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Robots Unleashed - a beginners algotrading journey


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Robots Unleashed - a beginners algotrading journey

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  #121 (permalink)
 kevinkdog   is a Vendor
 
 
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SMCJB View Post
Similar thing happened in the Micro Bitcoin on the Open Sunday 4th. Micro opened $1500 below where the full sized open. Usually the Micro's track very very closely the more liquid contract because market makers/HFT keep the two in line. When things like this happen, its probably because the market maker isn't there and an order comes in that blows through the order book due to illiquidity.


Each commodity has
a) a non-reviewable range (NRR or non-cancel range on ICE, NCR)
b) on CME a fee to cancel a trade (but not on ICE).
For MCL the NRR is $0.50 and the fee is $1000 PER TRADE!

So even if the trades were a $1.50 off market, that's only $150 so it would need to be an 8 lot trade, to justify the cancellation fee. Obviously with the full size it would be a different picture.

I've never had a trade changed or broken on me on CME but it has happened to me a lot on ICE. With ICE they normally don't cancel the trade but change the price. So the off market trades would be modified to be $0.50 off market not $1.50. Worth noting because if your taking your quick profit, you need to lock in at least that price, otherwise on a reprice you could be left with a loss.

If you check the CME website their is a service you can sign up for that will notify you of all cancelled trades. It is very very few.

By the way @FastNCurious. Great Trade!

Great info, although bad outcome for many who lost because of this. Behavior like this does not inspire confidence (for me at least) in this brand new instrument...

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  #122 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Well the trade seems to have stuck so that is a load off my mind

On another note I am currently in such a massive drawdown I have had to quit trading many strats until I have more capital to invest in these algos. This has been quite a reversion back to the mean from last year. Last year I was on easy street but this year has made me rethink everything. Really it just takes so much capital to trade futures. I'm thinking realistically 50k minimum and it would be better to have 100k to feel comfortable. I am mostly trading micros exclusively now.

Last year I very quickly went from 18K up to 46K equity high but nearly all of 2021 has been a horrible year trading for me. Currently sitting at back down near 20K. sad but true. I will say that there a few major mistakes where i went off course meaning I tried to take a few discretionary trades and at least two of them have been horrible mistakes. If you take those out I would still be down over 15K from the equity high which really isn't that bad considering the strategies backtest.

Currently I am working to free up more starting capital by working extra hard in my day job selling cars. I am also juggling home projects which have taken alot out of me physically and mentally. I am really hoping for a good run up in equity in the fall to make up for this major pullback.

Somewhere I heard that many traders simply take the summer off trading because the volume is less than usual. I kind of wish I had taken may-august off this year and start fresh in sept - oct. This is just hindsight bias I know but this is where the mind of a trader drifts when he is down a ton.

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  #123 (permalink)
 kevinkdog   is a Vendor
 
 
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FastNCurious View Post
Well the trade seems to have stuck so that is a load off my mind

On another note I am currently in such a massive drawdown I have had to quit trading many strats until I have more capital to invest in these algos. This has been quite a reversion back to the mean from last year. Last year I was on easy street but this year has made me rethink everything. Really it just takes so much capital to trade futures. I'm thinking realistically 50k minimum and it would be better to have 100k to feel comfortable. I am mostly trading micros exclusively now.

Last year I very quickly went from 18K up to 46K equity high but nearly all of 2021 has been a horrible year trading for me. Currently sitting at back down near 20K. sad but true. I will say that there a few major mistakes where i went off course meaning I tried to take a few discretionary trades and at least two of them have been horrible mistakes. If you take those out I would still be down over 15K from the equity high which really isn't that bad considering the strategies backtest.

Currently I am working to free up more starting capital by working extra hard in my day job selling cars. I am also juggling home projects which have taken alot out of me physically and mentally. I am really hoping for a good run up in equity in the fall to make up for this major pullback.

Somewhere I heard that many traders simply take the summer off trading because the volume is less than usual. I kind of wish I had taken may-august off this year and start fresh in sept - oct. This is just hindsight bias I know but this is where the mind of a trader drifts when he is down a ton.

Bummer about your current drawdown. If I understand you well, your algo trading went from 18K to 46K back down to 31K? So in a year and a half your algo trading alone went up 72%, with a 33% drawdown?

If my numbers are right, that is pretty decent.

Sounds like the big thing you should have done is cut out those discretionary trades. I personally have always found it hard to algo trade and discretionary trade at the same time.

Hopefully you'll get through this drawdown soon!

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  #124 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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kevinkdog View Post
Bummer about your current drawdown. If I understand you well, your algo trading went from 18K to 46K back down to 31K? So in a year and a half your algo trading alone went up 72%, with a 33% drawdown?

If my numbers are right, that is pretty decent.

Sounds like the big thing you should have done is cut out those discretionary trades. I personally have always found it hard to algo trade and discretionary trade at the same time.

Hopefully you'll get through this drawdown soon!



