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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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  #321 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

A Small Algo Lesson
Last night I decided to add another instrument to my current live algo 'stack': micro gold (MGC), in the spirit of diversification. It like it, performs very well with the current algo I selected and I have plenty of margin available. It is a low risk, high reward strategy. When I added the instrument and strategy last night, I ended up with a bunch of trades that I probably should not have had. The same happened on the forex pairs I am testing. Let me explain why I believe this happens and how to prevent it.

First, consider that I am a medium frequency trader, I am running strategies 23 hours per day (24 for forex), and for this week I am averaging about 1 hour and 35 per minutes in each position. I have written earlier about 'normalizing' chart data, primarily indicators/studies, but also any specialized chart (Range, Renko, etc.). I'm not sure why, but if I start a strategy mid-week and mid-session, I start with some bad trades. After that, everything seems to normalize. I typically do not see this Sunday night, though I put in a delay (10-15 minutes) for my trading to commence, to allow for any gaps from the Friday close. Sometimes I will use number of bars, if using an indicator that looks and the last n-bars (e.g. 14 bar ADX).

By starting the micro gold early (2100 ET last night), I probably gave away some money on bad trades. Everything normalized by 300 ET this morning, and my Strategy Performance Report entries now match (give or take a little slippage) my actual entries and exits.

The goal is to prevent leakage of the strategy, and I believe starting at the beginning of the week addresses this issue. Lesson learned.

~vmodus

~vmodus

You panic, you die.
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  #322 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

Today's Results (live):
  • Not profitable for the day, trading MNQ and MGC
  • 35 round trips
  • 35% profitable
  • .85 profit factor on closed positions
  • 2 open position at close: both profitable
  • Profitable for the week
Today's chop just made any chance of profitability a tough proposition. Drawdown was not bad, but still couldn't break above zero. My execution was fine (I didn't screw anything up). I had some extra trades that I am researching, so execution was not perfect. The extra trades appear to be during consolidation.

I am happy thus far with our live systems, though they are picking up some stray orders. We will be watching this carefully. We are not seeing this issue with our forex orders, but probably because forex moves like molasses in Alaska in winter.

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

Forex Goal
I have set a forex goal for my strategy, running these three pairs: EUR/USD, GBP/USD, EUR/GBP. The goal is to return my practice account to $100,000, or about $2500, before (or if) I start trading live. I'm trading 100k lots. This is full auto, so I need to execute (meaning, not screw it up by fiddling with anything) and stay connected.

Forex is just a side project for now, and if it generates a little revenue, that's okay by me.

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

That's all for today. No pics, maybe tomorrow?

~vmodus

You panic, you die.
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  #323 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received


Picture.... yea!

This is one of our strategies today on micro gold (MGCQ20), on full-auto:



This is a typical day, if there is such a thing. Lots of give and take, hopefully coming out on the right side of in the end. Yesterday was worse, today is better, and tomorrow?

~vmodus

You panic, you die.
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  #324 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

Today's Results (live):
  • Profitable for the day, trading MNQ and MGC; both instruments profitable
  • 43 round trips
  • 42% profitable
  • 1.45 profit factor on closed positions
  • 2 open position at close: one profitable/one not
  • Profitable for the week (3 of 4 days)
Today was a wild ride. Micro gold did very well, all things considered, at a 50% win rate. That is good, since I got off to a rocky start with it. Micro NQ did okay, too, though we gave a lot back this afternoon. Overall drawdown was not bad (~3.5% of initial capital).

Execution
Things were a little wonky in this arena. I thought that my strategy had missed a very important reversal, so I intervened. It just happened that my indicator setting did not match my strategy, but I thought it was a strategy glitch. In the end, the strategy was okay and the indicator was wrong. Anyhow, no harm the first time and I was able to pickup a few extra $ on the second time (by the time I caught my own error). So I give myself a 'D+' for execution today, and only a + because I was able to squeeze out a few extra $$.

System execution was fine, but TradeStation got weird. I am showing an extra position here that does not exist:



I have no idea what that is about.

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

Extra Trades
We figured out the extra trade problem and are trying to code around it. Since I am using Renko on this particular strategy, we need to account for the the price action above or below a Renko bar. Unfortunately we cannot see it on the chart. If you are not familiar, here is Renko in Sierra Chart, showing wicks:

Renko with Wicks


I think we have figured it out (and by 'we' I mean my brilliant wife/trading partner).

