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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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  #301 (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: 1,941 given, 1,890 received

End of Day
My strategy du jour, one my wife/trading partner developed and I enhanced (mainly with EOW logic), did well in sim today (she trades her version live). It started off with one bad trade, which was a coding error. I delay the start of my trading by 10-15 minutes on Sunday evening, to allow the normalization of the indicators. I forgot to add that condition to my entry logic.

Today's Results - sim
  • Positive P&L at close, trading MNQ
  • 1 open positions at close, positive
  • 5 round trip trades
  • 60% profitable
  • Overall profit factor 7.17
  • System efficiency: 22% (better than testing)
  • Execution errors: none
  • System errors: one (corrected)
One thing that I am looking at is slippage. My partner allows for a lot of slippage in analysis and backtesting (2-4 points per side), but I am more liberal (1-2 points per side). For today, slippage averaged 1 point per side. I will keep tracking this, as I want to make sure I am applying an appropriate value for slippage during my testing.

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

I did a little bit of work on Saturday looking at continuous contracts in TradeStation versus working with multiple individual historical contracts. I wanted to see how backtesting looked on continuous contract versus individual contracts. The 'unknown' for me was: when does TradeStation starting using the next contract? There are multiple methods (Sierra Charts gives you several choices for continuous data), but from what I saw, TS uses volume to determine when the next contract is to be used. I am only making an educated guess, but that is what I saw from the volume data.

For my experiment, this is what I used:
  • MYM (Micro E-mini Dow $5)
  • March, June and September contracts (2020)
  • Start trading the newer contract on the Sunday before the contract expiration date
Below are the equity curves using the same strategy, continuous contract (orange line) versus the individual charts using the rule above:

Continuous versus Individual Contracts


The two contracts tracked perfectly until the last 11 days of the March contract, then the continuous contract flipped to the June data which I was still on March with the individuals. The continuous contract did much better overall (it was about a $3k difference). In other words, using a volume based versus date based contract rollover performed better, at least in this case. The continuous contract also had fewer trades. This was only one instrument over 6 months, but I am guessing that volume based rollover is the way to go.

That was my lesson over the weekend. It was a very informative exercise.

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

Other than running the above strategy, I have been catching up on 'paperwork', mainly going through the strategies that have failed (there are lots), and doing the post-mortem documentation and archiving them. So, you know, boring stuff.

That's all for today.

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  #302 (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: 1,941 given, 1,890 received

End of Day
I kept running the same strategy as yesterday (in sim). It went well, despite some chop throughout the day.

Today's Results - Sim
  • Positive P&L at close, trading MNQ
  • No open positions at close
  • 18 round trip trades
  • 39% profitable
  • Overall profit factor 1.59
  • System efficiency: -21% (pretty bad)
  • Execution errors: none
  • System errors: none
I had one extra trade, which was likely an extra stop loss. I think we have a 'stop loss leak', probably due to my stop loss being too close. I had 18 trades, should have had 17. Slippage was minimal (less than 1pt per side), but that may be a result of using sim.

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

Dreams of VPS
I am currently looking to move our trading platforms to a VPS (virtual private server). One of our biggest risks right now is a potential outage (internet, power), and VPS nearly completely mitigates those risks. So we will probably move one of our installations online, then another. Since the VPS will primarily be used to run TradeStation, I have to determine the hardware specs for the VPS. It may seem boring (and it is), but as an algo trader, I need to assure that my TS platform is online and trading. For example, we had a 1 minute internet outage this afternoon. There is, essentially, no internet outage when running a VPS.

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

That is all for today. I had a bunch of other things going on today, so I have nothing else new to report. Have a great evening!

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  #303 (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: 1,941 given, 1,890 received

End of Day
I kept running the same strategy as I have all week, no changes (in sim). Today was a little bit wilder. I woke up being down, but it recovered well in the end. It is all a matter of execution, and allowing it to run uninterrupted.

Today's Results - Sim
  • Positive P&L at close, trading MNQ
  • 1 open positions at close, positive
  • 18 round trip trades
  • 26% profitable
  • Overall profit factor 1.06
  • System efficiency: -31% (bad)
  • Execution errors: none
  • System errors: none
Even though I am up for the day, it wasn't really the best day, as see from Profit Factor, % profitable and system efficiency.

Stop losses are still an issue and ate up a majority of profits. There were no extra trades today (hooray for that). The strategy report (what should have been) against the actual results was a little bit off (I lost more than I should have), but it was small and within a reasonable margin of error. It is likely due to some slippage. I am too lazy right now to calculate slippage, but I will do it later.

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

Right now the Trade Manager Analysis is wildly inaccurate. For the past 24 hours it is fine, but the data gets ugly earlier than that. There are duplicates, missing data, etc. Here is what it looks like (total Net should be positive...haven't had a losing day this week):

Trade Manager Analysis


As the kids say these days, whatevs. I am guessing this is just the nature of sim data, but I have issues with the live data too. At some point I will build a database to house our trade data and do our own analysis.

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

In MultiCharts news...
I have been running some tests in MC on an Oanda practice account, just to get a feel for the Auto Trading component (equivalent to Strategy Automation in TradeStation). Things are a lot different in terms of setup and automation, so my dear wife/trading partner helped me with my setups. I was getting duplicate orders placed and things out of whack. Hopefully I have some good results (meaning accurate, not necessarily profitable).

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

That is all for now my friends. See you on the other side!

~vmodus

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  #304 (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: 1,941 given, 1,890 received

End of Day
I kept running the same strategy as I have all week, no changes (in sim). There were a lot of trades today. Plenty of stop losses, but that is to be expected at this point. Everything ran perfectly.

Today's Results - Sim
  • Positive P&L at close, trading MNQ (4 days in a row!)
  • 1 open positions at close, flat
  • 26 round trip trades
  • 21% profitable
  • Overall profit factor 1.02
  • System efficiency: -38% (really bad)
  • Execution errors: none
  • System errors: none
The good trades easily offset the bad trades. All metrics are bad except the one that really matters, which is total P/L, which was good by any measure.

Stop losses are still an issue and ate up a lot of profits, but that is something to be worked on in the future. One of the filters we use is Parabolic SAR, which generates a lot of early exits. The strategy actually did better in sim when compared to the strategy report. Overall, the four days appear to be tracking well.

Here is one stretch of 6 consecutive stops:



Stops and efficiency must be improved (fixing the former will improve the latter). Due to these two metrics, I feel like this strategy is very shaky, though through a myriad of back and forward testing, it is working well.

The one thing I am very happy with is that the strategy is tracking what it should be doing. The only issues I have had were self-inflicted injuries. This is only sim, but my wife/trading partner is trading this live (different timeframe) and it appears to be working for her.

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

I am currently reading Trading Chaos 2ed, by Bill Williams and Justine Gregory-Williams, from the start (I skipped right to the technical stuff when I first got it). They discuss the non-linear nature of the markets and why chaos theory is useful in analyzing and understanding the markets. Here is an interesting quote from the introduction:


Quoting 
The market is a creature of chaos -- a far from equilibrium soup simmering on the uneven flame of trader psychology.

It is very interesting reading and I'm sure I will glean value from it. Good stuff.

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

That is all for today. Hopefully the strategy finishes the week with a win.

~vmodus

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  #305 (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: 1,941 given, 1,890 received

End of Day
I kept running the same strategy as I have all week, no changes (in sim). Today was hot hell for the most part. Everything ran perfectly, however, algorithmically speaking.

Hot Hell


Today's Results - Sim
  • Negative P&L at close, trading MNQ (1st losing day of the week)
  • No open positions at close; I don't hold over the weekend with this strategy
  • 26 round trip trades
  • 19% profitable
  • Overall profit factor .83
  • System efficiency: -26% (bad)
  • Execution errors: none
  • System errors: none
Stops killed me today, but I was able to catch the final run of the day, which recouped a lot of my earlier losses. No complaints, really, as the system functioned as intended.

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

End of Week
  • Positive net profit, trading 1 contract of MNQU20 all week (sim), same strategy with no changes
  • 101 round trip trades
  • 27.7% profitable
  • 1.41 Profit factor
  • -44% System efficiency (ugh)
The week was very good with respect to P/L, even though the numbers above do not reflect it. There were big wins to offset lots of small losers, mostly the stop losses. Four winning days and one losing day was okay.

This week was the test for my latest end of week exit (specific to a Renko chart). It performed flawlessly, exiting right after 1630 ET as expected and not re-entering a new position.

The strategy performed worse than expected overall, but this is partly due to the execution errors. However, there were additional stop losses that occurred. We need to clean that up.

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

VM
I setup a virtual machine (VM) on Azure this morning. We currently have a Microsoft business account, so it was super easy, as they suggested it would be. It took me about 30 minutes to setup, though most of it was just understanding my configuration options. I installed TradeStation desktop on the minty fresh VM and had my strategy up and running quickly, with virtually no disruption.

The goal here is to run our algorithms on a virtual machine, which will help mitigate issues with internet outages, power outages, and other unseen events that can affect traders in our position. You can check out these threads if you want more info on our configs:

https://futures.io/tradestation/55419-what-vpc-configuration-specification-do-you-use-ts-new-post.html
https://futures.io/tradestation/55413-what-ports-monitor-vps-new-post.html

For what it is worth, Microsoft offers the VM free (within reasonable limit) for a while (they say 12 months). So we can use this for now without any more risk than if we were using our own PC's.

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

MultiCharts
I ran a strategy this week in MC, just to get a feel for it. It is a losing strategy, but I knew that and I am only using it against the Oanda practice account. I've learned some of the things I can and cannot do. I will run this more next week. It has performed flawlessly.

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

Next Week
I have a bunch of things to do next week. Here is what is on tap trading-wise:
  • I will run VM sim all week
  • Run multiple strategies on the VM to stress test the system
  • Do some analysis on my alligator-fractal strategy (not quite dead, yet)
  • Run strategies on MultiCharts to better understand the nuances and differences between TradeStation and MultiCharts
~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

Have a great weekend, stay safe, and be a good neighbor/citizen and wear a mask. Even my avatar wears a mask.

~vmodus

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  #306 (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: 1,941 given, 1,890 received

Wow, what a day. So I am currently stress testing the virtual machine (VM) that will eventually house our live trading strategies. I am running 6 instruments with automated strategies in simulation:
  • E7U20 (Euro FX)
  • M2KU20 (Micro Russell 2000)
  • MNQU20 (Micro NQ)
  • MESU20 (Micro ES
  • QOQ20 (miNY Gold)
  • ESU20 (ES)
Everything was okay, but there were a few issues:
  • Execution error: I used the wrong bar settings for ES, so I had a bunch of bad orders in the first 6 hours of trading (last night)
  • VM killed TradeStation: this happened right as I relaunched the VM this morning. It ran overnight with no problem, but TS did not just crash. It was like it wasn't running at all. Anyhow, I quickly relaunched and no damage was done.
I was able to see a more blended portfolio, which is where we are headed. The day was up and down, but we ended profitably. Efficiency was about -8%, which isn't horrible. Profitability was 39%. This is less important than the stress test. The CPU usage was about 10% on average. So far, so good.