Absolutely right! gotta cut out those discretionary trades. Also, I turned on a few strats that I wasnt ready to trade yet. Account size didn't warrant it. Also I should clarify, my seed money of 18K was from a 401k rollover to roth ira that I decided to algo trade with. Once I more than doubled my acct in the roth acct I took a distribution to set up a cash trading account so instead of having 40K+ in one roth ira acct I now had 18k in a cash acct and 22k in the roth. since that time it has been one mistake after another. Splitting the cash up was a mistake as well.

For now I am limited to micros and the @fv symbol until I can get some more capital together.

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  #125 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Posts: 137 since Oct 2017
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I am currently checking out @vmodus blog here https://systematicalgotrader.com/2021/02/12/sat2021-02-connors-rsi-1/ and attempting to reproduce some results of his. I am having trouble with it because my results don't even come close to his.

here is my code...

 
Code
Inputs:
	ncons(1),
	rsioversold(10),
	rsioverbought(90),  
	stopl(500),
	fastsma(5),
	slowsma(200);

//ENTRIES
If marketposition = 0 then begin

	If rsi(c,2) < rsioversold and c > average(c,slowsma) then buy ncons contracts next bar market;

	If rsi(c,2) > rsioverbought and c < average(c,slowsma) then sellshort ncons contracts next bar market;

end;


//EXITS


If c > average(c,fastsma) then sell next bar market;

If c < average(c,fastsma) then buytocover next bar market;

Could I be making a rookie mistake somewhere? I don't know but I was hoping to find something useful here. The idea makes sense to me and I can see how it would work. When I look at my trades on a chart it shows that it is working correctly. Maybe @vmodus can chime in and let me know if I am on the right track or not.

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  #126 (permalink)
 vmodus 
Systematic Algo Trader
Somewhere, Delaware, USA
 
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Platform: MultiCharts
Broker: IB
Trading: Energies, Grains, Fixed Income
 
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FastNCurious View Post
I am currently checking out @vmodus blog here https://systematicalgotrader.com/2021/02/12/sat2021-02-connors-rsi-1/ and attempting to reproduce some results of his. I am having trouble with it because my results don't even come close to his.

here is my code...

 
Code
Inputs:
	ncons(1),
	rsioversold(10),
	rsioverbought(90),  
	stopl(500),
	fastsma(5),
	slowsma(200);

//ENTRIES
If marketposition = 0 then begin

	If rsi(c,2) < rsioversold and c > average(c,slowsma) then buy ncons contracts next bar market;

	If rsi(c,2) > rsioverbought and c < average(c,slowsma) then sellshort ncons contracts next bar market;

end;


//EXITS


If c > average(c,fastsma) then sell next bar market;

If c < average(c,fastsma) then buytocover next bar market;
Could I be making a rookie mistake somewhere? I don't know but I was hoping to find something useful here. The idea makes sense to me and I can see how it would work. When I look at my trades on a chart it shows that it is working correctly. Maybe @vmodus can chime in and let me know if I am on the right track or not.

You are on the right track. A few suggestions, if I may:
  • I optimize the RSIoversold and RSIoverbought, so you may need to do this.
  • In the article, only two instruments passed and only Daily chart worked.
  • Create a variable for RSI (e.g. var: MyRSI(0) ; and use that variable instead of calling the RSI function.
  • Same for the Fast and Slow SMA's, declare a variable for each to hold that value and use the variable in your condition.
That is what I did. As long as you logic matched my diagram in section 6, then you should be okay. Optimization and Walk-Forward Analysis will make all the difference.

I'm on vacation right now, so I don't have my code handy, but I think you should be able to figure it out. You're close.

~vmodus

Enjoy everything!
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  #127 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Posts: 137 since Oct 2017
Thanks: 91 given, 157 received

Gosh I pretty much forgot about this journal. Here is a short check in with my progress. In sept. I went to Beyond the Strategy Factory event in Cleveland and met some amazing people including Kevin Davey and many others that I now collaborate with on a regular basis. This has opened so many doors I often get overwhelmed with so many options but my ADD mindset enjoys this on some level.

As for live algo trading I can say that I made it thru my first year algo trading with many ups and downs and it has not been easy but I am definitely on the right path. So many advanced traders out there.

One of the recent things I have been implementing is whenever I see a huge spike in my account rather than let the algos keep positions open and potentially give such an amazing day back, (like yesterday)
I will gladly pull the plug on an extremely profitable trade and just be happy with it. I can always wait for the next trade. Something that goes with that is of course looking at my backtest and taking note of what the average profitable trade is and what the most profitable trade was. Today I caught a nice move with my strategy that swing trades NG and pretty quickly got to within $100 of the most profitable trade in the backtest. I was feeling really good at this point and I told myself yes I could make more with this trade but not worth risking such a beautiful quick return.

I don't plan to do this for every trade but right now money is tight and a few solid wins can help so much with confidence moving forward.

Current markets trading live are:
ES
NQ
CL
NG
JY
LC
BO
TY
GC

I have many other markets I could trade but I am choosing to sit them out for now due to a new portfolio approach I learned. It is a very hands on approach and requires daily monitoring since I am trading multiple strats on the same symbol which can be a challenge with Tradestation.

Thats all for now. I will try to update my progress more often now that things are starting to settle down after such a busy summer.

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