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

Forex
Things were just weird with this today. Testing continues, but we are moving sideways. I have not had time to check transactions against the strategy performance report, but maybe this weekend.

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

That's all for today. I am hoping for an good closeout for the week tomorrow.

~vmodus

You panic, you die.
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  #325 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

Today's Results (live):
  • Profitable for the day, trading MNQ and MGC
  • 35 round trips
  • 30% profitable
  • 1.33 profit factor on closed positions
  • Profitable for the week
Execution was fine. No mistakes by me and no interference with the process. I am most proud of that, to be honest.

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

End of Week Results
  • Profitable for the week, profitable for the month (after data and all other fees)
  • I don't trust the reports, so I am not posting win % and # of trades until I have full details
  • End of week automatic exits worked fine
Overall, MNQ did very well; MGC did not do so well, ending negative for the week. Though I started MGC on Tuesday evening, I don't think it would have made any difference starting Sunday night. I have a better way, I believe, to trade this, so I will have run it next week. MGC was not terrible, but it was not profitable. There were plenty of ups and downs to keep things interesting.

Execution for the week was mostly clean. Not perfect, but pretty close. I made a couple mistakes Thursday, but was otherwise able to let everything run. The systems ran fine, though we do generate some extra (though expected) orders that we need to deal with.

The virtual machine, which runs our live strategies, was perfect.

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

Forex test
This testing is a nightmare right now. I don't have the time to dedicate to it and kept goofing up my positions. I will run a set starting Sunday night again, using a basket of pairs (not pears) and just let it run. These are my pairs for next week:
  • AUD/USD
  • GBP/USD
  • EUR/USD
  • EUR/GBP
I am lazy to find any pics to share, so here is my Forex screen (MultiCharts) today:



You will see I have two positions open over the weekend. Oops.

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

Other Accounts
I worked to get my Roth IRA setup with TradeStation. Figuring out our architecture for trading (professional and personal) has been a little challenging, but @SMCJB and @kevinkdog helped me a lot in figuring out my data fee dilemma (thanks guys!). The main thing is that we need to keep trading live, but also developing strategies, without paying through the nose for data. I think we're good now.

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

That is all. It was a good week, but now we have a lot of post-mortem analysis to do.

~vmodus

You panic, you die.
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  #326 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

End of Week - Addendum

So going through our results this week, I realized that I had a bug in my fractal code function, which affects all strategies and indicators that use it. Who knew that addition and multiplication were different!



Thankfully, finding this error actually helped me to (potentially) find a solution to a much bigger problem.

Ultimately it would have not impacted our trading this week, but it was a stupid oversight. Lesson learned.

~vmodus

You panic, you die.
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  #327 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

Well, another week is here....

Post-mortem from last week on the strategy I'm running on MNQ caused me some consternation. We were nicely profitable for the week. However, I'm looking at the trades I had versus the trades I should have had, and I think I may have been lucky. As Bill Williams famously wrote/said: even a blind chicken finds some corn eventually. I had a whopping 40% more trades than I should have.

I believe luck is where opportunity meets preparedness. (Thanks for the words of wisdom, Dad!) So I put my head down and worked on some of this over the weekend, creating my own luck. This spawned a few solutions, so we are testing those.

In testing these (in simulation) today....
  • MNQ did well
  • Silver did well (made a mistake on chart settings)
  • NQ did horribly (should have tracked with MNQ, but my chart settings were incorrect)

I am starting a new cycle at market open, hoping we have eliminated the extra orders. I will report tomorrow on the results.

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

Forex continued
I setup my forex testing last night, so that is running. I'm running the following pairs, automated of course:



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

That's all. See ya' tomorrow!

~vmodus

You panic, you die.
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  #328 (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: 746 since Feb 2017
Thanks: 1,386 given, 1,351 received

Here is my journal entry of the week. I'm not journaling this week.



Seriously though, I am taking a short break from journaling, mainly because it is more of the same that I'm doing, but also I'm taking a couple weeks off and just letting the robots run the shop. I will sit near a large body of water and hang out with the family, and that is about it.


~vmodus

You panic, you die.
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