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Robots Unleashed - a beginners algotrading journey
I've not used StratOpt, so I can't comment on it. Bought the Grail when it was standalone, it has since become part of TS. A test sample of 10 trades seems very low to me for an intraday system. I look for far more over differing market conditions.
So today marks 1 week of trading data after restarting my sim account to reflect realistic returns based on 6 strategies I have going on different futures markets. still working on finding more that can fit into my portfolio. Right now I have no money to trade with really so I'm putting all my time into building strategies that are tested and that I am ready to go live with when the time comes.
My first week was amazing. with a 15000 starting balance I quickly shot up to 16,300 only to fall back down to reality when I went back to 15,260 RTAE. The big winner was in micro crude oil and it was also the big loser for this week. I guess that is to be expected.
I have been focusing my development on trying to find a swing trade strat for Corn or wheat. I also want to work on a strat for MNQ. I figure I can possible have 7-10 strategies going with a 15000 real acct when the time comes but I don't want to lose money anymore so I'm testing everything out with sim first.
The coronavirus has forced me to stay home and get some actual work done both around the house and on Tradestation. I found that I strategy I was using for gold also works for corn but I'm having trouble with the walk forward optimization. My in sample period and out of sample period seems to be throwing my strat for a loop with minor fluctuations in Period choice. I know I can't use ratio optimization because that is just curve fitting. Anyone have any good concepts to share on In sample/Out sample period choices?
I had one guy tell me that an in sample period containing roughly 10 trades per input was a good place to start. Part of my problem is the strat is for a daily chart on corn and it only takes roughly 7 trades per year.
Well that is all for now. time to get back to some code writing or rather some code copying from Kevin Davey's book Entry and Exit Confessions of a Champion Trader.
It has been a long time since my last entry. So much has happened. I have officially gone live with three strategies albeit only two are active now because the markets ATR has turned one of my strats off. I feel pretty confident in my strategy development process now that I’ve taken Kevin Davey’s course. I still have many videos to watch but I have a good understanding of how to go about it now.
Around the time of my last entry I was developing strats with StratOpt WFP and simply looking for a nice equity curve. My results produced some strategies that were very volatile. While the returns were great the draw downs were huge and fast and I learned a valuable lesson before going live.
Since taking the course I have tested fully each of my strays that I made and everyone I made failed. Only a few that were handed to me by Kevin passed testing and now I’m using those to trade live. It’s been a while since I’ve traded live and the emotions are definitely high but I feel I am in a good place now and I’m able to not check my trades every other min.
As of now I have one trading MES using a variation of Art Collins 5 min morning breakout Strat with an ATR switch because ever since COVID broke the markets the ATR of the ES has been well over 55 points! With out this simple switch the strat would have lost nearly every trade since late February.
Another strat is running M2K moneyflow function in trade station. I went live with that just the other day and I jumped into a short position after the strat position had been way negative for the past several weeks. I shorted at 1508 and at one point I was up over $900 I think on 1 lot. Now it is only up 400 or so but I feel good about letting that strat do it’s thing.
The final one I went live with today is Kevin Davey’s strat on NG that really never loses. Sounds crazy right but it really hasnt Lost once given all the historical data. It’s not a home run strategy but I think as a part of something bigger (still in the works) it will do nicely.
I really want to be able to trade multiple strats on one market. This has been done but I don’t quite know how to code it yet. I know it has something to do with adding up the coded long and short entries and trading the sum of the open positions. If anyone can help with this coding project I would greatly appreciate it.
It has been an amazing day really for my understanding of trading. I figured out how to code an idea I got from one of my newsletters and its always nice when you figure out the correct code to make a idea work in real life. I learned a bit about how tradestation understands month(date) statements and how it evaluated if a statement is true or false.
You really have to think about the statements almost backwards or from the inside out to make the computer do what you want it to do.
I now am currently trading live 6 strategies that trade different markets. Overall I am up and that is good but currently in one of my largest drawdowns after a nice peak two weeks ago. Emotions are high but I am able to detach myself from the outcome much better now than a few months ago.
Also, I have been working on applying Dave Fishers Monthly Strategy Tracking Spreadsheet to every strategy that I am tracking. Very useful and so glad he took the time to create this. I knew I was going to have to tackle this idea of tracking strategies and Dave has made it so that all I hit is an update button and wala --the performance is easily assessed from a monthly perspective. At first I was working on a weekly data file that updated automatically but when I found what he has made available my life is so much easier.
I am having a rough October(equity account wise) but I know some breathing room is just around the corner.
I have been reading Art Collins Beating the Financial Futures Market. I am finally learning how he puts together systems that show bias and finding combinations that create a greater return than the sum of it parts based on ROA. I finally successfully created a strategy from his idea and the numbers seem to match well enough.
I would like to work through several biases and then add them together in different ways to try and receive a better ROA. Right now I need to work on the logic code I would use to add biases kind of like card counting. each buy signal would have a value of +1 and sell signal -1.
I'm sure it isn't too complicated really but I have never done it before. I will be working on this idea as I go on vacation.
Hey @jburke75, I just stumbled on your journal. Like you, I am an algo/systems trader. If you haven't read Kevin Davey's ( @kevinkdog ) book, Building Winning Algorithmic Trading Systems, I highly recommend reading it. It revolutionized our strategy development, testing and deployment processes. If nothing else, you can check out his YouTube channel, where he has a lot of good stuff for us algo traders.
I've also been listening to the Top Traders Unplugged podcast lately, so I recommend that. They cover a lot of different topics related to systems trading.
I keep a journal, too, of my algo adventures, if you're interested:
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 …
.
I look forward to reading more of your adventures!
100% we do! 😆. I’ve also found your journal helpful @vmodus. I would be interested in collaboration but I understand you already have a partner based on your journal. Like you Kevin has been instrumental in my Algo trading success.
October has been rough month for breakout strats which currently as a new trader I am heavily focused on. I realize now I need to implement more mean reverting and bull bear regime strats. To compensate for periods like this.
