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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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  #21 (permalink)
Legendary Market Wizard
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Experience: Beginner
Trading: MYM, MES, YM, ES
 
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Thanks for all the great info, I only really understand parts of it, but all of it is very interesting. Good luck tomorrow!


vmodus View Post
Thanks for the kudos and encouragement. We have had nothing in 12 years that has come close, though my partner trades a very good CL strategy. I have only been active for the past several months in the business, but as I mentioned early in this journal, I'm lazy, so I write code to do the dirty work.

The walk-forward optimizations for this strategy all pass, it works pretty much with a wide set of parameters. I could probably pick a few random numbers within a range for each of the three critical parameters, and still be profitable. It probably explains why the WFO is working so well....even with random data thrown in, it cannot find a bad set of parameters. These are the run results from last night:


I think the one thing that sets this apart from prior iterations of this strategy, is that I optimized a parameter in a way that was not intended (as the late, great Bob Ross would say, a 'happy little accident').
  • The parameter tells us what amount to set for our limit entry price.
  • Normally you want to set it at any value above 1, otherwise you're entering a worse price ( 1 = 100%, 1.1 = 110%, .9 = 90%).
  • This crazy strategy actually performs better when using a number less than 0% (in my case I think I'm using about 90%). It's basically a multiplier for determining the entry price. I don't know why this works, but that is the way it is.
Last week, when I tested the 5 min chart in sim and live, any value greater than 1.0 did not perform as well. I must have been feeling whimsical when I decided to optimize that parameter lower than intended, after all of my code changes. Apparently that was the thing that took this strategy over the edge. Here is the Monte Carlo analysis I just ran on the 'ideal' parameters.


So according to this run, there is a 100% chance that it will produce at least 2852% return on initial capital ($10k account) The general thought is that if a strategy passes a Monte Carlo test, then it is likely to work. I have tested strategies that passed back testing, but failed Monte Carlo and guess what? They failed in sim.

Again, this will come down to whether orders get filled. The more liquidity, the better. Today was at about 30% above average volume. Tomorrow should provide some proof. I'm with you. If I can get to 20-25% live, then I would be good with that. Then I can tackle some other beasts, like ES (that's my holy grail). Incidentally, this strategy probably would not work anywhere else.

I am excited to try this out tomorrow, but my feelings are tempered. We have had so many wonderful 'grail' type strategies that just didn't work out live for different reasons (execution, fear, doubt, etc.). Though, truth be told, we haven't had one quite like this.

cheers,
~vmodus


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  #22 (permalink)
Legendary Market Wizard
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Experience: Intermediate
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Here is a quick update from the first hour of my VX strategy that I'm trading live today:
  • Tradestation stinks > my strategy wasn't working at all for the first 30 minutes
  • I had to reboot my laptop to get the strategy to work....just another day with TS
  • I don't think the strategy would have generated any trades, as the day started with a down trend and a reversal hasn't happened since before the opening bell
  • No trades yet, but setup is happening within the next 20 minutes....we are approaching an all-time low again for this instrument.
More to come later....

~vmodus

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  #23 (permalink)
Legendary Market Wizard
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As exciting as yesterday was in sim, today is the complete opposite. Happy days are here again, if you are trading ES, NQ or YM. But whatevs, as the kids say these days.

Still no trades. The first crossover happened at the time of the jobs report, and nothing since. I expect the noon reversal that is common for VX:


Boring....

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  #24 (permalink)
Legendary Market Wizard
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Nothing happened today. Seriously. I did not have a single crossover, thus no entries. All of the volume was used up in the downtrend this morning, so now we've bottomed out and will likely stay in or around there for the rest of the day.

Given that this strategy struggles with entries and exits in low volume, I've shut it down for the day. As I mentioned over on @snax's journal, there is no need to trade just for trading's sake. I also don't want get stuck in a position over that weekend and be on the wrong side of a gap up/down.

Today's Results:
  • 0 Trades
  • 0 P/L
I am disappointed, especially after yesterday's busy sim trading day. I counted about 55 trades yesterday, which explains the +$3k day.

Today was just one of those happy market days, with a good jobs report that blew the lid off the market. I could have entered at some point, from a discretionary perspective, but >> "that move wasn't my move".... and ....this is an algo journal (no cheating).

Next week:
  • Try strategy again Monday, live

I'm done here for the week. I hope you all have a restful weekend and I'll see you all Monday!

~vmodus


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  #25 (permalink)
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vmodus View Post
Nothing happened today. Seriously. I did not have a single crossover, thus no entries. All of the volume was used up in the downtrend this morning, so now we've bottomed out and will likely stay in or around there for the rest of the day.

Given that this strategy struggles with entries and exits in low volume, I've shut it down for the day. As I mentioned over on @snax's journal, there is no need to trade just for trading's sake. I also don't want get stuck in a position over that weekend and be on the wrong side of a gap up/down.

Today's Results:
  • 0 Trades
  • 0 P/L
I am disappointed, especially after yesterday's busy sim trading day. I counted about 55 trades yesterday, which explains the +$3k day.

Today was just one of those happy market days, with a good jobs report that blew the lid off the market. I could have entered at some point, from a discretionary perspective, but >> "that move wasn't my move".... and ....this is an algo journal (no cheating).

Next week:
  • Try strategy again Monday, live

I'm done here for the week. I hope you all have a restful weekend and I'll see you all Monday!

~vmodus


I'm learning that these happy market days can be some of the hardest to trade, because it doesn't really seem like there are any obvious opportunities to enter and then you look up and the market has gained 16 points since the opening bell. Add the occasional wood-chipper chop-action thrown in randomly and it can be very difficult to find the right opportunities. But 16 points have passed so now FOMO sets in! Very tricky.

