NexusFi: Find Your Edge


Home Menu

 





Attack of the Robots - An Algo Journal


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one vmodus with 357 posts (859 thanks)
    2. looks_two SMCJB with 38 posts (84 thanks)
    3. looks_3 kevinkdog with 27 posts (70 thanks)
    4. looks_4 bobwest with 13 posts (53 thanks)
      Best Posters
    1. looks_one bobwest with 4.1 thanks per post
    2. looks_two kevinkdog with 2.6 thanks per post
    3. looks_3 vmodus with 2.4 thanks per post
    4. looks_4 SMCJB with 2.2 thanks per post
    1. trending_up 91,794 views
    2. thumb_up 1,141 thanks given
    3. group 61 followers
    1. forum 478 posts
    2. attach_file 181 attachments




 
Search this Thread

Attack of the Robots - An Algo Journal

  #161 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


bobwest View Post
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.

Thanks for the background, Bob. It will be interesting to see if this has any value for us. At this point my review of OBV has had mixed results, though I have been focused on interest rate products.

~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Deepmoney LLM
Elite Quantitative GenAI/LLM
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Exit Strategy
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
Battlestations: Show us your trading desks!
26 thanks
The Program
18 thanks
  #162 (permalink)
 
bobwest's Avatar
 bobwest 
Western Florida
Site Moderator
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
Frequency: Several times daily
Duration: Minutes
Posts: 8,162 since Jan 2013
Thanks Given: 57,341
Thanks Received: 26,267


SMCJB View Post
Wouldn't it be like VWAP. The smaller the bar size you use the more accurate the result?

I guess you'd have to try it and see.

In a way, OBV is giving more weight to bars with more volume, but not taking account of the size of the price bar, only the direction. So this means that, for example, in a strong move over many bars in one direction that is supported by good volume per bar, the cumulative line moves strongly too, in the direction of price, so they confirm. But if the volume drops off after a peak, or any time where the participation is less, then cumulative OBV lags the price, or tends to do so over time. Which would be the thing you use it for.

Will this warn you of a change? And how reliably?

I haven't really used it or looked at in a long time, so who knows? Experimentation may answer the questions.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Reply With Quote
Thanked by:
  #163 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


Today was a school day for me, so no trading. I took @kevinkdog's Strategy Factory course today and it is pure gold. His methodology is solid and I have learned all of the things we have been doing wrong or should have been doing all along. If you need more info, just search 'Strategy Factory' on the internet.

One of the most important things I learned was about diversification (trading more than one instrument/strategy at once) and how it positively affects equity curves and drawdown (lessens the effects of drawdowns). I think long term success lies in diversification. The first two hours were incredibly enlightening.

I learned that I probably already have 1 or 2 strategies that meet the criteria for trading. The interesting thing, which has also come from experience, is that simpler is better. I have coded complex strategies with all sorts of rules, which have subsequently not performed any better than a simple cross-over strategy.

The best part of the course was the content. There is a ton of content (video, tools, code, etc.) which will be of immense value moving forward. I am happy that I'm not starting strategy development from scratch. Having a good understanding of the process going into the class was helpful, but not necessary.

If I am able to apply the concepts learned, I'm sure I will become a better trader.

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

Aside from the all-day class, I was able to look at one of my strategies and apply some analysis learned. It is a new idea based on an old idea using ATR to avoid ranges for a cross-over strategy I have for Eurodollar. I need to take it back to the beginning of the strategy development process, but it may be viable.

That's all for today. I may not post tomorrow as I have some other things to do.


~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #164 (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
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192

Excellent Course. I have done it myself. The Strategy Club is very cool as well. (My last entry was in August, and the 6 month incubation finishes in 2 days and I expect it to pass!). Kevin also has a dedicated thread here at nexusfi.com

Reply With Quote
Thanked by:
  #165 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,645 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338


vmodus View Post
Today was a school day for me, so no trading. I took @kevinkdog's Strategy Factory course today and it is pure gold. His methodology is solid and I have learned all of the things we have been doing wrong or should have been doing all along. If you need more info, just search 'Strategy Factory' on the internet.

One of the most important things I learned was about diversification (trading more than one instrument/strategy at once) and how it positively affects equity curves and drawdown (lessens the effects of drawdowns). I think long term success lies in diversification. The first two hours were incredibly enlightening.

I learned that I probably already have 1 or 2 strategies that meet the criteria for trading. The interesting thing, which has also come from experience, is that simpler is better. I have coded complex strategies with all sorts of rules, which have subsequently not performed any better than a simple cross-over strategy.

The best part of the course was the content. There is a ton of content (video, tools, code, etc.) which will be of immense value moving forward. I am happy that I'm not starting strategy development from scratch. Having a good understanding of the process going into the class was helpful, but not necessary.

If I am able to apply the concepts learned, I'm sure I will become a better trader.

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

Aside from the all-day class, I was able to look at one of my strategies and apply some analysis learned. It is a new idea based on an old idea using ATR to avoid ranges for a cross-over strategy I have for Eurodollar. I need to take it back to the beginning of the strategy development process, but it may be viable.

That's all for today. I may not post tomorrow as I have some other things to do.


~vmodus


Glad you enjoyed it! You were an excellent contributor, asking some very pointed questions. Your questions I know enhanced the experience for the other new students.

I am excited to see your strategy development progress!

Kevin

Follow me on Twitter Reply With Quote
Thanked by:
  #166 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


SMCJB View Post
Excellent Course. I have done it myself. The Strategy Club is very cool as well. (My last entry was in August, and the 6 month incubation finishes in 2 days and I expect it to pass!). Kevin also has a dedicated thread here at nexusfi.com

I'm glad to hear about your strategy making it (almost) through the incubator! I hope to have something to submit to the club for the next monthly cycle.

~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #167 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853

Just a quick update for today. I turned on my Eurodollar strategy on EDH20, live. It took a long time to fill its limit orders, but still managed to match the strategy performance report by the end of the day.
  • 1 win, 0 losses (on 10 contracts)
  • 100% win rate
  • +$99 (probably closer to +$76 after clearing and NFA fees)


Two mistakes were made:
  • I forgot to change the contract number to 1 instead of 10
  • I forgot to change the stop loss to $25 from $250
I started the strategy late (should kick off at 400 ET), but that was by design. I needed to version and archive my code this morning, so I started it just after 800 ET. It runs on a 15 minute timeframe. For this market, limit orders are probably not ideal, despite the liquidity. There is not enough price movement on the nearest contract month.

I do like the nearest contract. I see some potential opportunities in there, but I have to let my brain work on it overnight.

Tomorrow:
  • Run ED strategy
  • Meet with my partner and start building our business processes

Later gators!

~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #168 (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
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192


vmodus View Post
I'm glad to hear about your strategy making it (almost) through the incubator! I hope to have something to submit to the club for the next monthly cycle.

~vmodus

Looks like I passed.
Seven trades in 6 months. -1000 -1000 -1000 +6125 +1968 -1562 +1718.
43% win rate, Avg Trade $750, Avg Winner $3270, Avg Loser $1140, Avg Win/Avg Loss 2.87, 3 Long trades (avg $708) 4 short trades (avg $781)
Wish all my attempts did that well although I probably wish it had more trades. Question is would I trade it? Appears a little dependent on one big win, but did also suffer from one outside loss as well. This obviously had a $1000 stop loss but one of the trades lost $1562, 56% more than the stop, due to a gap open!

Sorry for hijacking your thread!

Reply With Quote
Thanked by:
  #169 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


SMCJB View Post
Looks like I passed.
Seven trades in 6 months. -1000 -1000 -1000 +6125 +1968 -1562 +1718.
43% win rate, Avg Trade $750, Avg Winner $3270, Avg Loser $1140, Avg Win/Avg Loss 2.87, 3 Long trades (avg $708) 4 short trades (avg $781)
Wish all my attempts did that well although I probably wish it had more trades. Question is would I trade it? Appears a little dependent on one big win, but did also suffer from one outside loss as well. This obviously had a $1000 stop loss but one of the trades lost $1562, 56% more than the stop, due to a gap open!

Sorry for hijacking your thread!

No problem. I'm glad you passed! Question: what instrument, timeframe, and position size was used (I assume 1 contract)?

~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #170 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


I did not have a chance to do my Friday update, as I was pretty busy all around. I ran my strategy for Eurodollar and was able to confirm that it is not viable, at least as it is structured with limit orders. I know part of it is due to the lower price contract on the nearest contract month. The volume is there, but the price action is not. I was actually able to trade it as a discretionary trader better than my automated system. But discretionary trading is not my business, otherwise I have to start another journal.

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

Business Processes
We spent some time Friday working on our business processes. We have always attempted to put most of our efforts into developing strategies, deferring planning until we had strategies up and running. In other words, doing things backwards. We never planned, we just jumped right into research and development (or operations, if you prefer), without working on the business side of thing.

Starting with @kevinkdog's Building Winning Algorithmic Trading Systems and continuing with his Strategy Factory, we realized that we cannot keep doing business as usual. So we spent Friday working on how we are going to approach system development. In an early part of the Strategy Factory course, Kevin talks about where to find ideas. Yeah..... that is not really the problem for us. The problem for us is: "Oh I just had a great idea, let us build a system, test it and torture it". To modify a famous quote from economist Ronald H. Coase: "If you torture trading systems enough, they will confess.".

Anyhow, we have a lifetime of ideas. So what we have to do is to wrangle those ideas, track them, and then take them through our (now) formalized process. We started with the process described by Kevin, but have fleshed it out, so to speak, and integrated it into how we develop and deploy strategies.

The holy grail for some or most traders is not one system that crushes the market, but rather trading for a living. That is where we are headed, but we were really approaching it all wrong.

Impossibly High Standards
I should make that into a bumper sticker. It describes our business before the Strategy Factory process. One of the things we are doing is going back to all of the strategies we have shelved. Why are they on the shelf? Because we have impossibly high standards.



Kind of like that.

We were, of course, looking for a Holy Grail strategy, instead of settling for 'Okay, we have a moderately profitable strategy with reasonable risk here'. I think we have never had realistic expectations and metrics for our strategies. When a strategy had a minor setback, we shelved it and went to the next thing we were developing.

What is next
My wife/partner and I are now meeting every morning for a few minutes, mainly to make sure we don't just pick up the first idea that pops in our head and then 5 days later can't remember how we got there. We have introduced (shudder) paperwork, to establish our goals for a given strategy, and to prevent us from running away on tangents. So our processes introduce some friction to slow us down, introduce some discipline, but not enough to snuff the creative fires we have. If we have an idea, we add it to our tracking list, discuss it in our meeting and figure out where to go from there.

We also have weekly meetings to discuss bigger things, such as setting our long term goals, review of system performance metrics, and other housekeeping things. This sounds all terribly sophisticated, but we are really just stumbling out of the dark forest and finding our way.

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

Other Stuff
I have dug back into John Ehler's works on cycle analytics and whatnot. It actually makes a lot more sense reading it again 9 months later. I won't pretend to understand the math behind it, but I understand the output of his indicators a lot better.

Last week, I mentioned I used his Super Smoother calculation to smooth the moving average of OBV. It wasn't useful for that application (too smooth, too much lag), but it got me thinking about other applications. I am thinking that my next thing will be to see what happens if I use Super Smoother (or other filter) on MACD. Anyhow, that will probably be more of a vanity project. I like MACD, but have had no success with it, though I haven't really used it for ages.

I had some downtime yesterday, so I swung by one of our libraries to see if they had any interesting trading books. This was a new library for me, so I picked up Swing Trading for Dummies. Go ahead, get your giggles out now. However, as I see it, ideas are everywhere. The book itself is not all that good, at least from my perspective, with all due respect to the author. It is a little heavy on the equities side of things, but I find it useful to look at things from a different perspective. I read about DMI and ADX, which was interesting. The point is that I keep my mind open, even if it is a book with the word 'dummies' in the title.

So all of that led me to thinking about OBV again. It may have some utility for me, but I am interested in the strength change from one bar to the next. I gave some thought about calculating the slope of (darn near impossible from my vantage). I was reading a forex forum where the discussion was around the inability to calculate it for chart data. I cannot slap a protractor on my screen to measure the angle (and there is the problem with scale). I am not a mathematician nor an engineer, but I may have a novel way to emulate it. If I figure that problem, even in the most rudimentary way, I will share.

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

That is all for now. No trading today, just building some tools for our business processes.


~vmodus

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:




Last Updated on March 31, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts