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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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  #291 (permalink)
Market Wizard
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vmodus View Post
Go Live
For the most part, slippage is almost a non-factor due to the use of stop orders (I have some positive slippage, too), though I always include it in my testing.

Nice progress, great to see!

I'm curious about your statement. Stop orders are really just market orders as far as the exchange goes. I have always seen slippage with them.

Maybe you are calculating slippage differently?

I calculate slippage as the difference between my actual fill and the strategy engine fill.


Some of my results (all market or stop orders):

For MES, last couple of weeks

I assume $1.25 per side slippage for MES

Average actual slippage based on 272 trades: $0.81 (or 65% of planned slippage - which is good!)

22% of orders had positive slippage
5% had $0 slippage
73% had negative slippage, as much as 8 ticks


Maybe I am doing something differently than you?

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  #292 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
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kevinkdog View Post
Nice progress, great to see!

I'm curious about your statement. Stop orders are really just market orders as far as the exchange goes. I have always seen slippage with them.

Maybe you are calculating slippage differently?

I calculate slippage as the difference between my actual fill and the strategy engine fill.


Some of my results (all market or stop orders):

For MES, last couple of weeks

I assume $1.25 per side slippage for MES

Average actual slippage based on 272 trades: $0.81 (or 65% of planned slippage - which is good!)

22% of orders had positive slippage
5% had $0 slippage
73% had negative slippage, as much as 8 ticks


Maybe I am doing something differently than you?

Thanks! It is nice to have my first strategy up and running, though I still consider this to be a live incubating period, thus the use of micros instead of e-minis.

I think we calculate the same, but for example, on a reversal entry I am seeing this (sorry no screenshot, Trade Manager is acting up and cannot get any data):
  • Buy to cover: 3005.50 (exit)
  • Buy: 3005.5 (entry)
At least, that is what I saw yesterday. I will try to get a screenshot of the trade list after we've exited our positions for the week. Regardless, we always add at least one point value in slippage, same as you. For this week, it has been slightly in our favor, but we haven't combed through all the data yet.

Considering I have just started using stop orders (in TradeStation): what is the purpose of setting a stop price if they just become market orders? Entering at stop versus market has a big impact (positive) on strategy performance. I'm guessing it is just when the strategy will send the order to TS.

~vmodus

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  #293 (permalink)
Market Wizard
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vmodus View Post
Thanks! It is nice to have my first strategy up and running, though I still consider this to be a live incubating period, thus the use of micros instead of e-minis.

I think we calculate the same, but for example, on a reversal entry I am seeing this (sorry no screenshot, Trade Manager is acting up and cannot get any data):
  • Buy to cover: 3005.50 (exit)
  • Buy: 3005.5 (entry)
At least, that is what I saw yesterday. I will try to get a screenshot of the trade list after we've exited our positions for the week. Regardless, we always add at least one point value in slippage, same as you. For this week, it has been slightly in our favor, but we haven't combed through all the data yet.

Considering I have just started using stop orders (in TradeStation): what is the purpose of setting a stop price if they just become market orders? Entering at stop versus market has a big impact (positive) on strategy performance. I'm guessing it is just when the strategy will send the order to TS.

~vmodus

So what happens with a stop order is that as soon as that price is hit, a market order is immediately sent, and is filled at the prevailing price. So it doesn't guarantee any kind of price like a limit order does. In fact, depending on the situation, your stop order may not be filled at all. That is rare though, thankfully.

I have seen stop orders executed as many as 10 points from the the actual stop price.

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  #294 (permalink)
Legendary Market Wizard
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kevinkdog View Post
So what happens with a stop order is that as soon as that price is hit, a market order is immediately sent, and is filled at the prevailing price. So it doesn't guarantee any kind of price like a limit order does. In fact, depending on the situation, your stop order may not be filled at all. That is rare though, thankfully.

I have seen stop orders executed as many as 10 points from the the actual stop price.

Ah, okay that makes perfect sense, thank you so much! Have a great weekend, my friend!

~vmodus

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  #295 (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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End of Week
This was a pretty wild week for us, in a good way I think. We were able to run our new strategy and it performed well on the micro indexes. We have a couple of variants that are currently in the testing phase, so that is exciting too. As I mentioned yesterday, I don't post actual P&L, but will indicate if I was up or down for the day, and overall for the week.

Today's Results - live
  • Positive P&L at close, trading MES and MNQ (1 contract each)
  • No open positions at close (I don't hold over the weekend)
  • 26 round trip trades
  • 38% profitable
  • Overall profit factor 1.16
  • System efficiency: -13% (worse than testing)
  • Execution errors: one
I'm not terribly happy about the execution error, which probably cost $50 or so. I was carrying two contracts of MNQ because I misinterpreted a message from TradeStation and probably caused a second order to be placed. I will review and correct.

Efficiency and profitability are not where I want them, but still profitable despite that. I will continue to monitor.

Two things I didn't like:
  1. TradeStation flaked out and I could not get accurate data from the Trade Manager, nor do Trade Analysis. I couldn't do anything until market close when I was able to restart my PC. Restarting TradeStation did not resolve the issue.
  2. TradeStation also would not allow me to cancel a limit order for my end of week exit. It told me the Trade Manager was locked. BS, I say.

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

Weekly Result
  • Positive P&L over 3 trading days; all days were +
  • 53 round trip trades
  • 44% profitable
  • Overall profit factor 1.85
  • System efficiency: 0% (better than testing)
So all-in-all, a good week. I see some potential system improvements, but it has proven to be tradable thus far.