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

ES versus MES
Interesting things happen when you do experiments, the most interesting thing to me was the performance of ES versus MES. Now, I would not even try to trade arbitrage between these two, but I observed a huge variance on one particular trade. The charts were identical in bar size (Renko), identical data start dates and identical strategies.
  • MES: Short entry @ 3213.5 / exit @ 3150.75 >> +62.75 points
  • ES: Short entry @ 3200.75 / exit @ 3149 >> +50.25 points
MES looked really good against ES for one trade, but actually outperformed ES for the entire day. I have an ES versus MES test scheduled for later this week. I will take 10 MES against 1 ES for one day and see how they perform.

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

Random Analysis with Oscillators
I am reading Trading Chaos 2ed by the late great Bill Williams, and he got me thinking about oscillators. For the record, I hate oscillators and do not find them useful in my trading.

I was thinking, maybe wrongly, that oscillators should spend about an equal amount of time between various points of the center line (50). I know this is Gaussian thinking and maybe way off-base, but bear with me. If a sine wave (everyone's favorite oscillation) oscillates at the same frequency, then it spends exactly have of its time above and half of its time below the center line. Do oscillators follow?

I took 2 years of CL data (60 minute chart), applied RSI and Slow Stochastics indicators, and this is what I got, on average:



I used CL because it is a physical commodity and has a better price balance than an index. RSI was just about spot on 50. Stochastics were skewed toward oversold. I did an earlier test and came to the same conclusion with a different instrument. This makes me think that if I were to use stochastics (or any oscillator, I suppose), I may need to adjust my center line and my overbought and oversold line accordingly.

As an algo trader, that may be important. Or not.

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

I'm done for the day. I am very happy with my results over the past two weeks. I have to keep plugging away.

~vmodus

~vmodus

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  #307 (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: 1,941 given, 1,890 received

One more thing....

I am adding a seventh instrument to my stress test tonight: NQU20. It will be a new (to me) strategy developed by my dear wife/trading partner.

~vmodus

~vmodus

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  #308 (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: 1,941 given, 1,890 received

Here is what 7 instruments running at the same time look like:
Position Bar


CPU Utilization for 7 Automated Strategies on TradeStation


~vmodus

~vmodus

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  #309 (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: 1,941 given, 1,890 received

First update...Happy little accident
As I mentioned yesterday, interesting things can happen when you do experiments. The most pleasant surprise is the performance of Euro FX (E7U20) on one of my fractal strategies. Right now it has a 100% win rate, though there have been 3 round trip trades. This is one of my strategies that does not require optimization; it either works with a given instrument and bar interval, or it doesn't. In this case, it does.

Here is what it looks like since Sunday night:



E7 was not part of my initial group of instruments (it probably should have been). Backtest results (all unseen data) look good for this instrument. As the late great Bob Ross might say, 'its a happy little accident'.

To be continued....

~vmodus

~vmodus

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  #310 (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
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Second update....

I am still chugging along with my VM testing. There have been no failures and TS did not 'disappear' like it did yesterday morning. I save my desktop and workspaces regularly in case I need to quickly restart. 7 instruments run well with only about 11% CPU utilization. Even when I apply a new indicator or reload data, CPU usage will momentarily spike, only to return to normal.

I am starting to pay attention to memory usage. Here we are using 46%:



Today ended with a loss for the 7, but that is not really the purpose of this exercise (open position P/L is positive). Positive for the week. Total system efficiency (entries and exits) is at 0 (zero) which is pretty good. Gold miNY (QOQ20) has been a drag on the account.

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

MES v. ES
I'm running this test starting at the open. I will run 10 contracts of MES and 1 of ES and see how closely they track. ES should fare slightly better just because of the commission advantage, but we shall see at the end of Wednesday where they both stand.

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

That is all. I have some client work this week (newly awarded), so I will probably be busy until Friday with that. Thankfully the robots do most of the trading work (at least this week).


~vmodus

~vmodus

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Legendary Systematic Algo Trader
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Update #1

TS on the virtual machine shut down again as I launched RDP, no warning. I think this might have to do with how I am exiting Remote Desktop. It is otherwise very stable (100% uptime). TS has not had a 'proper' crash, probably because the strategies are just running.

MES versus ES
I wanted to test the same strategy (algo) on 10 contracts of MES versus 1 contract of ES. Everything is equal: same parameters for chart settings and strategy; same start date for the data (using Renko). ES performed a lot better than MES (despite both being losers today), even considering higher commissions for MES:


I am going to continue looking at this for the rest of the week. I went flat before market close so that I could reset my positions and the strategy.

~vmodus

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vmodus View Post
MES versus ES
I wanted to test the same strategy (algo) on 10 contracts of MES versus 1 contract of ES. Everything is equal: same parameters for chart settings and strategy; same start date for the data (using Renko). ES performed a lot better than MES (despite both being losers today), even considering higher commissions for MES:

I hate quoting myself, but I wanted to add that the entry signals did not align. Several did, many did not. So may track closely in price, but with respect to automation, they won't track exactly.

That is my analysis on that. One is not necessarily better than the other (testing over long time periods will tell us that), it is just different.

~vmodus

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Ugh.... too tired to finish my updates. E7 still looks good, ES is better than MES, and I have added EMD to my test mix (wouldn't trade it, but I have it). Now I'm up to 8 strategies, running fine.

The purpose of the test is stress test. So far, not a single crash related to strategies running. It looks like this VM config works well.

~vmodus

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Legendary Systematic Algo Trader
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I was so tired yesterday that I did not have time to post. I completed stress testing of our VM at the end of yesterday. No problems to report. We will go live Sunday night. I am doing a new set of testing (started last night at market open), running 9 strategies simultaneously.

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

MES versus ES


These are the results of my experiment with MES (10 contracts) versus ES (1 contract) 22 hours of trading the same strategy. ES did about 10% better against the same strategy. I used a bad strategy (not one of my production strategies) obviously, since they were both big losers. But ES appears to perform much better.

I am running one more test today, but with a different strategy (presumably a winning strategy).

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

We are not really developing any new strategies right now, but going through what we have, doing documentation, and inventory. We have several strategies, mentioned earlier in this journal, which have some refinements that make them good candidates for going live. We have done adequate backtesting and are incubating.

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

That's all for now. Maybe I will post again if I have time later today.


~vmodus

~vmodus

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  #315 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
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Posts: 955 since Feb 2017
Thanks: 1,941 given, 1,890 received

End of Week
I'm exhausted. Thankfully I do not have any epic decisions to make. If I were doing any discretionary trading today, I probably would have lost my shirt.

As it is, I'm an algo, so let's get to it, shall we?

Today I ran the latest edition of our fractal-alligator strategy. It has not been easy going, but my wife/trading partner added more effective exits to the strategy that now aligns properly to the strategy performance report. That is hugely important, as I have not been able to properly vet this strategy. I tested 9 instruments in sim on my VM, to see if the entries and exits aligned. At first blush they did. I had an erroneous entry on NQ, related to the 'Assume market position' setting, which will put you in a position if your strategy was interrupted. Everything else appeared to be okay.

I was also looking to see if my end of week exit worked okay. It did for some, not for all. I exit after 1615 ET, but a bar has to form (if using Renko, it might not happen). So it didn't for all, so I had to go flat right before close. I may set my exit time to a little earlier, maybe 1600 or 1559. At this time of the day and week, unless there is earth shaking news, it won't make a huge difference on our bottom line.

The other thing I was looking at was MES versus ES again, different strategy. Today, trading results (10:1 contracts, respectively) were exactly the same (slightly profitable).

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

Think and Grow Rich
This world famous tome by Napoleon Hill has a concept known as 'the master mind group'. If you haven't read it, this is a group of people who come together for a common purpose, numbering anywhere from 2 to 50 or so. The idea is that groups of people can accomplish more together than they can when working separately. Kind of like a hive mind, I suppose. Anyhow, working with my wife as a trading partner allows us to have our own, very small master mind group. It is no small thing. We both agree that we are better traders together than we ever would be on our own.

Trading is a notoriously individualized game for many here, but I know that renowned trader Mark Fisher has put people around him that have allowed him to be more successful than he ever could have been on his own, essentially forming his own master mind group. I would probably prefer to trader in a bubble (or a room filled with cotton balls), but I might not be any more successful alone than with my wife. I know she shares this sentiment. This is merely an observation, but I think, as noted at the beginning of this entry, that our work together is greater than the sum of its parts.

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

Toe in the Forex Pond
As observed earlier this week, E7 (and J7), both performed well with the strategy I was running. Since I have an Oanda practice account, I am going to apply this strategy to GBP/USD pair next week to see how well it runs, with MultiCharts as my platform. I know this type of strategy works well on currencies, but my limited experience with MultiCharts has prevented me from successfully testing. I think I have worked out the kinks of strategy automation (auto trading in their terminology), so I will run in practice for all of next week and see what it looks like. I would like to have a small Forex account that I can deploy some of our automated strategies and watch them simmer (or ice melt, as @forestcall called it ).

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

New account
I setup a new account with TradeStation, to transfer an existing Roth IRA. There are several reasons for doing this:
  • I need another account where I can develop and test strategies, without disrupting the automated trading on my professional account
  • Personal account data is a lot cheaper in most cases than on my professional account
  • I have a bunch of commission rebates from Kevin Davey's Strategy Factory that I want to take advantage of; is is equivalent to the cost of the course
  • I have some good strategies that I want to run, to build my retirement account
  • I can trade some strategies on equities, as desired

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

VM Update
As of today, I have used $39 of my US$200 credit from Azure. So we have about 20 more days of a 'free' VM, until I have to start paying. I save $ by shutting down over the weekend, though if I pay by the month or year, there is no cost benefit due to steep discounts.

I am securing the VM so it is not accessible to the internet at-large. Still figuring that out, but I know my choices.

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

Hey, no pictures in this post! Oh well....

That's it. I'm going for a walk and then will settle down for the night. Have a good weekend everyone, wear a mask, and stay safe!

~vmodus

~vmodus

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  #316 (permalink)
Legendary Systematic Algo Trader
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
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Posts: 955 since Feb 2017
Thanks: 1,941 given, 1,890 received

Just a quick update: I went live last night with the strategy we have been developing and testing these past few months. We determined last Friday that we were good to start trading. So now I have my strategy running on TradeStation on a virtual machine somewhere in Iowa. I'm trading MNQ, so we shall see how it runs this week.

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

Forex Nonsense
I am also trading (practice account) with Oanda, GBP/USD pair, another automated strategy. I am also formulating an experiment around trading a basket of forex pairs. I will post some results later. Yeah, I know it is not futures, but Oanda provides a nice platform (when paired with MultiCharts) for testing out ideas that may translate to algos (strategies) that I can use in the futures markets.

Since pictures have been sparse here lately, here is a current forex position I am in (GBP/USD pair):

GBP/USD on Oanda - Automated - Practice Account


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

I'm pretty busy with client work for the next two weeks, but I want to write a more detailed post about how we got to this point, from idea to inception. Stay tuned for that.... it might be boring, entertaining, who knows?



~vmodus

~vmodus

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  #317 (permalink)
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End of Day
As I have mentioned before, I do not post live profit and loss $, preferring to just indicate a binary state: profitable or not profitable. I'm not here to prove anything one way or the other.

Today's Results:
  • Profitable for the day, trading MNQ
  • 3 round trips
  • 50% profitable
  • 1.85 profit factor on closed positions
  • 1 open position at close: profitable
Order execution was perfect. All slippage was in my favor. Zero execution errors from me. Virtual machine ran perfectly. 'Nuff said.

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

Portfolio Diversification
I won't go too deep here, but I promised this a few weeks ago and finally finished it. I wanted to show how diversity in a portfolio can smooth your equity curve. I took three instruments (GC, NQ, CL) and applied a generic strategy, fiddled with the numbers a little to make it interesting, then charted it. Here is what I came up with:



The gold line indicates overall, or portfolio, net profit. The interesting thing to me is that it has a drawdown of only $12k in this period, where NQ had a drawdown of $16k, but GC (gold) helped lift things during that time. Having the multiple instruments (hopefully non-correlated) helps smooth the overall equity curve of the portfolio. CL somewhat languished during most of the month, but held steady enough.

The point of the exercise was to demonstrate the importance of diversification. I learned this in Kevin Davey's ( @kevinkdog ) Strategy Factory course, and it was one of the most important takeaways for me. I know some folks have their favorites and may only trade a single instrument (ES for example), but having a smooth equity curve is a very attractive proposition to me.

The last thing I want to say about portfolio diversification and algorithmic trading is this: with a smaller account size and the micro e-minis that are available, its much easier now to build a diversified portfolio for a small operator. I currently trade the smallest of our accounts (growth account), so this is very attractive to building account equity until I am able to trade larger contracts.

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

My Little Forex Experiment
I am doing some practice trading in Oanda, so I decided to run an experiment (I should have thought of this yesterday, but oh well). I am running an automated strategy, on three forex pairs: GBP/USD, EUR/GBP, and EUR/USD. So a circle of currency, if you will. I want to see how they perform in relation to each other, with the same strategy. Maybe I will do the diversification chart as shown above.

Speaking of Oanda, I was able to setup my account in less than 10 minutes, approved and ready to roll. I won't fund the account or trade it yet, as I need some clarification on one point. However, I love working with them so far. Support has been responsive and their data feeds have been very stable.

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

That is all for today. Have a great night and see you tomorrow!


~vmodus

~vmodus

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  #318 (permalink)
Legendary Systematic Algo Trader
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Thanks: 1,941 given, 1,890 received

I forgot to say thanks to all who gave thanks to my journal entries, during June's Shark Indicators journal challenge. I came in third place, which was surprising and humbling. I was not in it for the glory and didn't even realize I journaled that much. Anyhow, thanks folks!

~vmodus

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  #319 (permalink)
Legendary Systematic Algo Trader
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vmodus View Post
End of Day
Today's Results:
  • 3 round trips

Correction: 6 round trips.... just noticed my error when I saw my win %.

~vmodus

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  #320 (permalink)
Legendary Systematic Algo Trader
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Experience: Intermediate
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Posts: 955 since Feb 2017
Thanks: 1,941 given, 1,890 received

Today's Results (live):
  • Profitable for the day, trading MNQ
  • 20 round trips
  • 30% profitable
  • 1.61 profit factor on closed positions
  • 1 open position at close: profitable
  • Profitable for the week
Today had some good trades, but chop literally chopped away at some of the bigger wins. Execution of trades was perfect (within a point). Slippage is good, well within tolerances. My execution was fine (I didn't screw anything up). I like the fact that even on a day that is only 30% profitable, I still made money. At this point I'm up for the month, covering all of my data and platform fees.

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

Forex fumbling - (or...Thank God for Practice Accounts)
Well, it is a good thing we have practice accounts to use for screwing things up. I mean learning.

I tested my three forex pairs as mentioned yesterday, but I am learning (the hard way), what I can and cannot do. Much like TradeStation, I have to 'set it and forget it'.

Set it and Forget it


Not really forget it, but I was trying to do some other things at the same time and I kind of hosed my test. And I had a system crash. So that happened.

Execution was okay when I wasn't screwing things up, but performance was not great. That is probably du My dear wife/trading partner has some settings which have been working well for her. I switched up after I restarted my PC. I will continue testing.

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

That is all for now. See you all tomorrow!

~vmodus

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  #321 (permalink)
Legendary Systematic Algo Trader
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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

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  #322 (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: 1,941 given, 1,890 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

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  #323 (permalink)
Legendary Systematic Algo Trader
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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

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  #324 (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: 1,941 given, 1,890 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

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  #325 (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: 1,941 given, 1,890 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

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  #326 (permalink)
Legendary Systematic Algo Trader
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Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
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Posts: 955 since Feb 2017
Thanks: 1,941 given, 1,890 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

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  #327 (permalink)
Legendary Systematic Algo Trader
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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

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  #328 (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: 1,941 given, 1,890 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

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  #329 (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
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I'm back! I returned yesterday from a nice 15 days away from trading and other work. It was a much needed reset. We were staying at Lake Norman in North Carolina (USA), which is a beautiful man-made lake in roughly the center of the state. I am fortunate to have a family member who owns a house there, who was generous enough to block out his AirBnb rentals so we could stay. We had an absolute blast. If you need a getaway, Lake Norman has a lot to offer.

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

Trading
I started trading the Sunday before we left, and weathered the tropical storm early Tuesday that brushed by us and stirred up a nasty tornado in our area. This is where having the VM running my automated strategies was very useful..... I wasn't worried about a power or internet outage (we had a power line down in our neighborhood when we left for NC). I was able to safely exit my positions late Tuesday morning. It was a profitable day and a half and was focused solely on metals (precious and base). This is mainly because metals work well with one of my algos.

It was tempting to continue trading through vacation, but I vowed to not touch anything until today.

I don't like starting to trade in the middle of the week. I may be leaving some money on the table, but I prefer to look at my performance by week, rather than by day. If I have a two day skid, I'll just be annoyed all weekend.

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

Forex re-re-re-revisited
I'm an idiot. My wife/trading partner has been telling me how profitable her forex trading has been, but as I recorded earlier in this journal, I have not been able to get forex to work and my results have been less than stellar (read: unprofitable). Well, it seems that were were using slightly different pieces of code. The difference is around Boxsize, which is the size of a Renko box. EasyLanguage (TradeStation) and PowerLanguage (MultiCharts) implements this a little bit differently.

Long story short, they don't behave the same way. Unfortunately, my code was slightly different than her code. My code was wrong, now that I look at it. I don't know how we got out of sync, but we don't really have an effective method for version control (think SVN or Git). I actually run an SVN server, but haven't implemented the clients. My bad.



Anyhow, the problem is fixed and now I can start testing on some pairs. If all goes well, I may start trading live in a week or two.

The question may arise: why trade Forex if you can just trade currency futures? Answer: for whatever reason, I have an algo that does not work as well on currency futures. I cannot explain why. It could be differences in platforms (TradeStation versus MultiCharts), but personally I don't care. If I have a profit center that happens to be some forex pairs, then I'll trade them, even if the lots are small. I think of it in terms of the old bitcoin faucets.... earning by drips.

Trading forex pairs continues the theme (and goal) of diversification that I have been writing about for the past couple months. Hopefully it works.

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

The best part of taking two weeks and coming back to FIO? Lots of New Funny Pics of the Day.

That is all for now.

~vmodus

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  #330 (permalink)
Legendary Systematic Algo Trader
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vmodus View Post
The difference is around Boxsize, which is the size of a Renko box. EasyLanguage (TradeStation) and PowerLanguage (MultiCharts) implements this a little bit differently.

I should have clarified, Boxsize refers to the size of the bar, regardless of the chart type. I just happen to be using a Renko chart.

~vmodus

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Not much to report for today. I'm holding out until Sunday night to restart live trading. It is driving me nuts, but I can hold out.

In the meantime, I am running forex simulations and they are working well with the given algo. My pairs are AUD-USD, GBP-AUD, GBP-USD, and USD-CHF. One (minor) problem I have is that if I start a strategy in MultiCharts, it enters a position as soon as I turn on strategy automation. The position is in the correct direction, but the timing of the entry is wrong. I don't want to take a position until the first signal, not enter on an old signal. I just don't know how to fix this problem in MultiCharts, but it is costly if I do not pay attention to it and work around the problem when necessary.

I can prevent or work around this problem easily by:
  1. Starting trading Sunday night, as I usually do (I do not hold positions over the weekend), or....
  2. Start trading at midnight (I have a trade start date parameter), or....
  3. Add a start time to my code, that will only start trading after a given time and date combination
I will probably just stick with #1, as this only is an issue when starting a strategy mid-week.

No pictures or charts today. See you tomorrow!

~vmodus

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I am kind of late on any journal entries, but here goes....

Live trading
Rough start to the week with lots of channels. Currently working only metals right now (HG, MGC and SI). I made one major error on Silver, in that I was running my strategy on the wrong month. I couldn't figure out why it failed so miserably, but I let it run until it hit the circuit breaker (max drawdown for that instrument). It took me a full day to figure out my error. This is my punishment for taking vacation and forgetting where I was. I should be starting silver again when the next session opens. I have some lost ground to make up.

I plan to diversify starting September 1st, by adding an index or two.

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

The Future
I'm looking down the long lens of trading until the end of the year and I see a lot of opportunities. Precious metals trading at/near highs and the indexes trading at/near highs does not really jive, to me at least. I think one of the two groupings is a bubble, but I may be wrong. This may be a new paradigm, so I won't assume anything. Whatever happens, I want to be ready if/when the bubble pops.

I expect Sept and Oct to be huge months, with lots of opportunities. June-August have typically been horrible trading months for me, but I did okay this year. This is an election cycle, so the ride should be bumpy, but fun if you're ready for the ride.

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


Forex Shenanigans
I continue working with testing of forex. For the most part, it has been a bust in practice (sim) testing. Profit factors have been less than 1.2, but I have not even been profitable when factoring in the human element (me) . I was able to establish reliable back test results, which confirm my practice trading. In other words, it is dead.

I have one more promising strategy that passes my backtest criteria and matches forward testing in the practice account. I am going to run this for a while.

