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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

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  #1 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
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Hello all! I am starting a new journal and shutting down my old journal. My old journal was focused on the Dow e-mini, which was really too narrow as I will trade anything that is profitable (magic beans, anyone?)

I decided to theme this journal around my adventures with algorithmic trading. I hate manually trading for two reasons:
  • I'm lazy
  • I'm human and prone to errors of emotion, decision making, and general impulsiveness
I also decided to keep this journal in the general section, rather than put it in the Elite Journals, as I know not everyone who reads my old journal is an elite member. Some members who are not 'elite' have been quite helpful and encouraging and this is my way of giving back, if my entries help or entertain anyone.

I started trading a new system today, live, on the VX futures. It was a strange day, to say the least. Let me summarize by saying that sim trading went well, but today was just sideways.

Today's results:
  • Traded 930 to 1632 EDT; my cutoff for trade entry is 1614, but that may change
  • 1 minute chart
  • Full-auto for trading, because that's how I roll
  • 5 round trip trades
  • Total day's P/L -$12
Not horrible, but my strategy report tells me that I should have had 7 trades (on the low end.... we should average about 12/day), and been mildly profitable. There were a couple of trades that were missed, as the VX requires limit orders and those orders were not taken. I won't get into the details, but I think the biggest problem I have is with liquidity.

This was only one day, and a weird one at that. Tomorrow will be day 2, but it could be equally weird given the holiday weekend.

No pretty pictures today. (....and should pure algo traders even need pretty pictures to trade? Hmmmm) For now, just enjoy that new journal smell.

Until tomorrow, I remain....

~vmodus

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

My old journal is here if you're interested: Click here for my old journal

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  #3 (permalink)
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vmodus View Post
I also decided to keep this journal in the general section, rather than put it in the Elite Journals, as I know not everyone who reads my old journal is an elite member. Some members who are not 'elite' have been quite helpful and encouraging and this is my way of giving back, if my entries help or entertain anyone.

I can only speak for myself, but this community has been incredibly helpful and elite-membership is definitely on my radar. I think I just need to find that "a-ha" moment where I prove to myself I'm not just messing around with sim and I'm actually able to carry over these concepts into live-trading. When I feel I have pushed through a couple of these hurdles I will join as elite, but its just an obstacle I have to overcome for myself in the meantime.

I appreciate all of your shared experiences!

Cheers @vmodus!

P.S. Then when I'm "Elite" I can finally know what all these "Big Mike in Ecuador" threads are about (plus all the new journals I'd have access to!)

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  #4 (permalink)
Market Wizard
New York, NY
 
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snax View Post
I can only speak for myself, but this community has been incredibly helpful and elite-membership is definitely on my radar. I think I just need to find that "a-ha" moment where I prove to myself I'm not just messing around with sim and I'm actually able to carry over these concepts into live-trading. When I feel I have pushed through a couple of these hurdles I will join as elite, but its just an obstacle I have to overcome for myself in the meantime.

I appreciate all of your shared experiences!

Cheers @vmodus!

P.S. Then when I'm "Elite" I can finally know what all these "Big Mike in Ecuador" threads are about (plus all the new journals I'd have access to!)

Elite also lets you try the numerous custom indicators and strategies.

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snax View Post
I can only speak for myself, but this community has been incredibly helpful and elite-membership is definitely on my radar. I think I just need to find that "a-ha" moment where I prove to myself I'm not just messing around with sim and I'm actually able to carry over these concepts into live-trading. When I feel I have pushed through a couple of these hurdles I will join as elite, but its just an obstacle I have to overcome for myself in the meantime.

I appreciate all of your shared experiences!

Cheers @vmodus!

P.S. Then when I'm "Elite" I can finally know what all these "Big Mike in Ecuador" threads are about (plus all the new journals I'd have access to!)

By all means, do whatever you want. Elite or not is a choice.

For whatever it's worth, you may notice that almost all of the frequent posters are Elite (although it's not a requirement, as far as I know all the red-tab members since the beginning have been Elite. The red tab just means you're a high poster with a high number of Thanks, and only the Elite posters stay around long enough for that.)

As a simple matter, almost all the non-Elite posters drop away after a time, unless they go Elite.

How come? Elite means you've decided to become committed to the community. It costs a hundred bucks (lifetime), which is intentionally a dis-incentive to join: it's a barrier against the casually-interested. You need to want it.

It works out very well for all concerned: someone new comes in, looks around, decides whether they like what they are seeing. Either they don't particularly (so they go somewhere else, mostly) or they do and want some more (so they take a chance that they won't be sorry about the hundred bucks) or they waffle for a while and then do one or the other. Some show up as non-Elite now and then over several year's time, which is fine too.

People sort themselves out and it all works out.

But of course, you guys never know all the Secret Stuff we discuss over in the Elite side. (Wa-haa-haaa.)

Bob.

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Legendary Market Wizard
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bobwest View Post
By all means, do whatever you want. Elite or not is a choice.