Your strategy is showing potential, I hope it continues to do so. Have a great weekend!

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  #26 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker: Tradestation Securities
Trading: My kids, VX, Eurodollar
 
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snax View Post
I'm learning that these happy market days can be some of the hardest to trade, because it doesn't really seem like there are any obvious opportunities to enter and then you look up and the market has gained 16 points since the opening bell. Add the occasional wood-chipper chop-action thrown in randomly and it can be very difficult to find the right opportunities. But 16 points have passed so now FOMO sets in! Very tricky.

Your strategy is showing potential, I hope it continues to do so. Have a great weekend!

FOMO can be a killer, but we've all been burned by it at some point in our lives, whether in trading or otherwise. I have had some time to think about Friday. Because I still so new to trading the VX, I did not trade Friday afternoon, as mentioned. Mainly, I don't know how volume behaves yet. There would have been some entries shortly after I turned off my strategy and there was enough volume to support the trades my strategy would have taken. But I resisted the temptation to restart my strategy late in the day. Because FOMO is a cruel mistress.

I am disappointed that I didn't pick up any trades, but I don't want to have remorse over a hasty decision. I am practicing mindfulness to get to that place of peace while I wait.

Hope you have a great weekend as well!

~vmodus

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  #27 (permalink)
Legendary Market Wizard
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I just saw a pleasant thing on my profile:


I got an activity award! Hooray for me (yeah, braggin' on myself). I've usually given up journals, etc. by the point, so I guess FIO is now a habit.

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  #28 (permalink)
Legendary Market Wizard
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This is a terse update from Monday:

My strategy does not execute well live. I had some wins and some losses, but the losses outweighed the wins. The biggest issue is having orders filled: it just isn't happening, even with a ton of volume. There is a huge discrepancy between the orders that should have been filled and those that actually did get filled.

Here are my three big problems:
  1. Strategy report doesn't match sim, which doesn't match live. That is normal, but the differences are exceptionally large (a couple thousand dollars large)
  2. Tradestation does not have a market replay feature like NT or SC, so I cannot playback yesterday to see how my strategy would have performed
  3. There is an execution problem within the code: where a condition occurs maybe 3-5 times per day, it is actually generating 8-25 entry signals per day. That was fine in sim, not so fine live.
This is not all doom and gloom, but for now I have to shut this strategy down. It has so much potential, but is worthless if I cannot get in the market. The glimmer of hope is that I can manually trade the same strategy, by watching the indicator. Manual trades somehow appear to go in faster, probably because my limit price is usually the current price. However, the main idea of the strategy is to have the machine to do the work.

Not charts for Monday kiddos. I'm super swamped with other activities this week. I'll do my best to update, but since my strategy is not working properly, I'll sit on the bench. If I have time, I will try to tinker with the strategy, but that is probably not going to happen.

I'll try to update as I go along, but I cannot promise anything.

~vmodus

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  #29 (permalink)
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vmodus View Post
This is a terse update from Monday:

My strategy does not execute well live. I had some wins and some losses, but the losses outweighed the wins. The biggest issue is having orders filled: it just isn't happening, even with a ton of volume. There is a huge discrepancy between the orders that should have been filled and those that actually did get filled.

Here are my three big problems:
  1. Strategy report doesn't match sim, which doesn't match live. That is normal, but the differences are exceptionally large (a couple thousand dollars large)
  2. Tradestation does not have a market replay feature like NT or SC, so I cannot playback yesterday to see how my strategy would have performed
  3. There is an execution problem within the code: where a condition occurs maybe 3-5 times per day, it is actually generating 8-25 entry signals per day. That was fine in sim, not so fine live.
This is not all doom and gloom, but for now I have to shut this strategy down. It has so much potential, but is worthless if I cannot get in the market. The glimmer of hope is that I can manually trade the same strategy, by watching the indicator. Manual trades somehow appear to go in faster, probably because my limit price is usually the current price. However, the main idea of the strategy is to have the machine to do the work.

Not charts for Monday kiddos. I'm super swamped with other activities this week. I'll do my best to update, but since my strategy is not working properly, I'll sit on the bench. If I have time, I will try to tinker with the strategy, but that is probably not going to happen.

I'll try to update as I go along, but I cannot promise anything.

~vmodus

Ugh. Getting a match between sim and the strategy backtest does not really concern me (sim is notorious for having issues), but if you can't get match between strategy backtest and live, you are dead in the water.

It could be an easy fix, or maybe the strategy will have to be abandoned. Hard to say.

The key (for next time) is to develop a strategy that you know will work the same in backtest as in real time. I learned how through trial and (lot of) error...

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  #30 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker: Tradestation Securities
Trading: My kids, VX, Eurodollar
 
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kevinkdog View Post
Ugh. Getting a match between sim and the strategy backtest does not really concern me (sim is notorious for having issues), but if you can't get match between strategy backtest and live, you are dead in the water.

It could be an easy fix, or maybe the strategy will have to be abandoned. Hard to say.

The key (for next time) is to develop a strategy that you know will work the same in backtest as in real time. I learned how through trial and (lot of) error...

Thanks for the feedback. Sim and backtest were pretty close, actually, it was the live that diverged the most. I'm actually not surprised that it did not work well. I can still use this strategy for my signals, but I think it may be best served to manually make the entries. There is definitely opportunity, I believe.

VX has, usually, 2-3 good moves in a day. This week has been a little weird with the trade war talk and the tug-of-war that fear and greed are having, but I benched myself after Monday. I need to work through some things with the code and then retest.

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