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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

  #141 (permalink)
 kevinkdog   is a Vendor
 
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vmodus View Post
I missed my journal entry yesterday as I had some things to take care of at market close. Anyhow, the VX strategy on the 18 minute chart performed better (??), but not really. Again, I am seeing the problem with order fills. I had one order yesterday, short, then my reversal buy order was never filled, due to the fact that the price moved beyond before my limit order was filled.

I was eventually able to exit, but it took hours. Part of it was my fault, as I tried to adjust my exit, which of course threw me to the back of the queue for that limit price. There is one thing that may (or may not) have affected this strategy. It is the rollover period, meaning Tuesday was the last full trading day and Wednesday was the expiration day for the January VX contract. I'm not sure how people are doing rollover, but I'm wondering if that could have muddled things. It is just a thought, but I won't dwell on that too much.

Bottom line:
  • 1 trade, short, -$212
  • Strategy performance report: 6 trades, +382
  • I can't trade a strategy where orders aren't filled
  • This strategy won't work with this instrument, at least with a smaller account size (large account size I could place multiple orders, now I am limited to 1 with the margin requirements)
There is one final thing that I will explore with this strategy, which may be the final nail in the coffin to bury it. It may be possible to just take one direction trades, i.e. short only. I am going to sit on this idea for a day. It all comes down to fills and execution.

Next up:
The Eurodollar strategy has been sitting on the back burner, but it's time to bring it to the front. I will be looking trading this strategy on the December 2020 contract (EDZ20). This is a low risk and medium reward strategy which has potential. The expectancy for the prior two days is 17.00 and 20.66 for the month (through yesterday).

As a side note, I am struggling calculating expectancy (Van Tharp versus regular expectancy), so I am just using the calculation I know best:
Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss)
That is all for now. I hope to update this later today once I see what I can do with the Eurodollar strategy.

~vmodus


For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

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  #142 (permalink)
 
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 bobwest 
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kevinkdog View Post
For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

Damn, Kevin. I'm glad you said that!

I sat down some while ago with one of the expectancy formulas and did some high-school algebra and said, "Hey, that's just the average per trade."

But "expectancy" sure sounds much better, doesn't it?

Basically, you can expect to get about what your average has been.

Unless something changes, and then you won't.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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  #143 (permalink)
 
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 vmodus 
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kevinkdog View Post
For some reason, over the years the calculation for "expectancy" has gotten needlessly complicated...

Expectancy = Avg Net Profit Per Trade

Van Tharp Expectancy = Avg Net Profit Per Trade / Absolute Value of Average Loss


No need to know win probability or average win in dollars.

Thanks for clarifying! I was trying to use the calculation from your book, but it didn't match the calculations from the calculator on your site at first. I even pulled out my Van Tharp books and realized he did not have the calculation clearly defined. I trolled here and the internet and came up with a few different calculations

Regardless of how the calculation came out, I believe my expectancy is good.

Now, I think my Van Tharp expectancy is .78 for that two day period, .30 for the month of January. Phew, no sweat.

~vmodus

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  #144 (permalink)
 
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 vmodus 
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I realize that I left out a few things regarding how I am trading ED:
  • Trading Eurodollar EDZ20 for now
  • Start time: 400 ET
  • End time: 1500 ET
  • 12 minute chart, an oddball time to be sure, but it works for me.
  • 1 contract, but expect to scale to 10 slowly
I just have a quick update. I set my ED strategy on for EDZ20 last night, but I failed to turn on the automation, thus I missed 4 hours of trades.

Also, things started to get weird once I turned on the automation. Some orders were not getting sent from the strategy, possibly because I am doing other work on my PC. The solution will be to restart, but for now I'm just watching it. As-is, I know I will not have accurate reporting. My solution on Monday will be to cold-reboot my PC on Sunday evening, then set my strategies. I have a pretty powerful PC (my own build), but Tradestation still has some performance issues when performing multiple tasks (it locked up twice yesterday).

Will update at EOD/EOW.

~vmodus

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  #145 (permalink)
 
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 vmodus 
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Friday was a bad day from the start with Eurodollar, but it had a silver lining. I will just go through each piece, one by one.

Forgot to automate my strategy
Yeah, this happened. So no trades were taken. This becomes important a little later.

TradeStation goes wacky
Once I turned on automation, a few weird things happened. Firstly, there were trades that should have been sent to the Trade Manager, but weren't. Secondly, later in the day, I turned off the automation because the trades weren't going in. Then at about 1400 I saw that a buy order went to the Trade Manager, and then was filled before I could react. I immediately sold, since I wasn't supposed to be in any position. I thought I might have fat-fingered something, but then it happened again sometime after 1500, this time a short sell. My strategy does not trade after 1500 and I know for sure that I did not accidentally place an order, but it happened again while I was working on backtesting another strategy.

I don't know where these orders came from. Maybe they were stuck in memory....I just don't know. I won't go into my bad history with this software, but it is what I have for now. I suspect that maybe I am causing this by doing other things on my PC while my strategy runs.

Disappointment
My main disappointment is that I was not able to allow the strategy to run and evaluate the execution, which was my primary goal.

Not a total bust
Yesterday would have been a losing day, likely about -$44 on one contract (or -$440 when I scale up). So I avoided losses, but again my goal is to see if the strategy executes. This was my silver lining, for what it's worth.

Lessons learned:
  • Restart PC before each trading session
  • Turn on automation at the beginning of the trading day and leave it on
  • Do not do anything else on my PC that is processor intensive (e.g. optimization)
  • If the strategy has problems, restart everything and enable the strategy at the beginning of the next bar

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

So this wasn't my best week, but I do expect things to be better next week. I am excited to take @kevinkdog's Strategy Factory course on Wednesday, so hopefully it ads value to our strategy development processes.

Have a great weekend all!

~vmodus

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  #146 (permalink)
 
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 SMCJB 
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vmodus View Post
Lessons learned:
  • Restart PC before each trading session
  • Turn on automation at the beginning of the trading day and leave it on
  • Do not do anything else on my PC that is processor intensive (e.g. optimization)
  • If the strategy has problems, restart everything and enable the strategy at the beginning of the next bar

Or have a computer dedicated to running your Tradestation automation. You can get something cloud based very cheap <$60/month. Dedicated server will $100+/month.

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  #147 (permalink)
 
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 vmodus 
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SMCJB View Post
Or have a computer dedicated to running your Tradestation automation. You can get something cloud based very cheap <$60/month. Dedicated server will $100+/month.

Thanks for the suggestion. This is already in the pipeline for us. We will be moving to a virtual PC at some point in the future dedicated to running our strategies, because this solves a few of our problems: uptime (internet connectivity, overloaded PC, location dependence/mobility, etc.). The problem I have not solved is the increased costs, mainly around data fees. Example:

PC 1:
  • Runs our live trading strategies
  • Data fees: $160 / month
  • Virtual machine costs: $0-60 / month
PC 2:
  • Development of strategies
  • Back-testing and optimization
  • Sim testing
  • Data fees: $160 / month
TradeStation (and I'm guessing other platforms are similar) only allow us to have one active login: either sim or live trading, but not both simultaneously. I believe this is due to exchange limitations regarding data usage (one active connection per data subscription), but I'm not certain. Anyhow, I can do development offline with data, but there are limitations, and I need to be able to do both sim and live at the same time, otherwise development gets to be exceptionally difficult.

If anyone knows of a better solution for running sim and live at the same time, I would appreciate any feedback.

~vmodus

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  #148 (permalink)
 
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 SMCJB 
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Why is your data so much? Non-professional data should be about $10/month for futures?

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  #149 (permalink)
 
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 SMCJB 
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Sorry for double post.

Re: Tradestation. You can get a second account, thats what I used to do. On the primary account I would have real time data just for the products I was trading, then on the second account have delayed data for everything! As long as your primary account does 2x the minimum volume, both accounts will have Tradestation for free. You will have to pay for data on both accounts though.

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  #150 (permalink)
 
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 vmodus 
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SMCJB View Post
Sorry for double post.

Re: Tradestation. You can get a second account, thats what I used to do. On the primary account I would have real time data just for the products I was trading, then on the second account have delayed data for everything! As long as your primary account does 2x the minimum volume, both accounts will have Tradestation for free. You will have to pay for data on both accounts though.

Thanks! We have a main account and a sub-account. We do get TS free, but of course there is data. We are classified as pros, so hence the higher fees.

I may open a personal account, which may help but I am working through the particulars of that. The main thing for me will be running sim for a long period of time while trading live. Algorithmically of course.



~vmodus

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