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



Attack of the Robots - An Algo Journal


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one vmodus with 317 posts (729 thanks)
    2. looks_two SMCJB with 32 posts (69 thanks)
    3. looks_3 kevinkdog with 24 posts (60 thanks)
    4. looks_4 bobwest with 12 posts (51 thanks)
      Best Posters
    1. looks_one bobwest with 4.3 thanks per post
    2. looks_two kevinkdog with 2.5 thanks per post
    3. looks_3 vmodus with 2.3 thanks per post
    4. looks_4 SMCJB with 2.2 thanks per post
    1. trending_up 54,197 views
    2. thumb_up 984 thanks given
    3. group 56 followers
    1. forum 428 posts
    2. attach_file 145 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Attack of the Robots - An Algo Journal

(login for full post details)
  #421 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received


kevinkdog View Post
Cool stuff! I agree Bernut's book is good. He was on Better System Trader podcast in mid December, in case you missed that new interview. He was a guest right after me.

Kevin

Great to know Kevin, thanks! Yeah, I missed your show too, but don't feel bad, I'm about 4 months behind on my podcasts.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
The following user says Thank You to vmodus for this post:

Can you help answer these questions
from other members on futures io?
Tick counter that works with directions?
NinjaTrader
Take Profit/ Tpx during crypto futures trading
Crypto Futures
Emini Trading Levels
Emini and Emicro Index
 
 
(login for full post details)
  #422 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received


SMCJB View Post
Happy New Year vmodus. Thanks for the interesting posts.

Not a cheap book. That normally doesn't bother me but since its about Python (unfortunately I'm a R guy) I was wondering how relevant it would be to a non-Python user?

I felt the same way about @kevinkdog 's BWATS, but I am glad I bought. For this book, I got the Kindle version (~$30) which I can reference easily on my desktop.

Laurent wrote the book before adding any Python, so it stands alone. The title is misleading, because it it not just about short selling using Python. I find value without needing the Python, but it is there for once I learn and start building my systems in Python.

From the preface:
Who this book is for
This book is written by a practitioner for practitioners. It is for advanced to expert market participants. Even if you have never coded a line in Python, this book is still for you. It was originally written without the source code. This later addition is meant to help readers implement the concepts in real life. If you are an experienced coder but new to the markets, you will pick up concepts that will help you on your journey. You may however want to supplement your market education with further reading.

Even if you choose never to sell short, this book is still for you. The tools and techniques developed for the short side are built to withstand extreme conditions.*If you can survive the arid environment of the short side, imagine how you will thrive on the long side. If you are in the long/short business, the question is not whether you should read this book or not. The real question is can you afford to not read this book. You may disagree with some ideas, but they will provoke thoughts and spark conversation. The ideas we originally resist are the ones that makes us grow, so welcome to the space beyond your comfort zone.
I hope that helps.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
The following user says Thank You to vmodus for this post:
 
(login for full post details)
  #423 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
Posts: 4,410 since Dec 2013
Thanks: 3,756 given, 8,895 received



vmodus View Post
I hope that helps.

It does. Thank You. Orderd.

Reply With Quote
The following user says Thank You to SMCJB for this post:
 
(login for full post details)
  #424 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received

I have been doing some fascinating work on systems in ETF's and John Ehlers' RSI with Hann windowing (from January 2022 TASC magazine). Given my current limitations in trading, I need to develop systems that follow the strict rules set forth by my wife's employer.

Just some testing on 18 random instruments (9 ETF's and 9 equities) has resulted in some interesting results. I am not permitted to take short positions and I have 30 day minimum holding periods. Although I consider the short side just as important as the long side, it does not apply to me. My systems have always been long and short.

Equities and ETF's are biased to the long side, but I have been fixated on having a system that performs well both short and long. Anyhow, back to the Ehlers RSIH, as I call it, I unwittingly built a trend-following system by excluding shorts and using a Williams fractal as my exit.

Using @kevinkdog's Monte Carlo tool, here are the results of Monte Carlo analysis for a portfolio of 14 of the 18 instruments (4 did not pass walk-forward testing), for a period from Jan 1, 2010 to Dec 31, 2020:



Moving into a full year of 'incubation' on unseen data, here is the result of the portfolio for all of 2021 (closed trades only):



It looks like I have my first system for equities. I am looking at ETF's mainly because the ones I am using do not require preclearance.

Here is the shuffled trades analysis, 2010-current for the entire portfolio (closed trades only):


Anyhow, this has been quite enlightening, especially since I picked a random selection of instruments. I will share more as I keep working through various instruments.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
The following 4 users say Thank You to vmodus for this post:
 
(login for full post details)
  #425 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received

This week has been interesting and have a few things to share regarding my algorithmic trading systems. I received an update from my wife's compliance department on trading rules and restrictions. The list of approved ETF's are now exempt from minimum holding periods and pre-approval, i.e. I am mostly free to trade, though still bound to long only positions (go figure).

