hours per day.

Custom Session (works if you test it this way) or are you arbitrarily picking (ie juggling grenades) which 4 hours a day ?

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  #198 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
vmodus's Avatar
 
Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received


SMCJB View Post
Custom Session (works if you test it this way) or are you arbitrarily picking (ie juggling grenades) which 4 hours a day ?

Haha, juggling grenades. Haven't heard that for a while. Running the strategy around the clock, for now, will give me a data set of trades to analyze, since I cannot properly back-test. My ideal window I'm looking to trade is 700-1600, though the sweet spots seem to be pre-market (700-930) and 1400-1600.

There still a ton of work, so this isn't a strategy that I can see going live with any time soon, without a large data set to analyze, so there is a time factor involved. I have to do Monte Carlo analysis, too. If and/or when I go live, it will be with MES.

~vmodus

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  #199 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
vmodus's Avatar
 
Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received


SMCJB View Post
Custom Session (works if you test it this way) or are you arbitrarily picking (ie juggling grenades) which 4 hours a day ?

I haven't toyed with custom session yet. That is something I need to look into.

Thanks!

~vmodus

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  #200 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies
 
vmodus's Avatar
 
Posts: 955 since Feb 2017
Thanks: 1,935 given, 1,888 received

Well, I missed my journal entry Friday. I was overloaded with a client project which has not been going well (until today).

Quick update:
Friday was just a bad day for my strategy. I ran it for another cycle of 23 hours and it tanked. I think it ended -$1300 for the 23 hour cycle. But I discovered two things that would have brought that number to a more manageable -$400 or so.

The goal of the exercise is really about data collection. The more data I have, the better I can determine whether the strategy is tradable or trash. It was interesting to see how it worked on a holiday with low price action, which overall was okay (see below). We normally do not trade holidays (I wrote a function that turns off trading on the major holidays), but maybe this strategy is suitable for holiday trading.

What I learned:
Firstly, I found a situation where a second entry is taken while I am still in a position. For example, if I am in a short position, there may be another short signal occur. So another order is getting sent. I have checked the code and I do not see why or where this would happen. So I held two contracts that contributed to the larger loss above.

Secondly, I have been learning about ATR (average true range) and really trying to find a way to apply it to my trading. I haven't used a ton of stop losses in the past and I dislike them as much as I dislike profit targets, trailing stops, etc. However, they are a must with this strategy and I had three frustrating stops on Friday. I had some downtime Sunday, so I spent a little of that time researching analysis methods. I decided to use ATR to calculate stop-loss, and then ran those numbers against some stop losses I saw last week, Friday most notably. My stop losses were lowered by 66% (from $900 to about $300), using ATR. In other words, my stop losses were way too high.

Here is what I am using, in psuedo-code, using a common ATR multiplier of 3:
 
Code
Stop_loss = ATR * 3 * big point value
Example:
  • ATR = 1
  • Multiplier = 3
  • Big Point Value = 50
  • 1 * 3 * 50 = $150 stop loss
It was eye-opening, to say the least. We have optimized on stop loss in the past, with limited success. Again, I have not used stop losses extensively, but now I think I need to unearth some older strategies that struggled under a fixed stop loss.

For now, I am estimating ATR for my stop losses, as I am using Range Bar charts and have not devised my ATR calculation for this type of chart, but I am using a general estimation that is working for now. The stop loss is also helping gloss over another issue I have to resolve (being on the wrong side of town at the wrong time, metaphorically speaking).

Data Collection:
I am using range bar charts, which are impossible to backtest strategies. I wrote some code to write data to a file from my strategy with data from every bar as it occurs (date, time, OHLC, OBV, ADX, etc., plus order signals). Hopefully I will have a good 5 days of data to analyze. The reason I am writing to a file is that every time I reload the data or a data disconnection occurs, the chart gets repainted.

Choppy Waters:
I started the strategy Sunday night and let it run for the 19 hour cycle (1300 ET session close today). At the end of the session I was +$351, with open short positions on RTY and ES. When I came back to my office just after the market opened, I saw the gap down. So for my sim account, I am showing +$1800 in open positions. But not so fast.... it is possible that a little bit different price action earlier today could have put me on the wrong side of this. Sure, it is nice to be 'right', but I am just collecting data here. I will be interested to see how much chop we have overnight and into the regular session tomorrow, and how the strategy holds up.

I'm tired. I have a long week ahead (non-trading stuff).


~vmodus

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