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Attack of the Robots - An Algo Journal
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Attack of the Robots - An Algo Journal

  #31 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

Wednesday - Still benched

I know this is kind of lame, but I am still benched. I have been busy with client work, thus have not had a chance to work on my strategy. I may have time later tonight to work with it.

I will leave you with one interesting chart for the VX, that amuses me. I explained last Friday that I don't hold a position in the VX over the weekend, as it has a tendency to gap from time to time. Here is the chart from Friday close (5/3 to the open Sunday evening, 5/5):
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My strategy would have had me long right before close, so I would have exited with a cool $2k. But since I don't hold contracts over the weekend, I wasn't in. Of course, I could just as well been on the short end (literally and figuratively) of that move, with at least a $1k loss, possibly more.

That is all for today. I'll post more as I work through things.

~vmodus

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  #32 (permalink)
OC, California, USA
 
Trading Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
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LittleFinger View Post
I've considered starting a database of previous news and econ events for backtesting. From watching the market react to the Fed over the last couple years I believe there is an exploitable pattern.

I wonder what some good sources for this information are. I usually use Forex Factory, but I'm sure there's some other alternatives.

See the second seasonal strategy at https://quantpedia.com/Blog/Details/quantpedias-composite-seasonalcalendar-strategy-case-study

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  #33 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 257 since Feb 2017
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Thanks for sharing! I don't really look at seasonality, but should. This will prove interesting reading.

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  #34 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

Thursday Madness

I am still on the bench, but I was able to do a little analysis and some discretionary sim trading. First, the analysis:


If you have followed my other journal, you will know I use the Instantaneous Trendline designed by John Ehlers. I use this a lot in my analysis, so I will show you two great examples of how it can be useful in trading. First, I have the VX futures. As mentioned earlier in this journal, the VX seems to have 2-3 good moves per day and typically peaks/bottoms between 1100 and 1300 ET (5 minute chart):
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The cross-over from 810 to 820 is notable and would have earned at least a $550 profit at the next cross-over (1 contract), or more if we had used different exit criteria. Then on the reversal, by the time I took this screenshot, would have earned $1k in the other direction.

Now on to the Dow e-mini (1 minute chart on top, 5 minute on bottom):
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Similar situation, but even better results, resulting somewhere around $2k net profit for one short and one long entry. These are trades that our strategy is designed to take. There are some nuances (annoyances?) with Tradestation and Easylanguage that we need to work out to get our strategy executing as expected. That is just part of the process. One thing I need to improve upon is to stop treating my strategies like a blunt force instrument.

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

Just for practice, I did a little discretionary trading on my sim account. I missed the earlier moves shown above, as I was doing non-trading work first thing this morning. I took a few trades on both VX and YM, and netted $263 for my sim account. All-in-all, I spent about 20 minutes on these, and just followed the trend (my friend) using the Instantaneous Trendline as reference. I know it is not sophisticated and I would probably not do this live. I'm just more interested in keeping in practice with using the tools within Tradestation for order execution.

As a rule, I'm not too fond of day trading manually. Although I know it is a probability game if I use sound strategy and indicators to guide me, it still seems too much like a game while I'm doing it (like a coin flipping game). Hats off to you folks who can do it successfully.

I have one final comment about a couple of orders, particularly the VX. The orders for VX (limit) are not filled right away in sim, even when price is hit. I think the sim engine is trying to emulate where/when an order will be filled in the queue. It is a good thing, I think. This is something I will pay attention to if I continue to work with the VX.

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

Other algo work:
My partner is working on a strategy that is pretty cool. It is essentially a pivot strategy, but she calls it 'contrarian', in that it takes trades in the opposite direction than one would assume. I'm not sure contrarian is the right term, as technically it looks to take trades in either direction from the pivot points. Anyhow, she is refining it for the Dow e-mini before she passes it along to me. Once she can define the rules, I will code it in a strategy and test it further. It is a novel idea and hopefully one we can automate and capitalize upon.

For tomorrow:
  • Not much trading-wise, as I play catch-up with other work
  • Will try to describe the general idea of our pivot strategy, without giving away the farm

I'm done here for the day. Still super busy on other work, but wanted to try to win my activity badge back from @snax.

~vmodus

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  #35 (permalink)
Chicago
 
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vmodus View Post
I'm done here for the day. Still super busy on other work, but wanted to try to win my activity badge back from @snax.