Holiday Analysis
This weekend is a holiday weekend, for all intents and purposes, though unlike any holiday weekend we've seen in ages. Some of our past strategies have typically avoided trading holidays. I did some analysis on my latest strategy against historic holidays and it does well enough to run. I will leave this running through the Independence Day holiday (July 4th).

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

That's all for the week. More trading next week. Have a great weekend everyone and please be safe!

~vmodus

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  #296 (permalink)
Legendary Market Wizard
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I only have a few minutes, so I figured I would give a quick update:

Today's Results - live
  • Negative P&L at close, trading MES and MNQ (1 contract each)
  • 2 open positions at close, both positive
  • 26 round trip trades
  • 19% profitable
  • Overall profit factor .34
  • System efficiency: -32%
  • Execution errors: several
  • System errors: several
This was my first day of losses with this system. Tracking the system, it would have been one of those losing days even without any errors.

I had a couple of execution (human) errors. I started my system exactly at open, to see what would happen. That cost me two bad trades immediately. I found I need for my signals to normalize, especially when we have a gap over the weekend. The other execution error was when I had to restart, I forgot to restart the automation on MES (missed two orders).

Then I had several bad (phantom) trades overnight, which were system errors. I have to determine how this happened and how I can prevent it. I also had a system lockup at about 945 ET (great timing, huh?), which required a reboot..... a VPS is looking better every day.

If something could have gone wrong, from my end, it did. Still, I was able to recoup some of the earlier losses. With my current open positions, I should be in good shape to end the month profitable, which is good considering I will only have had 6 trading days.

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

My overnight problem
So I had issues overnight, but everything ran fine while I was awake and monitoring. Now I'm thinking that maybe I just want to run this while I am able to monitor my positions. I would just confirm that my entries are occurring when and where they should, as well as reversals and exits. So I decided to check to see where the sweet spot of my strategy is, in other words: when does it make the most money? I dropped a sample of over 1700 trades into Excel, did a pivot table based on entry hour and summed the total for each hour, and then did a graph:

MNQ - 1700 Trades


So my sweet spot is 800 ET to 2100 ET, hours I am typically awake and active. So rather than run this 23/5, I can run this 13/5, which would account for 88% of my profits for this period, at least in this example.

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

Learning
I have learned some things about this system:
  • Wait 15 minutes after the Sunday open to start the system, to allow the data to normalize
  • Exit on Friday should right after 1615 ET for US equity indexes (ES, YM, NQ, RTY)
  • I don't need to trade this overnight
  • The alligator 'teeth' may be keeping me out of good trades
With this information, I can improve future versions of this. I am still determining if this strategy will be effective long-term, but the offspring show lots of potential.

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

That's all for tonight. See you all tomorrow!

~vmodus

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  #297 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
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Preventing Duplicate Fills in TradeStation or MultiCharts
I forgot to mention one other thing I did yesterday, which was helping a fellow member here with a little problem. He was trying to prevent duplicate fills on a strategy, which occurs when a strategy condition is met more than once before the order has been filled. If you use PowerLanguage or EasyLanguage, check it out:

https://futures.io/tradestation/55335-getting-duplicate-fills-automated-strategy.html#post813890

~vmodus

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  #298 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker: Tradestation Securities
Trading: My kids, VX, Eurodollar
 
vmodus's Avatar
 
Posts: 609 since Feb 2017
Thanks: 1,174 given, 1,178 received

Today's Results - live
  • Positive P&L at close, trading MES and MNQ (1 contract each)
  • 2 open positions at close, both negative
  • 12 round trip trades
  • 42% profitable
  • Overall profit factor: 2.9
  • System efficiency: 51%
  • Execution errors: none
  • System errors: one, with a caveat

Today was okay. System efficiency was really good for a change and profit factor is was better. I'll take the positive P/L for the day. Yesterday was such a whack day that it has skewed this week. Things probably won't be back on level until Thursday, hopefully.

Execution was clean, no errors by me.

System Errors
There was one missed entry, which is okay, as I don't think the price ever hit. I solved a problem that I've been having when looking at backtested results versus live results. I will need to determine a method (programatically) for backtesting, but I know I cannot exactly use the built-in reports. In other words, I need to create my own strategy report to compare with live trading.

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

That's all for today. Let's do this again next month!

~vmodus

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  #299 (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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Posts: 609 since Feb 2017
Thanks: 1,174 given, 1,178 received

Resolving Start of Week Entry Issue
I have run into an issue with some of my strategies, but in particular my latest, where my signals have not normalized (or settled down, if you will). So I have written a little bit of code to wait for 10 minutes before trading.

Here is the little snippet of EasyLanguage / PowerLanguage code that helps accomplish this little feat:
 
Code
// Do not trade the open
if Dayofweek(date) = 0 
   then
      begin 
         if 1810 < Time
            then 
               Condition52 = true 
            else 
               condition52 = false; 
      end 
   Else 
      Condition52 = true ;
I then add Condition52 to every buy and sellshort statement. If false, it prevents entry. Easy peasy lemon squeezy.

Start of Week Delay and End of Week Exit


If I had had this code in my strategy Sunday night, it would have saved me a lot of grief. It was a great lesson, though (tuition is steep).

~vmodus

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June 30, 2020


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