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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

  #171 (permalink)
 
SMCJB's Avatar
 SMCJB 
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vmodus View Post
No problem. I'm glad you passed! Question: what instrument, timeframe, and position size was used (I assume 1 contract)?

The Bounty for that month was for Fixed Income contracts. Hence this system trades the 30 Year Treasury @US using 1440min bars - which are basically daily bars with a slight difference. Just under 108 trades in 17.5 years but as you can see performance has been pretty consistent in backtest and in the 6 month incubation (as seen by the red line I added). System has a stop and holds trades for a maximum of a week. Entry requires two conditions to line up (not symmetrical, different rules for long and short) exit is purely time or stop.

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  #172 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
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SMCJB View Post
The Bounty for that month was for Fixed Income contracts. Hence this system trades the 30 Year Treasury @US using 1440min bars - which are basically daily bars with a slight difference. Just under 108 trades in 17.5 years but as you can see performance has been pretty consistent in backtest and in the 6 month incubation (as seen by the red line I added). System has a stop and holds trades for a maximum of a week. Entry requires two conditions to line up (not symmetrical, different rules for long and short) exit is purely time or stop.

Wow, that is fantastic! I know 7 trades is a small sample, but you match the equity curve of your backtest, so that is a great sign. Thanks for sharing!

~vmodus

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  #173 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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No trading today. After yesterday's entry, I have been thinking about ideas, having come up with two more yesterday evening as I was out for a long walk. The ideas themselves are not the important thing to me (PM me if you need a few hundred ). The process of organizing my ideas is really a huge concern. I have had ideas that are forever lost to the ether because I did not simply write them down.

I use mind-mapping for a lot of different purposes, so I have applied this to organizing my trading ideas. Here is a sample of my mind map:


As you can see, I have my central topic, Ideas 2020 and then the sources of my ideas (FIO, books, inspiration, etc.). I can add as many topics as I need, and subtopics. So I may have three ideas around iTrend, so I will just add topics under the iTrend topic. I can get as granular as I want. The image you see is just drop in the bucket of the ideas that I haven't added here yet.

I use Xmind (the free version) for mind mapping, but also use Freemind (FOSS: Free and Open Source) and SimpleMind Pro (Android, when I'm out and about).

I have also created a spreadsheet for tracking all our ideas, which is more formal than the mind map. It incorporates the processes learned in the Strategy Factory. Maybe I will post it next time, but I have to clean it up. If anyone is interested, let me know.

So yeah, I have been working on the business of trading, not really trading. We already have a better grasp on what we are doing then we did a week ago. We have a formal process for identifying, documenting and discussing ideas. I expect the organization, planning, and preparation will pay.

That is all. I have to work on some ideas now.

~vmodus

TASC = Technical Analysis of Stocks & Commodities magazine, a/k/a Stocks & Commodities magazine.

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  #174 (permalink)
 
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 FastNCurious 
saint louis MO
 
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vmodus View Post
I was thinking earlier today that I may have my assistant put together something. I know money.cnn.com usually has a weekly list of events (earnings, Fed notes, ADP reports, unemployment, etc.). If I could know the time and day of each of those, then I could easily back-test those. The important ones are the events that people tend to react/over-react to.

I did something similar with holidays and I actually built a function that my strategies could use that would avoid trading around certain holidays. It also helped in back-testing, avoiding holidays.

I'll post it here on FIO if we come up with anything.

just found this algo trade journal and loving reading it. Just wanted to share that and let you know I am just now beginning my own trade algo journey. maybe I will start a journal as well. The reason I am replying to an old post is to keep my place so I can keep reading later.

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  #175 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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jburke75 View Post
just found this algo trade journal and loving reading it. Just wanted to share that and let you know I am just now beginning my own trade algo journey. maybe I will start a journal as well. The reason I am replying to an old post is to keep my place so I can keep reading later.

I'm glad you are liking and can find something useful here. I will check out your journal, too!

~vmodus

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  #176 (permalink)
tradernomade
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Thanks for the interesting posts

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  #177 (permalink)
 
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 vmodus 
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Well, I wasn't supposed to do much trading related stuff today, but since ideas are flowing fast right now, I had to document them. I did run a couple of rudimentary strategies on RTY in simulation, mostly as an information gathering exercise and help build a case for the ideas that might become strategies.

Right now I am doing feasibility testing on a couple of ideas I have. Right now I am limited in my data subscriptions, with relation to index futures, so I only have Russell 2000 (RTY) as a major index. So I have been learning about how it behaves and seeing if there are any trading opportunities there. I have one idea that spawned two more ideas (Instantaneous Trend, MACD, and both).

One idea I have will be very difficult to implement, as it might be impossible to back-test programmatically. It has pretty good upside, but it needs a lot of work.
Ideas are like rabbits. You get a couple and learn how to handle them, and pretty soon you have a dozen.
- John Steinbeck
Just sayin'.