~vmodus

I truly want you to have it, you deserve it! (I didn't just post this in a ploy to win it back in subtle fashion)

P.S. I want to check out those Instantaneous Trendlines by Ehlers. And there's a book you recommended a while back by Ehlers that I just put on my reading list "rocket science for traders".

Learning lots of algo stuff from your journal! Cheers!!

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  #36 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Thanks: 431 given, 416 received


snax View Post
I truly want you to have it, you deserve it! (I didn't just post this in a ploy to win it back in subtle fashion)

P.S. I want to check out those Instantaneous Trendlines by Ehlers. And there's a book you recommended a while back by Ehlers that I just put on my reading list "rocket science for traders".

Learning lots of algo stuff from your journal! Cheers!!

I'm glad this is helping. Rocket Science for Traders was his first book, and a lot of what he covered is improved upon in his later works. I think it lays a good foundation for understanding his later works. After that, I would say Cybernetic Analysis for Stocks and Futures and then Cycle Analytics for Traders, which was his final book. The books are expensive, imho, but they have value. Maybe your library system has them to borrow (ours does not).

The books are heavy on the advanced math (advanced for me, that is) and may require multiple readings. I don't completely understand all of the content, but I've found some of his stuff useful (and other stuff head scratching.... again, multiple reads). Also, most of his code is in EasyLanguage, so if you're not using Tradestation or Multicharts, you may have to recode indicators for your own platforms, unless you can find them somehow or your platform includes them (not likely).

Big Mike interviewed him a couple of times, so check out the YouTube channel for FIO and just search for Ehlers.

~vmodus

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  #37 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

Monday Update - No News is Good News

Well, I look like a slacker by not updating Friday, but there really was no news for me Friday or today. I have another business which has pulled my attention away from trading, and I am okay with that. I was away this weekend at a soccer tournament and getting drenched yesterday morning (in 50 degree weather)....so needless to say, my update here was not at the highest of my list of things to do.

I'm still on the bench. It's cool.

I was following the markets Friday for a short while. Here are my observations from the VX:
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  • There was some chop and I am sure there could have been some profitable trades, especially after noon.
  • The gaps this instrument tends to experience would have killed us if we were holding after close on Friday (the same gaps everyone saw on ES, YM, etc.)
  • Again, the top or bottom of the VX happens right around the noon time period (+/- 1 hour), with the exception of market moving afternoon new, such as the FOMC reports. Something for me to look at deeper.
I didn't really tune in to any news until 2pm EDT, but I figured there would be more trade war nonsense (I wasn't disappointed). Saw the bloodshed and wasn't terribly surprised. There were some really good trading opportunities, but I'm still okay being on the bench for this. I do not have a stable plan and system, thus I will not trade without one. I have a fairly reliable set of indicators, but I cannot focus on my other work (which is pretty profitable in its own right) and trading and hope to be successful.

I do not have time to work on any automated strategies, but I will still look at the markets and make my analysis on the VX with respect to trades we may have made. Maybe, just maybe I will try to simulate my strategy trade execution for last Friday and today to see if my strategy would have been profitable.

That's all I have for now. I will update as I can this week.

~vmodus

"Luck is where opportunity meets preparedness" (my dad and countless others)

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  #38 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

Wednesday Morning - Back in Sim

Well, this was quite unexpected, but I am back in sim. I had some 'down time' yesterday waiting for soccer practice to finish, so I went to the library and worked on fixing my broken strategy.

I had a really boneheaded set of conditions in there that had me entering and exiting positions way too often. Anyhow, neither here nor there, I was able to partially fix my code yesterday and then wrap it up this morning. I back-tested it, then did a walk-forward optimization. Tradestation is a little hateful to me (it would only back test a small subset of what I wanted....no idea why....), but I was able to get things rolling.

Here is an equity curve from my walk-forward optimization (number of trades on the x-axis; profit on the y-axis):
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...and Monte Carlo results for the best performing WFO (100% chance of being 164% profitable):
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I started sim at about 900 EDT, just missing the earlier move of the day. But my strategy did capture the move it should have (albeit a little late....something to look into). Here is my chart this morning:
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So I am running an $850 profit as of when I took this screenshot. My optimizations (back and forward) suggest that $1300 is a good profit target.