With that in mind, I went immediately to some of the systems I have built and have passed our stringent requirements. Before I share what I have, I have to mention the benefits of the work I have done over the past couple years. Firstly, with all the work already done on a lot of my trading systems, particularly development and testing, I can take any of a few dozen systems and apply them to new timeframes and instruments.

Secondly, doing this work allows me to have an inventory of tradable systems. Even if I do not trade them, they are ready to pull off the shelf and start using when the opportunity arises. I think this is something that is not really talked about with respect to systems, where a lot of focus is on building that one great system, instead of several very good systems. Right now, I have several very good systems, with the tricky part being assembling them into a decent portfolio. It is a good problem to have.

Top Traders Unplugged posed this question in a recent podcast to the panel of guests: Would you rather trade 100 markets with 1 system, using 10 different timeframes, or would you rather trade 50 markets, using 3 different systems, using 5 different timeframes?

https://www.toptradersunplugged.com/podcast/173-systematic-investor-series-ft-jerry-moritz-rob-mark-rich-january-2nd-2022/

This is part 2 of a two-part podcast, which I recommend. Great stuff.

On to the work I have done this week.... I dusted off a mean-reversion system I built last year, which I tested only on a basket of equities, both long and short: Trading Idea #11 - Connor's RSI 2. I applied this to a subset of approved ETF's, and the results were good, just as they were with the equities. Here is the system on the symbol IVE (daily):



Since the system was built and tested, I simply built a portfolio using MultiCharts Portfolio Trader, ran a backtest from 2006 through 2020, long positions only. I kept the instruments that passed these two criteria: Profit Factor >= 1.5 and Adjusted Profit Factor (worst case) >= 1. With that set, I went through incubation, which covered the period from Jan 1, 2021 until today. Here are the results:



Here are some notes on this system:
  • High win rate for the system, as expected for mean-reversion
  • It did well on unseen data
  • Time in market, 31.8% over 16+ years
  • High correlation between some instruments (see below), probably making some of them redundant
  • The system makes money, but annual returns are low and may not be worth taking money away from other more profitable systems
  • Leverage may help boost returns, but there is a cost for that

Daily Correlation


There you have it. My next steps are to see where this may fit with the Hann system I mentioned in my earlier post. I will post some results for that system tomorrow or next week.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
The following user says Thank You to vmodus for this post:
 
(login for full post details)
  #426 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,174 since Jul 2012
Thanks: 1,681 given, 6,311 received

Looks like you are making great progress!

I know you can only trade long, but have you looked at the "short" ETFs (ones you go long of, but you are actually short)? I realize there is a decay issue with these for longer term holds, but these might have a place in your portfolio.

Just a thought...

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #427 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received


kevinkdog View Post
Looks like you are making great progress!

I know you can only trade long, but have you looked at the "short" ETFs (ones you go long of, but you are actually short)? I realize there is a decay issue with these for longer term holds, but these might have a place in your portfolio.

Just a thought...

Great idea! The short (inverse) ETF's are not on the approved list, but we can still trade them. They require pre-approval and are subject to the longer holding periods. I have played around a little with the inverse ETF's, but have not had any success with them, though to be honest I have not spent enough time on them. I will post results here when I have had a chance to run them through my systems.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
 
(login for full post details)
  #428 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received

One additional note regarding the mean-reversion system: I did no optimization to the systems. The results were good despite that. I ran optimization for IVE, just to see what would happen, and my default parameters were the best. I found that interested (the system on equities is optimized).

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote
 
(login for full post details)
  #429 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,159 since Feb 2017
Thanks: 2,685 given, 2,499 received

@kevinkdog , the aforementioned podcast has a discussion that might interest you. One of the guests, I think it is Rich Brennan or Mark Rzepczenski, mentioned their method for testing a new system: parallel incubation. This is doing your traditional incubation period, for 1 year in his case, but also incubating in a small live account at the same time, then comparing the results to assure live execution matches expected results.

I think you have done some similar things (Renko experiments maybe?). Anyhow, I thought this idea was an interesting twist on what you teach.

I cannot remember if it was in the first part of the podcast or the second, but here is part one:

https://www.toptradersunplugged.com/podcast/172-systematic-investor-series-ft-jerry-moritz-rob-mark-rich-december-25th-2021/

It is a good listen, regardless.

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Started this thread Reply With Quote


futures io Trading Community Trading Journals > Attack of the Robots - An Algo Journal


Last Updated on January 20, 2022


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
     



Copyright © 2022 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts