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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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  #401 (permalink)
 kevinkdog   is a Vendor
 
 
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vmodus View Post
I had a few minutes this morning to migrate one of my systems (Heating Oil, swing) to MultiCharts. I plugged in the code, tweaked it a little, and got it working.

SAT2021-07 HO


This is one of the systems that passes my criteria for live trading. If you are interested in the details of how I developed this system, you can check it out on my blog:
https://systematicalgotrader.com/2021/03/19/sat2021-07-fractals1/

I will update this as I progress through my other systems.


Nice! I am curious, what makes this "tradable" to your wife's employer? Do you have to stick to a certain holding period, or certain markets, etc?

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  #402 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
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kevinkdog View Post
Nice! I am curious, what makes this "tradable" to your wife's employer? Do you have to stick to a certain holding period, or certain markets, etc?

This is not tradable for us at all, as we cannot trade futures. Tradable means it passes our criteria for backtesting and performance (and by extension, your criteria, as I grew from your trading tree). This system was developed earlier this year.

Not trading commodity futures makes zero sense, since she works corporate actions (equities), but it is a blanket policy that applies to the CEO and the custodial staff.

~vmodus

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  #403 (permalink)
 kevinkdog   is a Vendor
 
 
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vmodus View Post
This is not tradable for us at all, as we cannot trade futures. Tradable means it passes our criteria for backtesting and performance (and by extension, your criteria, as I grew from your trading tree). This system was developed earlier this year.

Not trading commodity futures makes zero sense, since she works corporate actions (equities), but it is a blanket policy that applies to the CEO and the custodial staff.

Gotcha. So you could trade commodity ETFs then, assuming they passed all the tests?

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  #404 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
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kevinkdog View Post
Gotcha. So you could trade commodity ETFs then, assuming they passed all the tests?

Correct. I was not even thinking of commodity ETF's, so that is a great avenue to explore, especially for those systems I have that work well in one sector, i.e. energies. ETF's are the easiest thing for me to trade at this point, as there is less oversight by compliance for these instruments. Thanks for that inspiration, @kevinkdog!

~vmodus

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  #405 (permalink)
 kevinkdog   is a Vendor
 
 
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vmodus View Post
Correct. I was not even thinking of commodity ETF's, so that is a great avenue to explore, especially for those systems I have that work well in one sector, i.e. energies. ETF's are the easiest thing for me to trade at this point, as there is less oversight by compliance for these instruments. Thanks for that inspiration, @kevinkdog!

It is a bummer you cannot trade futures right now, because you have created some nice algos!!!!

I hope your success continues!

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  #406 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
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I am still slowly getting my Systematic Algo Trader systems back online (part of a hypothetical portfolio I track), while taking care of a bunch of non-trading related activities.

Before yesterday, I had not touched a piece of code for nearly 4 months. I was happy to find that I was able to pick up from where I left. I was able to bring up two more systems to MultiCharts and results match what I had in TradeStation.

There is one feature I will be exploring in MultiCharts: Portfolio Trader. There is Portfolio Maestro in TS, so I am wondering about the similarity in tools. The big thing for me is that one of my systems is equities based and I have quite a few instruments, each optimized differently. Hopefully this tool will allow me to manage these. Good times!

I have one final observation of being offline for the past 4 months: system performance. One of the tenets of a true algo/systematic trader is that you let your systems run and you do not interfere with the rules, assuming everything is running as it should. Coming back to these systems, which I tracked and reported weekly in my newsletter, I was forced to accept the results. It provides me with a sense of peace knowing that the systems will just follow the rules without my intervention. I'm not sure if this makes any sense, but it makes sense in my head. It is satisfying to see four months of results match the expectations based on prior walk-forward analysis.

Here are the charts for my two mean-reversion systems running on Wheat and Copper:



More to come tomorrow!

~vmodus

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  #407 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
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Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,410 received

Well it has been a busy week trying to get all the pieces working together. One issue I have run into with MultiCharts and IB is continuous contracts. They don't have them, at least not how TS did. I have to create custom contracts (I think), then I can indicate what 'continuous' means to mean (volume based, etc.). This offers more flexibility, similar to Sierra Charts, but it is more difficult that SC. I'm still working through that.

I finally got my SAT2021-11 system (mean reversion for equities, long only) updated. My assistant Taby helped update the code (about 24 separate strategies/signals), as there are minor differences between EasyLanguage and PowerLanguage.

I haven't figured out portfolios yet, so this is what I have (hypothetical results):

MC Workspace


For this system, running 24 equities, here is my equity curve to-date, from inception (April 2021):



I prefer futures, of course (this is not equities.io after all), but the methodology remains the same regardless of instrument.

Anyhow, that is it for now. Once I figure the continuous contracts I will be a lot more comfortable. Yikes, this is a lot of work....

~vmodus

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  #408 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
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Posts: 1,132 since Feb 2017
Thanks: 2,613 given, 2,410 received

I want to clarify a couple points on the hypothetical results for equities I showed in my last post:
  • Position Size = $10,000 / Close price, rounded down to nearest 1
  • Leverage is 2:1, so $5k of capital required per position
  • Account size required, to date: $25,000 (I have not had more than 5 positions at the same time)
  • These results include slippage and margin finance costs
  • A simple return calculation puts this at 24.7% annualized return; 14.4% over the 7 months.
This 'live' period performed about the same as the 6 month incubation period I used ($3.5k , 14.1% return on $25k capital, 28.2% annualized).

~vmodus

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