Reality check:
Now, as before, I am not going to get too high on this. One good trade in sim does not a successful system make (...bumper sticker quote?). I am happy to see it taking the trades it should. I changed a few of the sim trading parameters (control how automated and sim trading work, not related to my strategy), to try and replicate live trading a little better. I'll have to see how/if that works. I do feel good about this, as I do not believe I will miss the moves I want. This really behaves like a intraday swing trading strategy, if there is such a thing.

There is the issue of the order happening a couple of bars late that needs to be addressed. That is probably in the code, which is an easy fix. To explain, my strategy and my indicator are two different sets of code, but the calculations are identical. However, the indicator seems to be 2-3 bars earlier (i.e. more responsive), which I talked about in an earlier post (It's Not Just Math).

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

I won't post again today, as I'm busy with other stuff. I will leave sim running and post results daily for the rest of this week. I hope you all have a great trading day!

~vmodus

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  #39 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

End of Day Wednesday 15-May-2019 - Sim

End of day results (sim trading):
  • +$1448
  • 1 short trade
This is my chart:
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What went right:
  • The order was triggered in the correct direction
  • The strategy did not kick me out during a consolidation period
  • Padded my sim account
What when wrong:
  • The order was a couple of bars late
  • Limit order was not placed with profit target was hit (should have been at $1300)
  • I should have had an exit at 1510, but the order was not triggered in the strategy
  • I should have exited after 1605, but no order was triggered
Obviously there is some work to do. The strategy will be running tomorrow, so I will update results then.

See you all tomorrow!

~vmodus

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  #40 (permalink)
Somewhere, Delawhere, USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 257 since Feb 2017
Thanks: 431 given, 416 received

Thursday - VX Sim Update


Thursday was an interesting day for my sim. I ran it like normal and then tried to see how it would perform today.

It was bad. Let's start with a chart:
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A) Normal cross-over entry .... so far, so good.

B) The stop loss was missed .... I will explain shortly why; also notice that on the chart, there are two other cross-overs, but neither of those were taken.

C) Reversal was missed .... same reason a couple of the cross-overs were missed.

D) I had to manually exit. I let this run deep into a loss, just to see if anything would happen within the strategy .... it did not. Loss of about $802.

E) I restarted Tradestation .... and entries and exits worked normally

F) End of day exit was not made, because limit price was not hit .... manually exited.

A, E, and F all worked as designed. The major failure in the system was with Tradestation. For some reason, Tradestation just stopped executing my strategy, with no warning. I realized that after my stop loss was missed (the entry never came). The strategy performance report, which runs independently of the strategy itself, did not detect any of the exits or entries after the entry described in 'A'.

Closing and restarting Tradestation was the only way to get it working again. I'm not doing anything terribly exotic and the calculations are not terribly intense. My workstation has a ton of memory, powerful CPU, SSD drive, and powerful graphics card. This is my life with the platform. If you are a long time reader, you will know that I will be moving away from this platform sometime this year, precisely for these types of issue.

Today's actual results (sim):
  • -$1214 net loss
  • Manual intervention required on this strategy twice
  • Not quite what I would call 'automated'
Today's results, as they should have been:
  • -$789 net loss
  • This probably would have been the result if I had restarted Tradestation clean, with only that chart and strategy up
Today's results, as they could have been:
  • -$236 net loss
  • There is a trade the strategy should have taken, but didn't
  • Further research required
The biggest lesson is that I cannot trust Tradestation, for now. I must babysit it, and must make sure that it is running only the bare minimum items needed to execute my strategy. What a pain in the butt. I admit, this is frustrating, but at least it isn't discouraging.

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

My partner wanted to see the code, so she actually rewrote the code in her own way, to see if she got the same results. She did, but we did come across a quirk, which does affect some of our trades. Easylanguage has a 'crossover' function, which allows for us to trigger an order when value 'X' crosses value 'Y'. The problem is that the values are sometimes equal:

Example:
  • 1 bar ago: X = 15.00 and Y = 15.00
  • This bar: X = 15.05 and Y = 15.00
  • This is not a cross over, because x is not really crossing over, but rather pulling away
I can code around this easily enough (i.e. not use the 'crossover' function), but it was an interesting learning moment. This explains why some cross-overs in my strategies are being missed.

Tomorrow:
  • I will run sim again.
  • Start to plan discretionary trading, if needed, alongside this strategy.
  • If I have time, I will make the code changes to remove the 'crossover' condition and use the actual indicator values to determine what I mean by cross-over. I suspect this will improve the strategy performance.
See you all tomorrow!

~vmodus

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