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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

  #151 (permalink)
 
bobwest's Avatar
 bobwest 
Western Florida
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vmodus View Post
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

Here's a question/suggestion that may or may not be of help, but have you considered moving off of TradeStation? (This is a more general question, not about the sim/live issue.)

I ask this because you write often of TradeStation-related issues and problems that seem to me to be a little unusual, given the experience of other traders on FIO who are with different brokers and platforms.

I do understand the difficulties of such a change. They can be severe, especially if you have a lot of code written for the platform you would be leaving. Also, it is somewhat a leap of faith to think that the new destination would be any better... it's sort of like, "the devil you know is better than the one you don't...."

I just went through my memory and counted 6 platform changes I have gone through, all of which included some porting of code to a new environment and learning some new scripting language. It was a pain each and every time.

But I'm glad I did. I simply left behind some of the problems and didn't have to find ways to work around them any more. I'm happy where I am now (Sierra Chart, which works with many brokers), but who knows? I'm mobile, and the moves all were beneficial after the effort of change.

Just a thought. For all I know, you may have done dozens of changes and may now be settled on TS as the best.... I'm sure you have reasons to be with them.

But is there any appeal to the idea?

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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  #152 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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bobwest View Post
Here's a question/suggestion that may or may not be of help, but have you considered moving off of TradeStation? (This is a more general question, not about the sim/live issue.)

I ask this because you write often of TradeStation-related issues and problems that seem to me to be a little unusual, given the experience of other traders on FIO who are with different brokers and platforms.

I do understand the difficulties of such a change. They can be severe, especially if you have a lot of code written for the platform you would be leaving. Also, it is somewhat a leap of faith to think that the new destination would be any better... it's sort of like, "the devil you know is better than the one you don't...."

I just went through my memory and counted 6 platform changes I have gone through, all of which included some porting of code to a new environment and learning some new scripting language. It was a pain each and every time.

But I'm glad I did. I simply left behind some of the problems and didn't have to find ways to work around them any more. I'm happy where I am now (Sierra Chart, which works with many brokers), but who knows? I'm mobile, and the moves all were beneficial after the effort of change.

Just a thought. For all I know, you may have done dozens of changes and may now be settled on TS as the best.... I'm sure you have reasons to be with them.

But is there any appeal to the idea?

Bob.

I have considered moving from TS, but it is taking me longer than I would like. My issues with TS go back to my old trading journal (and actually further than that), not the least of which was the loss of an entire days worth of coding last spring. Migrating elsewhere would involve learning a new language (exception: Multicharts), rewriting code for our existing strategies, functions and indicators, and making sure everything actually works. Our strategy development workflow is built around TS. If we were just chart/discretionary traders, the move would be magnitudes easier.

And yes, we stick with TS for now because it is the devil we know.

I use Sierra, but primarily for analysis. It has worked flawlessly, and I love the speed and simplicity. I would love to move to Sierra, but it really comes down to time constraints and assuring it has the capabilities I need. Eventually we will move on from TS, but for now we're here.

Thanks for the advice!

~vmodus

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  #153 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
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vmodus View Post
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.

If you go all delayed data on the second account it a) should be much cheaper - the pro rates are only for live data and b) since everything is delayed you won't get that annoying 'you can't chart symbols with different times' all the time.


vmodus View Post
Eventually we will move on from TS, but for now we're here.

Easy language is super easy. Other than that I was not impressed with Tradestation. Too many bugs and unexplainable missed executions. Too many data issues. Too many product issues (having to execute rolls as two outright orders rather than using exchange listed spreads, no access to 'Trade at Settlement' markets etc etc) and let's be honest they aren't the cheapest either. It was always my plan to move to something else, but in the end I stopped doing that type of trading before I moved!

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  #154 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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SMCJB View Post
If you go all delayed data on the second account it a) should be much cheaper - the pro rates are only for live data and b) since everything is delayed you won't get that annoying 'you can't chart symbols with different times' all the time.

Easy language is super easy. Other than that I was not impressed with Tradestation. Too many bugs and unexplainable missed executions. Too many data issues. Too many product issues (having to execute rolls as two outright orders rather than using exchange listed spreads, no access to 'Trade at Settlement' markets etc etc) and let's be honest they aren't the cheapest either. It was always my plan to move to something else, but in the end I stopped doing that type of trading before I moved!

I could go with delayed data, or just work offline for development, but there are occasions I need to see a strategy in sim to work out any bugs.

I see by your profile you use X_Trader. Are you happy with TT's platform? I looked into last year, so it is in our pool for consideration. I like the market replay feature (similar feature in Sierra), which is sadly lacking in TS.

Ultimately, if TS continues to cost us money (lost trades, opportunity costs, etc.), then we will need to move. Right now it is like a big Band-aid that has outlived it's purpose: we still have to pull it off, painful or not.

I would love to hear your thoughts about the platform you use.

~vmodus

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  #155 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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I did not post yesterday because I did not trade. I mainly spent the day in education, catching up on some reading as I mentally prepare for my class Wednesday.

Why I didn't trade
I evaluated my Eurodollar strategy a little further late Friday and some over the weekend and I decided it is too flaky to trade at this time. Once I factor in commission and other fees, it is essentially a zero sum game for me, occasionally profitable. In the long run it would probably be profitable, but it can be flat for 50-100 trades (after commission and fees), before picking up a profitable run. I will set it off to the side for now.

I did some experimentation with a couple of variations. The best variation was a strategy that only trades, on average, once every four days. It may be useful to have it in my portfolio, but it won't be a world beater. It may prove to be 'get rich slowly' strategy.

OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout. The thought is that institutional traders unload their positions (increased volume), but without attempting to push the price. The increase in volume gets the attention of retail investors, then the price increases (or decreases) as others try to get on board the movement.

That is my explanation, but only as I understand it. Here is a good video explaining it in greater detail:


I applied this to a chart in TradeStation and then in Sierra Chart. Sierra also had a moving average with their OBV, which I thought was a novel idea. So I wrote my own indicator for TradeStation, but smoothing the curve with a 14 day simple moving average (SMA) and then another indicator using John Ehler's SuperSmoother code to further remove chop from my SMA. Below are the results:


This is probably a little more useful for chart traders, but I'm sure I could incorporate this into an automated strategy. The indicator doesn't stand alone well, but seems to compliment a trend following indicator. I'm not sure it is useful to me, yet, but I think it might be useful in a swing trading system.

If anyone is interested in the EasyLanguage code, PM me.

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

That's about it. See you all around!


~vmodus

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  #156 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
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vmodus View Post
I could go with delayed data, or just work offline for development, but there are occasions I need to see a strategy in sim to work out any bugs.

You can use delayed data in sim as well!


vmodus View Post
I see by your profile you use X_Trader. Are you happy with TT's platform? I looked into last year, so it is in our pool for consideration. I like the market replay feature (similar feature in Sierra), which is sadly lacking in TS.

I was a massive fan of XTrader, but it's being discontinued in the next few months. I'm much less of a fan of new or cloud TT. I find using it (not the order execution) to be considerably slower. Pulling up a new contract or loading an autospreader? Instantaneous in XTrader, but in new TT it takes several seconds. Seems like a nit pick I know but when your used to instantaneous, the slowness of new TT seems like an eternity. I worry because I'm only looking at a few 'smaller' products for now, so maybe 20 futures and 50 spreads. What will happen when I want the system to pull in 100s of futures and 1000s of spreads? Will it grind to a halt? Theoretically it's a 4 year old product at this point but it feels like it's still in Beta. In the six weeks I've been using it I've had 4 relatively major issues, 2 of which where obviously caused by a lack of testing on their behalf and the other 2 were just stupid incorrect server settings. In 15 years of Xtrader we only probably had half a dozen similar issues, so quality control is very concerning. Sure it has charts now, but I don't care about the charts and even if you do like charts I think you will find charting poor versus say CQG, Tradestation, Sierra etc. But if you want Autospreaders... it's probably the best there is.


vmodus View Post
OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout. The thought is that institutional traders unload their positions (increased volume), but without attempting to push the price. The increase in volume gets the attention of retail investors, then the price increases (or decreases) as others try to get on board the movement.

I applied this to a chart in TradeStation and then in Sierra Chart. Sierra also had a moving average with their OBV, which I thought was a novel idea. So I wrote my own indicator for TradeStation, but smoothing the curve with a 14 day simple moving average (SMA) and then another indicator using John Ehler's SuperSmoother code to further remove chop from my SMA. Below are the results:
...removed for space reasons...
This is probably a little more useful for chart traders, but I'm sure I could incorporate this into an automated strategy. The indicator doesn't stand alone well, but seems to compliment a trend following indicator. I'm not sure it is useful to me, yet, but I think it might be useful in a swing trading system.

The first bar of that chart, and last bar are at the same price. Despite no overall change in price the indicator trends down for the entire time!

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  #157 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
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SMCJB View Post
The first bar of that chart, and last bar are at the same price. Despite no overall change in price the indicator trends down for the entire time!

Thanks for all the feedback. I don't care too much for charting, to be honest, since what we see can deceive us (we tend to see what want/expect to see). It is really the data I'm interested in, which is why I prefer algo/automated trading. Charting only provides a visual confirmation of signals for me.

With the chart, I was lazy and didn't find a better example than that. The video I shared has better examples towards the ends. I'm still figuring if OBV has use in futures, but I have an all-day class Wednesday, so it will have to wait.

Cheers!
~vmodus

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  #158 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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SMCJB View Post
You can use delayed data in sim as well!

I forgot respond about this. TS does not allow simulated trades on delayed data. I wasn't sure, but I checked this morning and am unable. I'm sure it is because they 'attempt' to fill the order in a realistic manner. Maybe other platforms, such as those with market replay, can do it.

Thanks!

~vmodus

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  #159 (permalink)
 
bobwest's Avatar
 bobwest 
Western Florida
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vmodus View Post
OBV
I discovered an indicator that I've not seen before: On-balance Volume, or OBV. The big idea around this 'leading' indicator is that it (sometimes) provides a hint of market turns, before it shows in price action. It uses a combination of price and volume. When used on a chart, it tells us the general direction the market trend may be turning before it happens, or staying the same, in the case of a false breakout.


vmodus View Post
I'm still figuring if OBV has use in futures, but I have an all-day class Wednesday, so it will have to wait.

On OBV, I recall when Granville introduced the concept, or at least when I first read about it in a book he wrote (it was a very, very long time ago .) He was regarded as next to being a god at the time, because he had made some good calls (in the 70's? I think so.) Subsequently his reputation started to shred because of some really bad calls that he held on to as his believers steadily lost money. It was illuminating and disillusioning at the same time. It had something to teach about indicators and about gurus.

It's sort of misnamed, in my opinion. If a price bar closes up, all the volume it had is added to the cumulative tally, so it's all regarded as up volume -- essentially, buying volume. If it closed down, all the volume is subtracted from the tally (I don't recall what do if it's unchanged.) The cumulative number is the indicator. This is not exactly "on balance," since each allocation is 100% based on the net price change. A bar that moves up one tick on large volume (which happens) contributes all of its volume to the upside, as would a very large up bar that has the same volume.

It's semi-useful sometimes, when the cumulative line starts to go down while price is going up, or vice-versa.

Not trying to be discouraging. But there are other ways to slice and dice volume, for those who want to do that.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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  #160 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
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Wouldn't it be like VWAP. The smaller the bar size you use the more accurate the result?

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