Oanda has been a dream to work with. Support is very responsive and helpful (imagine!). I expect our account (corp) to be approved today or tomorrow. The application process, when compared with IB, has been a dream. We completed an application with IB, but they were a pain to work with and we had constant data disconnection issues (>6 per day), so we cancelled our application and tested out Oanda. Oanda's personal versus corporate account process is different, with the former being much easier and quicker, and the latter being a bit more involved. For both (I went through both application processes), the process was clear and concise. Approval for personal was within an hour; application through approval for a corporate account has taken about 5 business days.

With Oanda, I love being able to export all simulated trades directly from their website. This has been greatly useful to me in analysis, especially with trying to estimate and manage spread costs. I have found that their commission + spread pricing is probably the most cost effective, when compared to spread only.

Here is a chart I've been looking at today, since I have been stingey on pictures lately:

Forex USD/JPY Kagi


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

That's all for now!

~vmodus

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  #333 (permalink)
Legendary Systematic Algo Trader
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Not much to report. I have been way too busy to journal. Diversification has been a lifesaver this week. We have made and lost money in the indexes, and lost and made money in metals. I was a little slow to get started this week (wearing too many hats), but I probably should have started trading the Tuesday session, rather than starting later. Despite the holiday, I'm excited to start up Sunday night again.

I am quoting myself from last week:

Quoting 
I'm looking down the long lens of trading until the end of the year and I see a lot of opportunities. Precious metals trading at/near highs and the indexes trading at/near highs does not really jive, to me at least. I think one of the two groupings is a bubble, but I may be wrong. This may be a new paradigm, so I won't assume anything. Whatever happens, I want to be ready if/when the bubble pops.

I expect Sept and Oct to be huge months, with lots of opportunities. June-August have typically been horrible trading months for me, but I did okay this year. This is an election cycle, so the ride should be bumpy, but fun if you're ready for the ride.

I hate to tell you I told you so, but....

Just kidding. Judging by the past two days, this is already shaping up to be 'one of those months'. I don't think anyone who has been around long enough is terribly surprised. Hopefully everyone is trading well and safely.

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

My Current Challenge
I actually feel like I am growing up, as a trader. I've been trading for a very, very long time, but never like this. I am at a point where I have some strategies that work when the conditions are just right. The big challenge is identifying which instruments will have the highest probability of being profitable with our current algorithms.

Since we are intraday swing traders (for the most part), we shift with the prevailing winds. I had the opportunity to sail with my brother, wife and kids a few weeks ago, and the sailing analogy really works here. The wind shifts just a little, so you adjust your sail accordingly. Sometimes you have to tack in a different direction. That is where I am right now.

So the plan is to evaluate a set of instruments, most likely after market close, and decide if we need to adjust, then be ready for the open again at 1800 ET. Ideally this will be a weekly exercise, as I prefer to let a strategy cycle a full week. This has proven to be the best approach thus far.

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

That's it for the week. Next week should be super fun. Have a great weekend everyone and stay safe!

~vmodus

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I've been mostly silent this week because I have been heads down in learning how to include order macros in my strategies. I have several strategies that require me to put in stop limit orders, but that is not possible using just the normal 'buy' or 'sellshort' commands. This has been a problem for me for at least a year. I have strategies that I want to use stop limit orders with, but have not been able to write.

Which brings me to the order entry macro: .PlaceOrder. I have been trying to figure this out for a long time, but was just frustrated. So I read whatever I could find on the subject, mainly on the TS/EasyLanguage community forums. Initially it just didn't work, but I kept working at it and eventually I got it working for the order types that interest me.

So now I am testing away happily. This is a Swiss Army knife strategy that I have been working on for over a year, but could never implement. I have manually tested this on hundreds of trades with about a dozen different instruments (a labor of love), but I will now be able to incubate (via sim) and eventually deploy. Right now I have to do some work on order management (canceling old order, etc.).

The downside of using macros is that I will not be able to properly backtest this, in the traditional way, so I will need to develop a method for backtesting. Fortunately, that is the easy part of this exercise and I already have a method mapped in my head. I will use EasyLanguage and just write to a file when entry/exit conditions are met.

Two things to do:
  • Fix order handling (extra orders, canceling old orders)
  • Write a backtest 'strategy', which is really just a glorified indicator/study
After that, on to testing!

~vmodus

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Just a little addendum....here is how I call the code from my strategy:

 
Code
Value5 = StopLimitOrder("OncePerBar",SIM123456F,"Sell","Future",
"NQU20",NumberOfContracts,"Day","",MyStopPrice,MyLimitPrice);
In plain English:
Place a stop limit order, short, once per bar, on account SIM123456F, for symbol NQU20, for "NumberOfContracts" (how many contracts I am trading), with MyStopPrice and MyLimitPrice.

The weird thing I ran into is that the 'Action' parameter ('Sell' in my example) for going short is 'Sell' and not 'SellShort'. 'SellShort' failed every time. Once I got around that problem, I was golden.

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Oh geez, what a week. I finally tackled a beast of a strategy that I probably should have written a year ago. It is a simple swing strategy, but fairly complex in that I need to send stop limit orders from EasyLanguage, at least in the normal way. They provide OOEL, or Object Oriented EasyLanguage, which allows for complete control over the process. So I spent a better part of this week learning how to send and cancel orders. I wrote a strategy to manage the whole thing and spent the last 23 hours testing it against multiple instruments in SIM. I found and fixed some bugs, and learned a lot about the process.

In learning, I found that my previously mentioned StopLimitOrder (part of the .placeorder macro), should not really be used anymore, according to the TradeStation engineer who was assisting me. So after learning all of that, now I am onto learning OrderTicket and ReplaceTicket. It is very powerful stuff and I should have learned a long time ago. I already have a little experience using OrderTicket, thanks to @kevinkdog, with canceling unwanted orders, so now I am extending this into order management.

Here is the code snippet for canceling orders (not for use with continuous contracts):
 
Code
OrderTicket.cancelallorders(this_account, rightstr(this_symbol,strlen(this_account)), true);
Apparently there are some distinct advantages in using the OrderTicket functions, as orders are sent to the TradeStation servers, whereas just using the regular buy/sell functions only sent when they occur. I think this takes advantage of FIFO, which works out nicely for us, since our orders may not be filled for several bars, so order fills will be improved. There is also the matter of synchronous versus asynchronous order management, which I won't try to explain here. I've been dealing with this a little in MultiCharts. For my purposes, I am (attempting to) manage all of this via my code.

One of the weird things about coding strategies with OOEL is: you can code it all in an indicator/study (TS actually recommends it), rather than a strategy. It is mind bending, but makes sense in a way. After all, code is code and some of the strategy features are not used.

The main disadvantage is the inability to backtest. For the current strategy I'm developing, I had to code a similar strategy to just record my entries and exits, then dump it into Excel. Fortunately, I already have a workbook in which I do my manual testing of ideas. I like to do things by hand so I gain a very deep understanding of my idea and all the nuances of my idea. I can just drop my entries into the various instrument worksheets and see the results. The other disadvantage is the inability to optimize, but I work a lot with strategies that don't require optimizations so that is not a huge issue.

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

This is one of the charts I was looking at for the past couple days. I like Kase bars for a variety of purposes, not the least of which is that they offer some of the benefits of charts such as Heikin-Ashi or range bars, but with real open and closes. This makes them ideal for strategy development, backtesting and optimization.

Kase Bars on NQZ20, with William's Fractals and Fisher Transform


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

That's all for this week. Dinner and drinks await!

~vmodus

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Well, it has been an interesting few days. I have had to mostly work on non-trading work, but I have filled what little free time I have had with learning what I can about OrderTickets and OOEL (Object Oriented EasyLanguage).

I searched and found the most interesting post on the TradeStation forum (you must have a TradeStation forum login to view):

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=157846

One of the folks over there has written an example strategy using OrderTickets. I have been experimenting with it and learning how it works so that I can eventually implement the ideas into the strategy I'm developing for this. I have been able to successfully send, replace and cancel orders, as well as keep a record (writing to a text file) of everything that is happening. I am extremely grateful to Tom47 over there for sharing.

Here is a snapshot of the code I was using to replace the prices on a stop limit I had created and was received, but not filled:

Code to Replace


Replacement Confirmed


That's all for now. I won't post again until Friday. Until then, happy trading!

~vmodus

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I've been busy on some other things, so journaling has definitely not been a priority. However, here are a couple things I cooked up.

I have been learning the Kaufman Adaptive Moving Average, a/k/a KAMA, a/k/a Adaptive Moving Average. This is a very interesting moving average that speeds up when in a trend and slows down in consolidation. I like to see when the direction of an indicator changes, so I will modify an indicator to change color. I did this with TradeStation and MultiCharts, and posted over in the download section.

Color Changing KAMA


Check out the download section:
https://futures.io/download/multicharts/2280-download.html

https://futures.io/download/tradestation/2279-download.html

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

That is about it. I am still trying to work with OOEL, but I have other priorities right now. For now, happy trading everyone!

~vmodus

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vmodus View Post
I have been learning the Kaufman Adaptive Moving Average, a/k/a KAMA, a/k/a Adaptive Moving Average. This is a very interesting moving average that speeds up when in a trend and slows down in consolidation. I like to see when the direction of an indicator changes, so I will modify an indicator to change color. I did this with TradeStation and MultiCharts, and posted over in the download section.

It's very interesting to read a post on variable moving averages. I'll be interested to see what use you make of it over time, assuming you find it worth pursuing.

The adaptive ma's are all interesting. There are a bunch of them, but I believe that Kaufman was the first to write about the concept (I could be wrong about this.)

They all have to do with adjusting the smoothing constant in an EMA based on some measure of present volatility (so it's a smoothing variable, not a constant.) Doing this makes the ma act like a long-term average when price is not going anywhere much (so it flattens out -- doesn't change much over time), and like a short-term average when price moves quickly.

Others I know of off the top of my head are the VMA (sometime called Vidya Moving Average), adxvma, and John Ehlers has one based on his cycle concepts (I forget which of his books it's in.) There may be more.

Sierra Chart has a Vidya and an adxvma in the User Contributed Studies. I haven't really done comparisons with KAMA, but I have worked a lot with Vidya. The logic is dead simple if you wanted to port it to TS or MC, assuming they don't have it already.

I confess I eventually went back to regular ma's (seeking simple charts for discretionary trading), but I think a variable ma would be very interesting for an automated strategy, because it removes the judgment factor in the "is it trending or not?" question.

Bob.

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vmodus View Post
I've been busy on some other things, so journaling has definitely not been a priority. However, here are a couple things I cooked up.

I have been learning the Kaufman Adaptive Moving Average, a/k/a KAMA, a/k/a Adaptive Moving Average. This is a very interesting moving average that speeds up when in a trend and slows down in consolidation. I like to see when the direction of an indicator changes, so I will modify an indicator to change color. I did this with TradeStation and MultiCharts, and posted over in the download section.

Color Changing KAMA


Check out the download section:
https://futures.io/download/multicharts/2280-download.html

https://futures.io/download/tradestation/2279-download.html

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

That is about it. I am still trying to work with OOEL, but I have other priorities right now. For now, happy trading everyone!

PKAMA is pretty good, might want to also check out MAMA and FAMA.

//Side note, reading that again sounds so weird, but I'm just messenger, their inventors named them like that



Will look forward to what you come up with those three

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LastDino View Post
PKAMA is pretty good, might want to also check out MAMA and FAMA.

//Side note, reading that again sounds so weird, but I'm just messenger, their inventors named them like that

...

Will look forward to what you come up with those three

If I"m not mistaken, I think MAMA and FAMA are Ehlers creations. I'll have to look in the books at some point. He probably has others, being as prolific as he is.

Bob.

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bobwest View Post
If I"m not mistaken, I think MAMA and FAMA are Ehlers creations. I'll have to look in the books at some point. He probably has others, being as prolific as he is.

Bob.

I think so too, honestly I've never read the books directly, TV has massively active coders community and its been around for couple of years, which makes it very easy for me to find things and read code first and understand what's going on than reading the book or paper which I don't understand >.>'

Edited
@bobwest
Here is the paper with easy language code attached to it.
https://mesasoftware.com/papers/MAMA.pdf

John Ehler is president of Mesasoftware and he publishes these papers under its domain. I'm saving you some trouble to find that book and article

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LastDino View Post
PKAMA is pretty good, might want to also check out MAMA and FAMA.

//Side note, reading that again sounds so weird, but I'm just messenger, their inventors named them like that



Will look forward to what you come up with those three

Thanks @LastDino . I also use the MAMA and FAMA, mostly as an academic exercise. For what I do, I have found these two to not be as responsive as I like. Maybe I will post one of my failed MAMA/FAMA strategies here just for fun. I will return to both of these indicators given what I have learned about KAMA, as I see them now in a different light. I may have been using them wrong.

If you have tuned into either of my two journals for any length of time, you'll know I'm a big fan of John Ehlers, who is retiring soon. I get a kick out of the nickname of MAMA >>> Mother of All Moving Averages. I will miss his goofball humor.

Vitale Aparine wrote an article in the April 2018 issue of TASC, where he introduces an alternate AMA and then discusses trading the newer AMA and KAMA together. Here is a link to the code for that article: TRADERS’ TIPS - APRIL 2018

~vmodus

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Legendary Systematic Algo Trader
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I think so too, honestly I've never read the books directly, TV has massively active coders community and its been around for couple of years, which makes it very easy for me to find things and read code first and understand what's going on than reading the book or paper which I don't understand >.>'

Edited
@bobwest
Here is the paper with easy language code attached to it.
https://mesasoftware.com/papers/MAMA.pdf

John Ehler is president of Mesasoftware and he publishes these papers under its domain. I'm saving you some trouble to find that book and article

Haha, our responses got crossed up. Thanks guys!

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If I"m not mistaken, I think MAMA and FAMA are Ehlers creations. I'll have to look in the books at some point. He probably has others, being as prolific as he is.

Bob.

You can refer to: Rocket Science for Traders, by John Ehlers. Also, Trading Systems and Methods 6e, by Perry Kaufman. Or just ask me.

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Thanks @LastDino . I also use the MAMA and FAMA, mostly as an academic exercise. For what I do, I have found these two to not be as responsive as I like. Maybe I will post one of my failed MAMA/FAMA strategies here just for fun. I will return to both of these indicators given what I have learned about KAMA, as I see them now in a different light. I may have been using them wrong.

If you have tuned into either of my two journals for any length of time, you'll know I'm a big fan of John Ehlers, who is retiring soon. I get a kick out of the nickname of MAMA >>> Mother of All Moving Averages. I will miss his goofball humor.

Vitale Aparine wrote an article in the April 2018 issue of TASC, where he introduces an alternate AMA and then discusses trading the newer AMA and KAMA together. Here is a link to the code for that article: TRADERS’ TIPS - APRIL 2018

Lmao, yes, that is indeed the heading of the paper I linked too.

He is really OG of indicator factories. To the point where I think its hard for me to keep up. Thank god I learned bit of coding

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My journal updates have been less frequent, as my workload is pretty heavy right now. However, in the quiet times, I spend some time working my trading ideas. One of my current favorite sources for ideas and knowledge is the epic, Trading Systems and Methods, 6th Edition, by Perry Kaufman. This book is fairly exhaustive in it's coverage of trading systems new and old. If you want to know about trading moon cycles, it's in there. Directional Parabolic SAR? It's in there. Ehler's cycles? Yeah, it's in there. I said exhaustive, right? He does not judge any particular system or indicator, but shows how they may perform against similar a particular indicator or idea.

Anyhow, I learned one new thing (Global Dictionary), and flexed my muscles on ADE (All Data Everywhere). One of the earlier limitations of TradeStation was it's inability to be able to share data between charts. An EasyLanguage enthusiast developed ADE and made it available to the masses at no cost. I won't get into the history, but TradeStation now supports ADE, which is essentially an extension of it's EasyLanguage Collections. There is a good wiki article I will link at the end of this post, describing the differences between some of the tools available to share data.

Late yesterday and early this morning, I worked on a problem for my partner, which involved getting indicator data from Data2 (think: a second chart, but different timeframe). The normal way of referencing Data2 is to just put in something like: Value1 = Close of Data2 . In English, this is: Get me the current close from the second chart and store it in the variable Value1. Unfortunately, it gets sticky when trying to use functions and Data2.

My solution:
  • Write an indicator to calculate values from Data2 data
  • Store those values using ADE
  • Retrieve those values in the strategy using ADE
It took a little bit of time, and the TradeStation Development Environment crashed for no good reason so I had to rewrite some code, but eventually I got it working. The indicator doesn't actually show anything, but it calculates the values needed for that timeframe/data set and passes them up to the strategy.

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~
This is what I'm looking at this week:



I am thinking of a scalping strategy using Parabolic SAR and DMI. This was inspired by Kaufman's aforementioned book, though the original idea was more around swing trading and not scalping (credit: Wilder). I am testing a couple of theories. On this chart, I'm looking at 25 ticks... the shortest interval I've ever used for serious trading consideration.

At the bottom of the chart is my implementation of Kase's DevStop concept. It is just there, as I am trying to decide if it is useful for placing stoplosses. I picked up this idea from one of Kase's articles a while ago, but this is also in Kaufman's book.

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That's all for now. Here is the link to the TradeStation article mentioned above:

https://community.tradestation.com/wiki/display/EasyLanguage/Comparing+GVs%2C+ELC%2C+ADE%2C+TZS+and+GD

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The chart I showed early was missing one indicator that I want to show:



I put my color changing Adaptive Moving Average/KAMA (see my posts from last week, or the downloads section for TradeStation and MultiCharts indicators that I shared) on this chart, to show it's usefulness with the Parabolic SAR. The Parabolic SAR is great for some things, but staying in a trend is not one of it's strengths. On the 25 tick chart above, the Parabolic SAR and DMI would both have probably caused an early exit. KAMA helps say the course and extract more profit from this move.

Anyhow, that is interesting to me now and maybe profitable later.

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I forgot to mention, exiting on the color change from white to blue would have extracted another $750 from this move. This move happened this morning while I was testing some code.

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Working with the Kase DevStop
I have been doing some analysis this week on Parabolic SAR (PSAR) and I wanted to see how the Kase DevStop worked against other exit models. A link to one of Cynthia Kase's articles on DevStop is at the end of this entry. I stumbled across the article a couple years ago, but never quite understood how to properly implement it until this week.

The general idea is this, way over-simplified:
When you are in a position, use the Kase DevStop to ratchet up your stop loss/exit point. In other words, use it to set your trailing stop.

The implementation into an automated strategy is another topic altogether, but I wanted to see it's utility. Firstly, I took one of the worst weeks from my perspective: indexes in the first full week of August. I was trading metals and avoided the mess in the index futures, but all of our models failed miserably or struggled.

I simply used identical entries (PSAR), and pitted PSAR against Kase DevStop3 (3.3 standard deviations) for exit, assuming the use of stop and limit orders.

Results:
  • 24 trades altogether, using ES
  • PSAR stops fared worse, with a 33% greater drawdown and 50% greater losses overall
  • DevStop3 gave a better exit 18 times, and worse exits 6 times
  • DevStop3 did not do well when price action flattened, which can be expected when using standard deviations; two positions were exited before profitable breakouts
  • PSAR exit P&L: -1,481
  • DevStop3 exit P&L: -1,019
Since it is nearly impossible to reasonably show the DevStop, here are the results from my second test, also done on ES and for this week. In this case, I looked at four things: no stop loss, DevStop3, stop loss of $500, and PSAR exit. Here are the results for 13 trades:

Cumulative P&L


...and a pretty graph:
Equity Curves


Clearly, the DevStop3 performed better here. No stop loss is, as we should all know, a bad idea, so no surprise there. All I can say is that as price action slows down, the DevStop gets tight. Just on a simple system that is not really tradable, it outperformed the other methods. It even made that crappy week in August a little less horrible.

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That is all I have for now. Here is a link to the Kase article from 2005, though if you have Trading Systems and Methods 6th edition, you will find a section on DevStop.

http://www.kaseco.com/support/articles/Setting_Stop-Losses_Using_Price_Volatility.pdf

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Well, I have been digging deeper into why the DevStop was so hyper-sensitive and I think my implementation of the DevStop was a little different than Kase intended. I followed her formula, but I think I was confused on her 'TRD' calculation. She refers to 'two bars', which to me means the last two bars. To her, it means 2 * True Range (2 times True Range). I discovered this while looking at Perry Kaufman's code for DevStop and comparing to my own. This could explain why DevStop was crap every time I integrated it into a strategy.



Anyhow, I think I have it straightened, but now I have to throw out my analysis. I will post an updated version.

To be continued.......

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As punishment for forking up the DevStop calculations, I redid my 'first week of August' calculations as penance (on a Friday night when I should be relaxing).

At risk of repeating myself.....I used identical entries (PSAR), and pitted PSAR exits against Kase DevStop 1, 2 and 3. (1, 2.2, 3.6 standard deviations) for exits, assuming the use of stop and limit orders for our trailing stops. (Notes: I used 13 bars for calculating the DevStop; Kaufman uses 20 in his code; Kase does not specify in her article how many bars to use; my original calculations yesterday were 2 bars).

Before I share the results, the DevStop stops are set like this, at the closing of each bar:
  • Long positions: Take the DevStop number - High = your stop price
  • Short positions: Take the DevStop number + Low = your stop price
The 1,2,3 levels are used for scaling out of a position (you are supposed to start with contracts in multiples of 3). You can read Kase's article for more details on calculations and usage.

Results:
  • 23 trades for PSAR exits (and reentries) and only 16 trades for each of the DevStops, due to DevStop holding positions longer
  • PSAR stops fared worse against the DevStops
  • DevStop1 was the best of the bunch, which means tighter stops worked best
Cumulative P/L for Each


Conclusion?
DevStop did better, though strangely DevStop2 was the worst. This was a small sample on a crappy week, by design, so I won't read to much into these results. DevStop does bear looking into deeper, and I believe I have a couple of uses for it in at least two of my systems.

One other item of note, and maybe just of interest to me, is that using the 3 contract model, DevStop would have given a 29% improvement over just PSAR exits. But I think most people know, PSAR exits can suck.

Next Steps:
I will code the DevStop for exits and profit taking, where I will be able do testing on much larger samples of data.

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

That's it! Have a great weekend everyone, stay safe and I'll see you on the other side (of Sunday).

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Not much new to report, as I'm busy all around on various activities. This is what I'm looking at this week. I created an indicator using the Kase DevStop calculations, to help me do stop order placement while I test various ideas for possible strategy development and automation. It kind of looks like a Mexican dancer's dress and makes the chart a very busy place, but it works for what I need.



I coded an exit strategy using DevStops over the weekend, which works well. I have not integrated into any strategy, but I am trying to see what is a good fit.

That's all for now. I will probably report more on Friday.

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Wow, I cannot believe it is hump day already! Here is what I am looking at this week:

Parabolic SAR with DevStops


I am looking at the usability of the DevStops with various entries. Right now, I am looking at Parabolic SAR for entries and DevStops for stops/exits. Another thing, following what Cynthia Kase does, is using DevStops to scale out of a position. The idea is:
  • On entry signal, buy/sell short in multiples of 3 (i.e., buy 3 contracts...)
  • Exit 1 contract on DevStop 1
  • Exit 1 contract on DevStop 2
  • Exit 1 contract on DevStop 3
I need to code this scaling idea and put it to the test, but it is interesting, if only from an academic standpoint. It may just be a wash. Holding onto that last contract is a double-edged sword: you can avoid serious whipsaw and catch a big upside, or you can get caught on a major reversal. I've seen it go both ways. Again... maybe a wash.

I am currently looking at gasoline (RB), copper, micro ES, EC, and forex (USD-EUR pair).

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

DevStop Calculation Confusion
My earlier confusion with how to calculate and use DevStops originates with Perry Kaufman's Trading Systems and Methods, 6e and Kase's article (Setting Stop Losses Using Price Volatility.

With all due respect to Kaufman (and I have a deep respect), I do not think the calculation he uses is correct. I was able to track down his source (he is diligent in his citations and sources), and I am guessing whomever coded it did not interpret Kase correctly, unless Kase has changed the calculation. The calculation provided by Kaufman uses Close regardless of trade direction; Kase uses High for short positions and Low for long positions. Kaufman did test it (and provides the EasyLanguage code), so his calculations work.

I have coded both into my indicator, so I can pick which calculation to use. Here is what they look like on a chart (20 bar period, as preferred by Kaufman):



The calculation method may or may not be significant, but the trade results will definitely be different.

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

And speaking of Perry Kaufman...
I caught this podcast last week and I had to share. It is Top Traders Unplugged, which is a podcast about/for systems traders. They had Perry Kaufman on last week, so I thought I would share this: https://www.toptradersunplugged.com/109-the-systematic-investor-series-october-12th-2020-ft-perry-kaufman/. I have listened to this twice.... it was that good. They discuss trend following, position sizing, and a host of other topics. If you have time, I strongly suggest giving it a listen (or two).

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

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This was a pretty interesting week. First, here is a pretty chart that I'm sharing just for fun. This shows the weekend gap-down in Heating Oil (HO) on March 8th, 2020, with my DevStop indicator applied. It is set at 20 bar calculation, which can be seen with the expansion, and then contraction of the bands. These are 1, 2.2 and 3.6 standard deviations from the mean of the 2x ATR, as described by Cynthia Kase.



Again, that was just for fun.

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

DevStop Experiments
This week was all about DevStop experiments. I have been thinking about the use of standard deviation and other probability/statistical analysis when dealing with price action. There are a few things that I detest:
  1. Time based charts, mainly because they treat a 2am bar on Christmas Eve the same as a 10am bar on Black Monday (or fill in your own black swan hour);
  2. Fixed stop loss amounts, as well as optimizations around stop losses;
  3. Profit targets
With the exception of #3, I use all. I prefer tick based charts, and lately, momentum charts (in some cases), but the downside to that is just the sheer volume and availability of the data. Back-testing on 10 years of tick data is problematic, and I'll leave it at that.

Anyhow, I digressed a little. Working with the DevStops has satisfied the requirement of introducing standard deviation calculations into my trading strategies, and it has helped mitigate some of the problems I have with time-based charts and fixed stop loss amounts. It has also helped refine my exits.

Experiment with Heating Oil:
Question:
Which method works better:
Group 1: 1 contract at a time, with DevStop1 as the exit
Group 2: 3 contracts at a time, exiting at DevStop1, 2, and 3 (scaling out)?

Hypothesis:
I believe that Group 2 will perform better.

Parameters:
  • 20 bar DevStop calculation
  • Trade dates: 11/2/2019 to 11/9/2019; I purposely picked a bad starting date, right at the exhaustion of a large move.
  • 15 minute bars
Rules:
  • Take entry signals: either 1 contract or 3 contracts
  • For Group 1, exit after first DevStop is hit
  • For Group 2, exit after first DevStop, move DevStops 2 and 3 up one level, continue until last contract is exited
  • Repeat
Here are the numbers:


The 'Equivalent P/L' is the P&L if the same number of contracts had been traded for both (36, in this case).

Conclusion:
In this case, Group 2, with the DevStop3, worked better. In most cases, that third contract was the worst performing of the three, but in a couple of cases it did better, because it allows for some retracement before resuming a move. DevStops 2 & 3 also skipped a couple of entries because we were had open positions when the new signals came in. Group 1 had 15 entries; Group 2 had 12 entries.

The sample is small, but I picked a random period of time that started at the end of a large move, so that I didn't start with a really great set of trades. I am more interested in answering the question: how does this perform when the market is ugly?

I hope this made sense. If you have been following along here for the past couple weeks, you should have a good idea what I'm trying to do with the DevStops.

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

I did a bit of paper trading my idea. I can write the strategy, but there are some complexities that I would like to iron out, and I like to see how things play out on a chart. It is easier to code a strategy when I can answer all of the questions that may come up (e.g. what do I do if DevStop1 is higher than my long entry price?......answer: don't enter) I did EC, HG, and RB this week, as a balanced portfolio of sorts. Everything was profitable and performed as expected. I also looked at RB from 700-1600 (ET), to see if this is something that could be manually traded, if need be (it can).

I have sampled a number of different instruments, time periods, all with decent results, even going back to various times over the past 10 years. I have found the manual work is very tedious, but necessary. It provides better context and understanding of nuances that I cannot get by just using a brute-force method of strategy development and testing.

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

Well, I have had my fun with my new toy, but I have other stuff to do. That is all for this week. See you on the other side of the break!

~vmodus

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Happy Monday morning! Well, this week I plan to journal at least every day, as I am going to do something a little different. This week, I am having my two kids do a project related to trading: tracking and graphing turnip prices from the Nintendo Switch game, Animal Crossing New Horizons (ACNH).



Yeah, turnip prices. They call it the stalk market.

All fun aside, ACNH is a very interesting video game that has a lot of free market attributes. The game is open-ended, so there is no real objective, but you visit a sparsely populated island and are encouraged to build a house, interact with other islanders, and of course, buy and sell things. Like in real life. Aside from the 'stalk market', there is a shop where you can buy and sell things. There is a twist: prices of items can fluctuate, based on some supply and demand algorithm the game developers devised. Also, for example, if I purchase a fishing pole, if I try to sell it back, I get less money than I paid. Like in real life. You also can get loans for building or expanding your home and have a bank account (which accrues interest).

I consider this to be a very useful tool for teaching kids about real world micro economics. And it is really freakin' cute. The whole family is playing. There are some macro economic elements at play also, but I won't get into those.

The Stalk Market
Every Sunday, a vendor comes to the island (a runny-nosed little pig), selling turnips (think farmer's market). You can buy them to sell, eat, or give away. You can sell them Monday-Saturday, but they rot if you don't do something with them before the next Sunday. Prices for turnips change twice per day, in the morning and afternoon (ACNH local currency is a 'bell'), and can be found by asking at Nook's Cranny, the island's general store.

If you do an internet search for 'acnh turnip prices', you will find plenty of sites where people have attempted to find price patterns in variations of turnip prices (sound familiar anyone )

Here is a simple one:

ACNH Stalk Market - Turnip Price Patterns

Source: https://www.heypoorplayer.com/2020/04/27/get-turnips-play-stalk-market-animal-crossing-new-horizons/

So my kids will track the prices and I will use this information to make selling decisions throughout the week. We will graph the prices in Excel and I'll post here every afternoon.

Turnip Prices:
Sunday 25-Oct-2020: 93 bells

I think this will give them a better understanding of what mom and dad do for a living. To be continued....

~vmodus

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Reading that post put a smile on my face. What a fantastic resource to teach kids important concepts in a way that is fun and engaging for them! Thanks for sharing!

-Zimmer

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Turnip Price Chart
  • Position (long): 100 Turnips
  • Long entry @ 93 bells
  • Daily Open: 84 bells (down)
  • Daily Close: 125 bells (up)
  • Current P/L (unrealized): 3200 bells
Yeah, I'm doing this tongue-in-cheek, but I cannot take myself too seriously.

I decided that I would have my kids trade 100 turnips and decide what to do with them. I'll report how they did with their decisions (scaling out, take the money and run, let profits run, etc.). There is an interesting site (Turnip Prophet) that provides an estimating tool to help with selling decisions.

To be continued.....

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This week, I am looking at PSAR entries, specifically three different models, to determine which is the best. This thinking was spawned by the Top Traders Unplugged podcast, specifically episode 110 of the Systematic Investor Series, which came out early last week. You can give a listen here: https://www.toptradersunplugged.com/110-the-systematic-investor-series-october-19th-2020/

Let me start by saying that the hosts are trend followers and are professional traders with decades of experience. One of the hosts mentioned that the third bar after a signal may be the better than taking the first signal. I can see where a delay of a few bars might allow the price to retrace a little, since many entry signals are generated by price action. Since I have been working with Parabolic SAR, I figured I would apply this idea. The main difference for me is that I am looking at this through the lens of a swing trader, so my timeframes are much different. Still, the idea was compelling enough to consider.

Three entry ideas:
  1. Parabolic SAR (PSAR): enter at the PSAR price when direction changes using stop order
  2. Next bar at open: this appears as the 2nd bar after the direction change
  3. 3rd bar at open: this is appears as the 3rd bar after the direction change
Which Entry is Better?


I looked at copper, gasoline and EUR-USD forex pair. Here are the results:


  • # of Favorable Entries: which entry had the best entry price for the signal?
  • Price Difference: the difference between a PSAR entry and each of the other entries (PSAR was, essentially, the 'control')
  • Value Difference: The price difference times the contract value, assuming 1 contract; in the case of EUR-USD, I used a $100k lot size
The next bar at open entry was clearly the best, though the 3rd bar after signal did okay. Each of them blew away the PSAR price for entry. For short-term swing trading using PSAR, the entry choice is clear. I would not, in reality, take all of these entries, as there are other filters to be applied. The point of this exercise was to help me find the most favorable entry for PSAR.

The 3rd bar idea might work for trend following and long term trades, as the difference for a position you are holding for weeks or months may not matter. I'm sure that was the point they were making. It could also have value where you are using those 2 bars to validate the signal.

My bias was with PSAR, so what I thought was better was actually the worst. PSAR had plenty of favorable entries, but this did not mean they added any value over a series of signals. I was thinking that the price needs to penetrate the PSAR value, thus confirming the direction of the move. Wow.... my eyes are wide open now.

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

Turnip prices and chart will be posted later today.

~vmodus

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Turnip prices for today:



I liquidated my position today and I think the kids will do the same, prices usually peak between now and Thursday, if at all. I made (net) about $1.2 million bells, or as they called me in the game, a bellionnaire. No shortage of puns in this game.

When my kids liquidate, they will net 32,900 bells (100 turnips, $329 profit/turnip), from 9,300 bell risk capital invested.

We'll keep charting daily.

~vmodus

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I stumbled across an article Monday evening, and thought I would share. It is not really a trading thing, but it is related to this week's Animal Crossing New Horizons (ACNH) turnip project my kids are doing. In the game, you can purchase a ticket to visit another island. Ally Bank has partnered with Nintendo to create an island where, for a limited time, you could visit and sell your turnips for 1,000 bells (island currency). Here is a link to the article describing the process:

https://gamerant.com/animal-crossing-new-horizons-sell-turnips-1000-bells-ally-bank/

Personally, I think it is a brilliant cross-over marketing initiative by Ally Bank, to attract new potential clients, especially given the wild popularity of this game. Suddenly, they are the coolest bank for a certain demographic. The promotional price of 1,000 bells is over (ended Tuesday evening), but I'm sure they still getting plenty of traffic. As an business owner, I thought this was a brilliant bit of marketing.

Turnip prices (and other notes) will be posted this afternoon. If your interested in what I'm doing with turnips, just go back to my Monday post.

~vmodus

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Turnip Price Chart


The kids and I decided to liquidate our turnip positions yesterday afternoon/evening. I'm guess we flooded the market and caused a panic sell off this morning, as the price is now down to 106. I am wondering if the game developers built this into their algorithm.

To be continued....

~vmodus

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Nothing Surprises Me Any Longer
I should make it a bumper sticker.

I applied my Parabolic SAR entry approach on Natural Gas (NG) this morning, over 5, 10, 15, and 60 minute charts, just to see what it would do (see my post earlier this week for more detail). Entry on Next Bar after the PSAR signal was great for the three instruments I analyzed earlier, but every manual entry I looked at for NG was horrible. Not just 'meh', but horrible. Since it was an energy, I figured it might have some of the same behavior as the other energies. For the record, my wife is the energies person in our office, so I have very limited exposure to NG.

I took the 15 min NG data, and here is what I determined:

Parabolic SAR Entries


Wow! PSAR entry price was, by far, better than any other. I was not expecting that. It totally explains why every entry I had was horrible. Those -$800k differences are real.... I double-checked and it matched what I was doing manually.

The lesson here is: Do the analysis for every timeframe and instrument when using PSAR (or really any other entry method). I will, of course, expand my data set to 10 years, to see how it looks over time.

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

Turnip price chart will be posted this afternoon....

~vmodus

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Turnip Prices


Today's prices in the stalk market. This week looks like a 'large spike' kind of week. Turnip Prophet shows the probability of the high and low of prices through the end of the week:



BTW....if you say 'turnip prophet' out loud, it almost sounds like turn-a-profit.

Just having a little fun here....

~vmodus

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I want to share my favorite part of TASC magazine (sorry @kevinkdog .... still love your column!):
Trading Liquidity Futures


The image above was in one of the recent issues. I will not try to explain how TASC determines this monthly index (they include a lengthy explanation in each issue), but I have found it useful for identifying instruments that I might not otherwise trade. This is how I started working with gasoline, a futures contract I would not have considered. The interesting value to me is the 'Contracts to Trade for Equal Dollar Profit'. This tells me, in simple terms, how hard my money has to work. For a smaller trader, I need to pick and choose sometimes, and this may give a hint at some opportunities that I may be overlooking.

That's it for tonight. I hope you find this useful.

~vmodus

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The problem is of the top 5 or 6, most are US Interest rates, and those are not particularly good to trade outright, even with the liquidity. US 30 year bonds, for example, always have a minimum 1 tick spread, so if you enter with a stop/market order, you are usually down $31.25 as soon as you enter.

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kevinkdog View Post
The problem is of the top 5 or 6, most are US Interest rates, and those are not particularly good to trade outright, even with the liquidity. US 30 year bonds, for example, always have a minimum 1 tick spread, so if you enter with a stop/market order, you are usually down $31.25 as soon as you enter.

For me, the top of this list is not so important....i.e. I'm not looking for top liquidity, but rather some that have moderate liquidity, but a fairly low Contracts to Trade for Equal Dollar Profit value (that's a mouthful). Most of my current strategies are using limit orders, so I avoid that bid/ask slippage. I have not developed a strategy for interest rates (yet), but I'm guessing it will be something with a long time horizon.

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Turnip Prices


Don't worry, this silliness is almost over. I will share our hand-drawn chart and price tracking when we wrap this project tomorrow.

~vmodus

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Fat Fingers
Well, the analysis with Parabolic SAR from yesterday was wonky because I fat-fingered the formula to put the correct PSAR value.



Anyhow, it is corrected now, adding NQ and EC to the analysis. Next bar at open still wins in the long haul.



I have been working a strategy with PSAR entries, so this analysis has been critical. I am at a point where I am ready to write the strategy, as it has passed feasibility testing and it has some potential. The idea is fairly simple, but it has some complexities in setting stops.

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

The turnip project was fun and I will post final results tomorrow, if I have time. I made the kids do a paper chart, like we did in the old days.

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

That is it for this week. If you celebrate Halloween, have fun and be safe!

~vmodus

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vmodus View Post
For me, the top of this list is not so important....i.e. I'm not looking for top liquidity, but rather some that have moderate liquidity, but a fairly low Contracts to Trade for Equal Dollar Profit value (that's a mouthful). Most of my current strategies are using limit orders, so I avoid that bid/ask slippage. I have not developed a strategy for interest rates (yet), but I'm guessing it will be something with a long time horizon.

that was my first thought as well being a small time player I need low contract size for the time being. KJD is a heavy hitter so he cares more about liquidity and tradability.

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jburke75 View Post
that was my first thought as well being a small time player I need low contract size for the time being. KJD is a heavy hitter so he cares more about liquidity and tradability.

For me, it makes sense to work with contracts with lower margin requirements, particularly if they are working well with my strategies. The benefit here is in the ability to have diversification in my portfolio. Example, this week on a strategy that I'm incubating:
  • FX: +133
  • Metal: -1044
  • Energy: +6609

Last week, same strategy with same instruments and parameters:
  • FX: +1396
  • Metal: +1638
  • Energy: +2739
Just trading the metals contract (in this case Copper HG), would have been discouraging, but with a balanced portfolio and $11,800 in margin, the past two weeks were okay. Compare that margin to $12,000 for a single ES contract, and it's a pretty easy choice for me. My equity curve gets smoothed in a big way.

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I have been mulling this journal for the past week and I think I am going to put it to rest soon. It occurred to me that my journals were starting to look more and more like blog entries, and if I'm doing that, I might as well blog. Generally this journal has been my brain dump, but it is usually incomplete due to the fact that I won't share some of the finer details (e.g. proprietary code, etc.). I have a measure of time in every day and in this life, and I need more time to do some of the other things. Mainly, I have a ton of trading ideas to try to code and I am really behind on those, plus other stuff.

I have at least one more entry before I close this out, specifically with the strategies I have been incubating and how they performed over election week until today. After that, a blog is a real possibility, as I really enjoy writing about these algo adventures. Anyhow, there are one or two more entries that I will post, and I will be around FIO daily as I enjoy being in an online community of peers.

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I purposely stayed out of the market during election week, but I kept incubating the strategy that I've been journaling about these past few weeks. I wanted to see what 6 trading days would look like, had I traded it (Monday before US Election Day to Monday after US Election Day).

Below are the totals for the past three weeks, with Week 3 being Election Week+1 day:


Analysis:
Profit factor for my energy contract (RB) took a beating in week 3, just due to the volatility. Yesterday was a $2k+ day, so it definitely boosted a torrid week for this strategy and instrument. My metal contract (HG) continued to struggle, though I suspected as much based on my backtest data. FX (EC) did well with this strategy. Out of the three, FX was easiest to trade, as I used 60 minute charts and ended up with 26 trades over 16 trading days.

My main objective, aside from purely incubating the strategies, was to see how well these three would work together as a diversified group. I will be doing some longer time horizons to see how well they would work over an extended period. As with week 2's analysis, my takeaway is that some diversification, even on a smaller scale, could prove to be important.

Which brings me to a counterpoint argument against diversification. I was listening to Jack Schwager last night on the Top Traders Unplugged podcast (https://www.toptradersunplugged.com/113-the-systematic-investor-series-ft-jack-schwager-november-9th-2020/), of Market Wizards book series fame, and he was asked about how market wizards view diversification. He cited one market wizard who believes diversification is a bad thing. There are a lot of opinions on diversification, over-diversification, and no diversification. For me, I think a moderate amount of diversification will be ideal to help smooth my portfolio's equity curve.

But then again....I'm no market wizard. Yet.

Anyhow, I'll have one more post to shut down this journal. Until then, stay safe and trade well!

~vmodus

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So here is my last entry to this journal, at least for now and maybe forever. It has been a good run, almost 19 months and I don't know how many entries. I started this journey with VX futures and made my way from there. The algo journey continues, but I just need more time and I realize how much time journaling takes. I would much rather answer the occasional question and join other discussions around here. I still have kids who are home 3 days a week for schooling and other responsibilities, so time is becoming a very precious commodity.

I am strongly considering starting a blog, since I enjoy the writing part of the process and I can probably get myself into a rhythm and schedule required for such an endeavor. Loving futures trading helps a lot. I have domains and I have enough blogging experience to where this would be easy. I will decide if and when I do this, over the next couple weeks, as I start to align my other priorities and get organized.

Anyhow, I will be here daily, just check out other's journals. I give a shout-out to everyone who has read my journal and helped me in so many ways, including: @bobwest , @kevinkdog , @SMCJB , @snax , @Big Mike (for making FIO possible), my wife who lurks here on occasion and shall remain nameless (love you sweetie!) and all the rest. Thanks a million!

vmodus . . . out.

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It has been great to watch your progress!!!

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vmodus View Post
So here is my last entry to this journal, at least for now and maybe forever.
...
vmodus . . . out.

Sorry to read this, as I, and many others, have enjoyed and profited from your journal.

I do understand journal fatigue. Frankly, I understand general forum posting fatigue , although it does have its good points.

Whatever you decide to do in the future, I will look forward to it.

Good luck, and good trading.

Bob.

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@vmodus, sounds like you plan on sticking around which is terrific news, please don't be a stranger! I've gotten a great deal of enjoyment from reading this journal, and I understand the desire to switch things up. If you start a blog, please share the link with us! I wish you great fortune on your journey, friend.

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Good luck to you @vmodus, it was a nice journal.

If you do start a blog you could always cross post it to here as long as you don't make it an advertisement/linked to your blog/self promotion.

Why aren't you going to Cleveland in April?

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SMCJB View Post
Good luck to you @vmodus, it was a nice journal.

If you do start a blog you could always cross post it to here as long as you don't make it an advertisement/linked to your blog/self promotion.

Why aren't you going to Cleveland in April?

Yeah, I won't want to sound like a shill promoting my own thing.

I still need to decide on Cleveland. My April schedule is in flux right now, but I hope to have some clarity in the next couple weeks. Which weekend are you attending? I'd like a chance to meet you in person.

~vmodus

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I can do either weekend

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Good luck to you on your blog journey, it was fun reading your journal and Kevindog and SMCJB's convos with you. If and when if I'm to consider automation I would certainly re-read this as well

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I can do either weekend

Either will work for me, once I figure out what I'm doing in April and where I'm doing it. I'll PM you once I decide.

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it was fun reading your journal and Kevindog and SMCJB's convos with you.

You can be in "the club" too... kevinkdog's Strategy Workshop *

* I have no commercial relation to the the person who runs this website. I just think its really good and relevant to the current conversation

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What a great journal its been! I appreciate your openness and allowing others in your mind for a bit.

I will be in Cleveland in April as well (dont know which week yet) and I hope to see you there! You are ending your algo journal journey and I am just starting mine. I take my keys from you in many ways. I even named my journal after yours with a robot theme. What a great example you have laid out for us beginners. So much to learn from each other. I hope you keep it alive even if its a once a month check in.


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Posts: 955 since Feb 2017
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jburke75 View Post
What a great journal its been! I appreciate your openness and allowing others in your mind for a bit.

I will be in Cleveland in April as well (dont know which week yet) and I hope to see you there! You are ending your algo journal journey and I am just starting mine. I take my keys from you in many ways. I even named my journal after yours with a robot theme. What a great example you have laid out for us beginners. So much to learn from each other. I hope you keep it alive even if its a once a month check in.


Gee, thanks! I repeat my mantra: I know nothing. I am constantly learning new stuff, relearning old stuff....it just continues. I learned some new things from you this past week....it's all good.

It's funny, I keep doing things that I'm saying to myself, 'this should go in my journal'. I may just pop some random things in here once in a while, just to 'bump' this thread.

Whatever you do, though, don't read my first journal. It's probably crap.

~vmodus

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  #386 (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: 1,941 given, 1,890 received

Well, here is a little update on where I'm at. If you have read my journal from earlier this year, you will know that we had submitted a couple strategies to the Strategy Factory Club (SFC). Our first strategy, a CL strategy, bombed. The problem with that one was that it went live the same month oil crashed.

The one bad month was too much for the strategy to overcome, thus it failed it's incubation. The one thing that it did not take into account was that if the strategy had been running, there would have been an very profitable open position at the beginning of the first month of incubation. If you know Kevin Davey's process, you will understand what this means. Long story short, I will need to revisit this strategy to see if this strategy has any use.

The next strategy was for NG, which was submitted for June, which passed the 6 month Strategy Factory Club test. We had high hopes for this one and it performed well. I would love to take credit for this, but my wife actually did most of the heavy lifting on this, especially with the re-optimizations. Anyhow, we were over the moon with the winning results.

The cool thing about the Strategy Factory Club is that you receive all of the winning strategies for the month you submitted. In addition, if you submitted a strategy that had a 'bounty' (e.g. June was Energies), I get to pick a package of winning SFC strategies from any prior month. This is greatly useful for my goal of diversification.

Other than that, I am currently working on some client (non-trading) work. I am also strongly considering starting a blog. I am looking at several things I want do in this blog:
  • Walk through strategy development from cradle to grave, but approaching it as a total noob
  • Share analysis I perform that may be interesting
  • Share useful things (indicators, functions, tools, resources, etc.) that I use in my daily trading life
In other words, pretty much what I have been doing in this journal, but in a format that is better organized. For me, the journey is as important as the destination. I have so much to learn, so why not chronicle it while I'm doing it?

That's all for now. I'll probably do a year-end post, just for fun. For now, be safe and well, everyone!

~vmodus

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  #387 (permalink)
Legendary Market Wizard
Ilsede, Germany
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Rithmic / CQG / Ninja Trader Brokerage
Trading: NQ
 
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vmodus View Post
Other than that, I am currently working on some client (non-trading) work. I am also strongly considering starting a blog. I am looking at several things I want do in this blog:
  • Walk through strategy development from cradle to grave, but approaching it as a total noob
  • Share analysis I perform that may be interesting
  • Share useful things (indicators, functions, tools, resources, etc.) that I use in my daily trading life
In other words, pretty much what I have been doing in this journal, but in a format that is better organized. For me, the journey is as important as the destination. I have so much to learn, so why not chronicle it while I'm doing it?

That's all for now. I'll probably do a year-end post, just for fun. For now, be safe and well, everyone!

Thanks for the update! I'm really looking forward to your blog, I think this will develop into a very interesting project!

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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  #388 (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: 1,941 given, 1,890 received


Daytrader999 View Post
Thanks for the update! I'm really looking forward to your blog, I think this will develop into a very interesting project!

Thanks! Most blogs fail and I have had a couple which I had, but lost interest. The fact that I have kept up with this journal makes me think that I will be successful with it. I love trading and I just didn't have the same passion with my past blog efforts. Nearly every day I have a new idea or learn something new that is share-worthy. The fact that this is linked to my trading, I am incentivized to keep it up. I am blessed with a talented web designer on my team, who is married to an SEO expert.

~vmodus

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  #389 (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: 1,941 given, 1,890 received

Happy new year! Since I don't really have a purpose in creating a separate forum post, here are some quick notes about my 2020 and moving into 2021.

2020 was an interesting and instructive year. I learned a ton, primarily around Kevin Davey's process with the Strategy Factory course, his associated Strategy Factory Club, and strategy development in general. I re-learned what I already knew (don't trade an untested system) and that I will never run out of ideas. I discovered two great trading podcasts for systematic traders like myself (Top Traders Unplugged ; Better System Trader). I laughed and learned a lot from Linda Bradford Raschke and Perry Kaufman, among others. I was profitable and not profitable at various points in my trading, but not consistently profitable mainly because I deviated from our defined processes.

2021 is and will be different. There is no deviation now from our established process and no room for untested strategies/algos. Right now I have a bankable set of strategies to trade, so I am building the portfolio that I want to trade this year. It will change as I continue towards the goal of diversification. Here are a few of the things I expect to do this year:
  • Diversify my portfolio
  • Learn how to position size to maximize margin utilization
  • Continue creating new strategies
  • Attend the Strategy Factory workshop in April
  • Learn to use MultiOpt, an optimization engine developed by one of the Strategy Factory students
I am excited by the work I've already done this week. It is going to be a great year.

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

As mentioned late last year, I have been toying with the idea of setting up a blog to chronicle my algo journey. I have finalized that decision and will be launching my site towards the beginning of February. The focus, unlike some sites, will be on the full process, from idea to go-live. I will take an idea and run it through our process, step-by-step. I am aiming to do one idea every week. I'm doing this anyhow, so why not document and share the process? I also want to show how a passing strategy performs once it goes live, in a simulated portfolio. I don't know how these strategies will perform (we never do), so it will also be a learning exercise for me to see my decision making process in letting them run or pulling the plug.

This isn't my first blog rodeo, and I am fortunate to have a very capable assistant/webmistress and her SEO master of a husband available, if needed. This is going to be fun. A lot of work, but fun, too.

That's all from me. I will post a link to my site once it is up and running, and has a little content to absorb. I will have to check with the mods to see that any posts regarding my site are acceptable.

Have a happy new year, be safe, and be sane!

~vmodus

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  #390 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,911 since Jul 2012
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vmodus View Post
Happy new year! Since I don't really have a purpose in creating a separate forum post, here are some quick notes about my 2020 and moving into 2021.

2020 was an interesting and instructive year. I learned a ton, primarily around Kevin Davey's process with the Strategy Factory course, his associated Strategy Factory Club, and strategy development in general. I re-learned what I already knew (don't trade an untested system) and that I will never run out of ideas. I discovered two great trading podcasts for systematic traders like myself (Top Traders Unplugged ; Better System Trader). I laughed and learned a lot from Linda Bradford Raschke and Perry Kaufman, among others. I was profitable and not profitable at various points in my trading, but not consistently profitable mainly because I deviated from our defined processes.

2021 is and will be different. There is no deviation now from our established process and no room for untested strategies/algos. Right now I have a bankable set of strategies to trade, so I am building the portfolio that I want to trade this year. It will change as I continue towards the goal of diversification. Here are a few of the things I expect to do this year:
  • Diversify my portfolio
  • Learn how to position size to maximize margin utilization
  • Continue creating new strategies
  • Attend the Strategy Factory workshop in April
  • Learn to use MultiOpt, an optimization engine developed by one of the Strategy Factory students
I am excited by the work I've already done this week. It is going to be a great year.

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

As mentioned late last year, I have been toying with the idea of setting up a blog to chronicle my algo journey. I have finalized that decision and will be launching my site towards the beginning of February. The focus, unlike some sites, will be on the full process, from idea to go-live. I will take an idea and run it through our process, step-by-step. I am aiming to do one idea every week. I'm doing this anyhow, so why not document and share the process? I also want to show how a passing strategy performs once it goes live, in a simulated portfolio. I don't know how these strategies will perform (we never do), so it will also be a learning exercise for me to see my decision making process in letting them run or pulling the plug.

This isn't my first blog rodeo, and I am fortunate to have a very capable assistant/webmistress and her SEO master of a husband available, if needed. This is going to be fun. A lot of work, but fun, too.

That's all from me. I will post a link to my site once it is up and running, and has a little content to absorb. I will have to check with the mods to see that any posts regarding my site are acceptable.

Have a happy new year, be safe, and be sane!


I am looking to seeing your blog, and seeing you in April (pandemic willing)...

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