For whatever it's worth, you may notice that almost all of the frequent posters are Elite (although it's not a requirement, as far as I know all the red-tab members since the beginning have been Elite. The red tab just means you're a high poster with a high number of Thanks, and only the Elite posters stay around long enough for that.)

As a simple matter, almost all the non-Elite posters drop away after a time, unless they go Elite.

How come? Elite means you've decided to become committed to the community. It costs a hundred bucks (lifetime), which is intentionally a dis-incentive to join: it's a barrier against the casually-interested. You need to want it.

It works out very well for all concerned: someone new comes in, looks around, decides whether they like what they are seeing. Either they don't particularly (so they go somewhere else, mostly) or they do and want some more (so they take a chance that they won't be sorry about the hundred bucks) or they waffle for a while and then do one or the other. Some show up as non-Elite now and then over several year's time, which is fine too.

People sort themselves out and it all works out.

But of course, you guys never know all the Secret Stuff we discuss over in the Elite side. (Wa-haa-haaa.)

Bob.

Thank you @vmodus, @bobwest, and @jmont1. Done!

@vmodus looking forward to "when robots attack!"

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  #7 (permalink)
south africa
 
 
Posts: 169 since Dec 2018


vmodus View Post
I hate manually trading for two reasons:
  • I'm lazy
  • I'm human and prone to errors of emotion, decision making, and general impulsiveness

I have this quote on my white board
"You should replace humans by algorithms whenever possible. Even when algorithms don't do very well, humans do so poorly and are so noisy that just by removing the noise you can do better than people"

--Daniel Kahneman

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  #8 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
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Trading: My kids, VX, Eurodollar
 
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centaurer View Post
I have this quote on my white board
"You should replace humans by algorithms whenever possible. Even when algorithms don't do very well, humans do so poorly and are so noisy that just by removing the noise you can do better than people"

--Daniel Kahneman

Superb. I'm adding it to my quote collection.

~vmodus

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Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
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Posts: 804 since Feb 2017
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Hello all! Sorry, but I'm usually pretty religious about posting my journal updates. I have family visiting and a bunch of other stuff happening this week. Here is a quick and dirty update.

Monday:
  • I started using my 5-minute VX strategy. It bombed. Not badly, but I found a bug where it was taking two orders instead of one. That cost me about $200 or so.
  • The strategy bombs because of liquidity issues. I have limit orders which sometimes take 30 minutes to fill. Monday was a slow trading day, but this strategy is useless without enough volume. I'm guessing > 100k per day.
  • I coded a fix to the strategy, but now the strategy trades mostly flat. I need to do some more work on it, as I may still be able to use it in a more macro environment (> 30 min).
  • My partner somehow ended up trading on my account, which was really weird (Tradestation, go figure). That earned me about $300 (she trades CL) until we figured that.
Tuesday:
  • Nothing much happened, really. I put myself on the bench until I can work out the VX strategy issue.
  • I went back to testing combinations of other strategies and instruments (TVIX, EC, ES, US). No success with that.
  • I'm considering trading CL, as we have a good strategy to trade that.
Today:
  • Haircut
  • Thinking about trading, just thinking
  • Optimizing and walk-forward optimization of existing strategies
I have two VX observations. #1, we are approaching all time lows (as seen just before last year's mini crash in October), which indicates a very positive sentiment for the market. I am not sure how much lower it will go. I cannot see it going lower than 11.00, as the bottom of this instrument is definitely not zero. See the blue line on this chart:

#2, my strategy may just be struggling against the low volume (see chart above). My 'fix' broke the strategy efficiency, somehow, so I have to go back to the earlier broken versions to see what might have gone wrong.

The VX is in range for the past couple of days:


That's all I have for now. My posts may be scarce until next week, but I will try to get something in daily.

~vmodus

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Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker: Tradestation Securities
Trading: My kids, VX, Eurodollar
 
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Posts: 804 since Feb 2017
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Hello fellow traders! I don't have a lot to report at this point. I took off work Friday for my birthday, as I traditionally do. I only traded Monday of this week, when I realized my strategy did not perform well in live trading (missed trades, missed exits).

Thursday, I spent some time running some of my existing strategies against the ES, VX, and EC (Euro FX), and the TVIX (equity). There are some glimmers of hope in there, but I need to be able to apply another layer of filtering.

In this example, my strategies will capture the good move, but also small moves within the range.


I know this is an age old problem, but it is one that I'm trying to work through. The biggest challenge is doing it programmatically. My partner uses her own algorithms, but they leave a lot of money on the table trading markets I trade.

One of the things that I tend to do is to treat an automated strategy like a blunt force instrument: Swing it at the market until the market submits or the strategy breaks. Usually the strategy breaks before the market does. I need to add a little more finesse to my tool.

Next week:
I have some not-trading related opportunities on my desk that are more profitable than trading (at this point), so I will be working on those. I will be revisiting MACD sometime this week, after setting it aside a long time ago. I may make some modifications to the tool to see if some of my methods can reduce lag in it.

Have a great weekend everyone!

~vmodus

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