Speaking of ideas, here is a video I watched earlier today, shared by my partner (she's awesome, btw). She thought the RSI idea paired with OBV was novel and perhaps useful:

Swing Trading Using On Balance Volume Indicator (OBV):


I have to go. I have been so busy, I didn't even have time to put my contact lenses on my eyes. I hope everyone is having a great trading day!

~vmodus

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  #178 (permalink)
 
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 SMCJB 
Houston TX
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vmodus View Post
So yeah, I have been working on the business of trading, not really trading. We already have a better grasp on what we are doing then we did a week ago. We have a formal process for identifying, documenting and discussing ideas. I expect the organization, planning, and preparation will pay.

When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.


vmodus View Post
Right now I am doing feasibility testing on a couple of ideas I have. Right now I am limited in my data subscriptions, with relation to index futures, so I only have Russell 2000 (RTY) as a major index. So I have been learning about how it behaves and seeing if there are any trading opportunities there. I have one idea that spawned two more ideas (Instantaneous Trend, MACD, and both).

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11). While Tradestation does now have an api style interface, where this is actually reasonably easy to process, that's in reality only a fraction of the work. Automating the optimization is nice but you also need to automate the analysis of the outputs as well. You need reports that you can look at quickly and identify potential candidates easily otherwise you have 100s of reports that take you hours to analyze. I know several people who have done this, and at least one of them as been able to build a decent portfolio of strategies. If I was a hard core programmer this would be a lot easier but I'm not so I made the decision that with all that I have going on, I could not dedicate the time it would need to get it to where I thought it could useful/powerful.

Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

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  #179 (permalink)
 kevinkdog   is a Vendor
 
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SMCJB View Post
When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11). While Tradestation does now have an api style interface, where this is actually reasonably easy to process, that's in reality only a fraction of the work. Automating the optimization is nice but you also need to automate the analysis of the outputs as well. You need reports that you can look at quickly and identify potential candidates easily otherwise you have 100s of reports that take you hours to analyze. I know several people who have done this, and at least one of them as been able to build a decent portfolio of strategies. If I was a hard core programmer this would be a lot easier but I'm not so I made the decision that with all that I have going on, I could not dedicate the time it would need to get it to where I thought it could useful/powerful.

Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

Do you know about the tool that an SF student created? It might be what you are looking for. I've used it this week to to look at 5 strategies with about 100 iterations each, with about 50 markets and 5 bar sizes. Just e-mail me if you want details.

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  #180 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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SMCJB View Post
When you get both good and consistent it becomes all business focused with very little trading focus. Trades are just things that happen while your managing the business.

This kind of touches on the main reason I stopped pursuing this line of trading. In reality you should be testing these ideas against every instrument you trade. I realized that inorder to be effective I really needed to develop a process where I could test an idea, across multiple symbols (ideally 50+) and multiple time frames (probably 11).

Funny you mention this. Last night I was discussing this exact point with my partner. The next tool we will be developing is a tracking sheet for each of our strategies. It will have the instruments we trade (indices, energies, and metals, with a little interest rate for added flavor) and the timeframes.... in other words a large matrix to track these things. Unfortunately the testing process is manual for now, but we can vet each strategy through.

As far as automating the testing/evaluation process across multiple instruments and timeframes, that is one of our future goals. I can do all sorts of interesting data mining and analysis using databases (prefer Oracle DB), but I am getting way ahead of myself here.


SMCJB View Post
Example: Assume a simple break out strategy - enter market with a new X day high or low and that we want to test 20 different values for X. Maybe I want to test it against 50 markets, with 11 different time frames, but lets also assume I want to test it with 10 different exits. That alone is 110,000 simulations and that doesn't take into consideration that the 10 different exits probably themselves have 100 different variations meaning we now have other 1,000,000 iterations. How do you effectively and efficiently analyze that output?

One solution we have come up with for this is to have one strategy with multiple entries and exits:
  • Each entry and exit has an on-off flag (0 or 1)
  • We optimize on each of the entry and exit flag (range 0 - 1, increment 1)
  • We run it for a given time period
  • The best entries and exits for the instrument/timeframe are given (hopefully)
It is not ideal and we haven't determined if it is a valid approach moving forward. Nonetheless, it has allowed us to effectively test sets of entries and exits. We did that with @kevinkdog's entries and exits from his 9 and 7 e-book, to evaluate the entries and exits on a couple of markets we trade. There are 63 pairs of entries and exits there (by my calc), so putting them in one strategy and running it against an instrument and timeframe might yield something useful. Or not. (I hope this made sense).

Ultimately we would probably do this in Python or other language, but again, I'm getting way ahead of myself.

Thanks for the feedback!

~vmodus

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